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capital-reallocation-and-liquidity




Capital Reallocation over the Business Cycle 1971-2013




 

Correlation of Output with Reallocation (1971-2013):  Cyclical Components

Updated version of Table 2 in “Capital Reallocation and Liquidity,” standard errors in parentheses.

 

Correlation of Output with

Levels

Turnover Rates

 

 

 

Acquisitions

0.69

0.61

 

(0.11)

(0.12)

 

 

 

Sales of PP&E

0.40

0.38

 

(0.17)

(0.16)

 

 

 

Total Reallocation

0.68

0.60

 

(0.10)

(0.12)

 

Capital Reallocation Data Files:  

PROGRAMS: 

The following files were used to construct the updated capital reallocation data (programs can be used to get updated data as desired).

·        To extract Compustat data from WRDS getrealloc.sas

·        To create capital reallocation time series annreallocsums.sas

·        To create Tobin’s q dispersion time series qdisp.sas

·        Matlab program used to compute correlations with cyclical component of GDP and create plots:  reallocationdata.m, hpfilter.m, gmmcorr.m

(note:  see the text of the last 2 files for author information.  I did not write these, but have audited them.)

DATA:

 Data:  Annual Capital Reallocation (1971-2012) and Dispersion in Tobin’s Q Data (1963-2012).

 

Please see “Capital Reallocation and Liquidity,” (joint with Adriano Rampini) Journal of Monetary Economics, April 2006, 369-399, for details.   Thank you to Leo Li, UCLA Anderson, for assistance in keeping these data updated.