University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

Short and Long-term Interactions between Venture Capital Returns and the Macroeconomy: Evidence for the United States

Roland Füss & Denis Schweizer

fulltext etc. no fulltext attached
abstract The main purpose of this paper is to empirically model the influence of macroeconomic and financial variables on the performance of risk capital in the US. We start our investigation using a static long-run equilibrium model. In contrast to previous studies, we analyze the effect of several factors simultaneously within the framework of a vector error correction model (VECM). This allows us to study short- and long-term interactions to overcome the problem of endogeneity, and to discover causal mechanisms. The results show that the value of venture capital investments is positively related to industrial production, the exit channel Nasdaq, and the long-term interest rate. However, the value of venture capital investments is negatively related to the short-term interest rate. According to the short-term dynamics, VEC Granger causality confirms that only industrial production influences venture capital performance, while venture capital returns Granger causes Nasdaq performance.
   
type journal paper
   
keywords Venture capital returns – Macroeconomy – Cointegration test – VECM – Granger causality – Variance decomposition
   
language English
kind of paper journal article
date of appearance 4-2012
journal Review of Quantitative Finance and Accounting
publisher Springer (Dordrecht)
ISSN 0924-865X
ISSN (online) 1573-7179
DOI 10.1007/s11156-011-0233-4
volume of journal 38
number of issue 3
page(s) 391-410
review double-blind review
   
citation Füss, R., & Schweizer, D. (2012). Short and Long-term Interactions between Venture Capital Returns and the Macroeconomy: Evidence for the United States. Review of Quantitative Finance and Accounting, 38(3), 391-410, DOI:10.1007/s11156-011-0233-4.