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Une mise en perspective des déterminants de l'investissement : rôle du Q de Tobin sur la période 1972 -1991 en France

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  • Véronique Reiffers

Abstract

[eng] Calling into question the determinants of investment : a study about the role of the tobin q ratio over the period 1972-1991 in France. . This paper is concerned with the role of the traditional determinants of fixed capital accumulation (accelerator, profits, interest rate and taxation) and that of the Tobin q ratio over the period 1972-1991 in France. Using co-integration technics and error correction models and estimating the equations over three sub-periods, it is possible to assess the relative weight of each variable in explaining the investment behavior in the short and long run. One particular conclusion is that the impact of the Tobin q ratio on investment was strengthened when stock market was bullish with the impact of demand simultaneously declining. After the stock market crash of October 1987, this trend was reversed and demand then became the major determinant of investment while the Tobin q ratio lost most of its explanatory power. [fre] L'objet de cette étude est de mettre en évidence le rôle des déterminants usuels du taux d'accumulation du capital (accélérateur, taux de profit, taux d'inté­rêt, fiscalité), ainsi que celui du ratio q de Tobin sur la période 1972-1991 en France. Au travers d'une analyse de coïntégration il a été possible, en distinguant trois sous-périodes grâce au test de Cusum, d'apprécier le poids des différentes variables dans l'explication de l'investissement à la fois à court et à long terme. En particulier, il ressort de cette étude que la significativité du coefficient q de Tobin s'est fortement accrue avec le mouvement haussier du marché boursier tandis que celle de l'accélérateur déclinait. Cette tendance s'inverse nettement après la crise boursière d'octobre 1987 qui marque le retour à la suprématie des variables traditionnelles (taux de profit, taux d'intérêt réel, accélérateur) sur le q de Tobin perdant ainsi une large part de son pouvoir explicatif. Ce changement de régime permet d'expliquer l'insensibilité du taux d'accumulation du capital à la chute des cours boursiers lors du krach boursier d'octobre 1987.

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  • Véronique Reiffers, 1995. "Une mise en perspective des déterminants de l'investissement : rôle du Q de Tobin sur la période 1972 -1991 en France," Revue Économique, Programme National Persée, vol. 46(4), pages 1167-1187.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1995_num_46_4_409727
    DOI: 10.3406/reco.1995.409727
    Note: DOI:10.3406/reco.1995.409727
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