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(𝐼
𝐾)
𝑖𝑡= 𝛽0 + 𝛽1 (
𝐼
𝐾)
𝑖𝑡−1+ 𝛽2 (
𝑆
𝐾)
𝑖𝑡−1+ 𝛽3 (
𝜋
𝐾)
𝑖𝑡−1+ 𝛽4 (
𝐹
𝐾)
𝑖𝑡−1
+ 𝛽5 (𝜋𝐹
𝐾)
𝑖𝑡−1+ 𝛽𝑡 + 𝜀𝑖𝑡
𝜋𝐹
Β
ε
(𝐼
𝐾)
𝑖𝑡= 𝛽0 + 𝛽1 (
𝐼
𝐾)
𝑖𝑡−1+ 𝛽2 (
𝑆
𝐾)
𝑖𝑡−1+ 𝛽3 (
𝜋
𝐾)
𝑖𝑡−1+ 𝛽4 (
𝐹
𝐾)
𝑖𝑡−1+ 𝛽5 (
𝜋𝐹
𝐾)
𝑖𝑡−1
+ 𝛽6 [(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷𝑛]
𝑡−1
+ 𝛽𝑡 + 𝜀𝑖𝑡
β β β
_____________________________________________________________________________________
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_____________________________________________________________________________________
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0.25
0.30
0.35
0.40
0.45
0.50
0.55
1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015
USA Europe UK Japan
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_____________________________________________________________________________________
0.25
0.30
0.35
0.40
0.45
0.50
0.55
1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015
Developing BRICS S. Korea S. Africa India China
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_____________________________________________________________________________________
0.30
0.35
0.40
0.45
0.0
1.0
2.0
3.0
4.0
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.001
0.011
0.021
0.031
0.041
0.051
0.00
0.10
0.20
0.30
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF /K (right axis)
0.3
0.35
0.4
0.45
0.5
0
0.5
1
1.5
2
2.5
3
3.5
4
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.015
0.025
0.035
0.045
0.055
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
19
95
19
98
20
00
20
02
20
04
20
06
20
08
20
10
20
12
20
14
I/K F/K πF/K (right axis)
_____________________________________________________________________________________
_____________________________________________________________________________________
0.25
0.30
0.35
0.40
0.45
0.50
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.000
0.010
0.020
0.030
0.040
0.050
0.060
0.00
0.10
0.20
0.30
0.40
0.50
0.60
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF /K (right axis)
0.25
0.30
0.35
0.40
0.45
0.50
0.55
0.0
0.5
1.0
1.5
2.0
2.5
3.0
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.000
0.003
0.006
0.009
0.012
0.015
0.018
0.021
0.00
0.05
0.10
0.15
0.20
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF/K (right axis)
0.30
0.35
0.40
0.45
0.50
0.0
0.5
1.0
1.5
2.0
2.5
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π
0.001
0.006
0.011
0.016
0.021
0.026
0.031
0.036
0.00
0.05
0.10
0.15
0.20
0.25
0.30
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K
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0.3
0.35
0.4
0.45
0.5
0.55
0
0.5
1
1.5
2
2.5
3
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0
0.01
0.02
0.03
0.04
0
0.1
0.2
0.3
0.4
0.5
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF/K (right axis)
0.30
0.35
0.40
0.45
0.50
0.0
0.5
1.0
1.5
2.0
2.5
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.00
0.01
0.02
0.03
0.04
0.05
0.00
0.05
0.10
0.15
0.20
0.25
0.30
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF /K (right axis)
0.30
0.35
0.40
0.45
0.50
0.55
0.0
0.5
1.0
1.5
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.00
0.02
0.04
0.06
0.08
0.10
0.12
0.00
0.10
0.20
0.30
0.40
0.50
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF /K (right axis)
_____________________________________________________________________________________
_____________________________________________________________________________________
0.30
0.35
0.40
0.45
0.50
0.00
0.50
1.00
1.50
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
0.03
0.04
0.04
0.05
0.05
0.06
0.06
0.07
0.00
0.05
0.10
0.15
0.20
0.25
0.30
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF/K (right axis)
0.30
0.35
0.40
0.45
0.50
0.55
0.0
0.5
1.0
1.5
2.0
2.5
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
FA/K I/π (right axis)
-0.02
0.01
0.03
0.05
0.07
0.09
0.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
19
95
19
97
19
99
20
01
20
03
20
05
20
07
20
09
20
11
20
13
20
15
I/K F/K πF/K (right axis)
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USA Europe BRICS Japan Developing
and Emerging
S. Korea S. Africa India China
(𝐼
𝐾)
𝑡−1
0.327*** (0.000)
0.398*** (0.000)
0.320*** (0.000)
0.219*** (0.000)
0.355*** (0.000)
0.287*** (0.000)
0.308*** (0.000)
0.486*** (0.000)
0.154* (0.092)
(𝑆
𝐾)
𝑡−1
0.397*** (0.000)
0.317** (0.002)
0.359*** (0.000)
1.111*** (0.000)
0.349*** (0.000)
0.720*** (0.000)
0.220*** (0.021)
0.367* (0.098)
0.422** (0.028)
(𝜋
𝐾)
𝑡−1
0.050*** (0.000)
0.022 (0.112)
0.044*** (0.017)
0.011 (0.640)
0.043*** (0.001)
0.004 (0.880)
0.040 (0.316)
0.054 (0.236)
0.055 (0.374)
(𝐹
𝐾)
𝑡−1
-0.072*** (0.000)
-0.059*** (0.008)
-0.137*** (0.001)
-0.276** (0.024)
-0.097*** (0.000)
-0.078** (0.013)
-0.119*** (0.001)
-0.065 (0.623)
-0.110 (0.192)
(𝜋𝐹
𝐾)
𝑡−1
0.034 (0.171)
-0.061** (0.027)
-0.045* (0.097)
-0.074 (0.350)
0.017 (0.584)
0.021 (0.651)
-0.030 (0.480)
-0.136** (0.033)
0.134*** (0.009)
Number of observations
11948 22240 15164 16467 31983 6665 2057 8670 2781
Number of firms
1659 2846 3394 1941 6463 1245 230 1470 1414
Number of Instruments
29 29 29 29 29 29 29 29 29
p-value A-B test (AR2)
0.772 0.512 0.122 0.140 0.560 0.249 0.124 0.287 0.509
p-value Hansen test
0.630 0.232 0.417 0.122 0.349 0.169 0.112 0.380 0.682
Time effects yes yes yes yes yes yes yes yes yes
p-value Wald test for time effects
0.000 0.001 0.000 0.000 0.000 0.002 0.000 0.000 0.000
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USA Japan Developing
and Emerging S. Korea S. Africa
(𝐼
𝐾)
𝑡−1
0.348*** (0.000)
0.206*** (0.000)
0.360*** (0.000)
0.292*** (0.000)
0.324*** (0.000)
(𝑆
𝐾)
𝑡−1
0.377*** (0.000)
0.809** (0.000)
0.354*** (0.000)
0.705*** (0.000)
0.240** (0.015)
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(𝜋
𝐾)
𝑡−1
0.045*** (0.000)
0.045*** (0.000)
0.042*** (0.001)
0.024 (0.117)
0.034 (0.413)
(𝐹
𝐾)
𝑡−1
-0.051** (0.015)
)
-0.128 (0.235)
-0.091*** (0.000)
-0.076** (0.017)
-0.098*** (0.010)
(𝜋𝐹
𝐾)
𝑡−1
-0.255*** (0.000)
-0.899* (0.064)
-0.023 (0.439)
-1.262** (0.022)
-0.426* (0.077)
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷90]
𝑡−1
1.375** (0.012)
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷80]
𝑡−1
1.138** (0.031)
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷70]
𝑡−1
0.501*
(0.099)
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷60]
𝑡−1
0.425*** (0.001)
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷50]
𝑡−1
[(𝜋𝐹
𝐾)
𝑡−1∗ 𝐷40]
𝑡−1
-0.141*** (0.001)
Number of observations 11948 7652 31983 6665 2057
Number of firms 1659 1596 6463 1245 230
Number of Instruments 31 31 31 31 31
p-value A-B test (AR2) 0.897 0.269 0.611 0.168 0.159
p-value Hansen test 0.496 0.424 0.385 0.211 0.111
Time effects yes yes yes yes yes
p-value Wald test for time effects
0.000 0.000 0.000 0.001 0.000
p-value Wald test for β5+β6=0 0.002 0.012 0.002 0.001 0.038
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Country/
group
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Europe 0.527 0.405 0.213 0.000 0.667 0.000 -0.098 0.400 -0.039 -0.101 0.457 -0.046
BRICS 0.528 0.391 0.207 0.065 0.066 0.004 -0.201 0.196 -0.053 -0.066 0.804 -0.053
India 0.714 0.317 0.226 0.000 0.125 0.000 0.000 -0.512 0.000 -0.265 -0.828 0.219
China 0.499 0.624 0.311 0.000 0.072 0.000 0.000 -0.880 0.000 0.158 0.251 0.040
S/K π/K F/K π F /K
Country/groupLong-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
Long-run
coefficient
Actual
cumulative
change
Economic
Effect
USA 0.578 0.199 0.115 0.069 0.180 0.012 -0.078 0.284 -0.022 -0.391 0.067 -0.026 0.261 0.030 0.008
Japan 1.019 0.322 0.328 0.057 0.402 0.023 0.000 0.133 0.000 -1.132 -0.004 0.005 0.301 0.221 0.067
Developing and Emerging 0.553 0.474 0.262 0.066 0.427 0.028 -0.142 0.909 -0.129 0.000 0.185 0.000 -0.064 0.285 -0.018
S.Korea 0.996 0.337 0.335 0.000 0.111 0.000 -0.107 -0.262 0.028 -1.782 0.364 -0.648 0.160 0.468 0.075
S.Africa 0.355 0.424 0.151 0.000 0.376 0.000 -0.145 0.308 -0.045 -0.630 0.201 -0.127 0.111 0.213 0.024
π F /K (small)S/K π/K F/K π F /K (big)
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Symbol Variable Definition Worldscope Code
I Investment Addition to fixed assets WC04601
K Capital stock Net fixed capital stock WC02501
S Sales Net sales WC01001
π Profit rate Operating income WC01250
F Financial
Payments Interest + cash dividends paid
WC01251 +
WC04551
πF Non-operating
profit
Non-operating profit from interest and
dividends
WC01266 +
WC01268
FA Financial assets Cash, other investment, short-term
investment, other current assets
WC02003 + WC02250 +
WC02008 + WC02149
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‐
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‐
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‐
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Č
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