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Tobin’s Q theory and regional housing investment: Empirical analysis on Swedish data
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.

Place, publisher, year, edition, pages
Keyword [en]
Tobin’s Q, Housing investment, Regional data, VECM, ARDL, Fixed Effects model, Granger Causality
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URN: urn:nbn:se:uu:diva-226572OAI: oai:DiVA.org:uu-226572DiVA: diva2:726447
Available from: 2014-06-18 Created: 2014-06-18 Last updated: 2014-06-18Bibliographically approved

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