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Exchange Rate, Marginal q and Investment Behavior of Small and Medium-Sized Enterprises in Japan: Time Series Evidences of Manufacturing Industries

Author

Listed:
  • Masafumi Kozuka

    (Graduate School of Economics, Kobe University)

Abstract

In this paper, we investigate Granger fs causality among the exchange rate, Tobin fs marginal q, and investment-capital ratio with quarterly data on firms categorized small and medium-sized enterprises (SMEs) in Japan. We utilize the data of following industries: chemical, iron and steel, production machinery, electric machinery and equipment, automobile and accessories and all manufacturing. The empirical results we obtain show that the null hypotheses of no Granger fs causality from the exchange rate to other variables, investment and marginal q, are accepted in all industries. The reason is the lower percentage of export by SMEs. Thus, it is considered that the effects of Abenomics on SMEs are limited, and that other kinds of reflation measures for SMEs are needed.

Suggested Citation

  • Masafumi Kozuka, 2015. "Exchange Rate, Marginal q and Investment Behavior of Small and Medium-Sized Enterprises in Japan: Time Series Evidences of Manufacturing Industries," Discussion Papers 1515, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1515
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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1515.pdf
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    References listed on IDEAS

    as
    1. Kazuo Ogawa & Shin-Ichi Kitasaka, 1999. "Market Valuation and the q Theory of Investment," The Japanese Economic Review, Japanese Economic Association, vol. 50(2), pages 191-211, June.
    2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    3. Hayashi, Fumio & Inoue, Tohru, 1991. "The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms," Econometrica, Econometric Society, vol. 59(3), pages 731-753, May.
    4. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    marginal q; small and medium-sized enterprises; LA-VAR model; irreversibility; exchange rate;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F22 - International Economics - - International Factor Movements and International Business - - - International Migration

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