6/2007 Lenno Uusküla. Firm entry and liquidity
Working Papers of Eesti Pank. No 6/2007
This paper shows that fewer firms enter after a contractionary liquidity shock and that firm entry reacts quicker to liquidity than the economic activity indicator. The results are obtained by using Estonian data for the period 1995M1-2006M7. Various structural VAR and VECM models are exploited to identify the liquidity shock.
JEL Code: E52, C32
Key words: monetary transmission, firm entry, VAR, VECM, Estonia
* The author would like to thank the Estonian Enterprises Register, especially Mailis Mölder for providing the data and the participants of the Bank of Estonia seminars for their comments.
Author's e-mail address: lenno.uuskyla [at] epbe.ee
The views expressed are those of the author and do not necessarily represent the official views of Eesti Pank.
- 1. Introduction
- 2. Literature
- 3. Data description
- 4. Identification of the liquidity shock
- 4.1. Identification in VAR
- 4.2. Identification in VECM
- 4.3. Technical aspects of the estimation
- 5. Results
- 5.1. Impulse response analysis
- 5.2. Forecast error variance decomposition
- 6. Conclusions
Firm entry and liquidity, Working Papers of Eesti Pank No 6/2007 (PDF*)
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