آیا بانک های مرکزی را تحت تاثیر نسبت qتوبین قرار می گیرند؟

Previous work has documented inflation effects on Tobin's q in the long run. This paper examines whether the FED's different policies and chairmen tenure have an impact on Tobin's q, after a modified stylized AD-AS model shows that central banks affect q. We do find changing responses of q depending on the pre-Volcker and post-Volcker periods.

The stock market and investment are positively correlated (Morck, Schleifer, & Vishny, 1990). The accumulation of fixed capital responds to movements in the stock market. According to Black, Fraser, and Groenewold (2003) the ratio of stock market capitalisation to GDP more than tripled in 10 years up to the year 2000 — from 53.2% in 1990 to over 181% in 2000. They note that stock market not only increased relative to the real economy, but the relation between them has also strengthened. Most economists think of the relationship between the stock market and investment in terms of Tobin's q ( Shapiro, 1990). Tobin's q is the ratio of the market valuation of real capital assets to the current replacement cost of those assets ( Tobin & Brainard, 1977). 1 For Tobin and Brainard (1990)q is not a real or financial variable but a hybrid variable, the ratio of a financial market price to a commodity market price. The q-theory of investment is a theory of investment that says that a q greater than one stimulates investment, i.e., when capital is valued more highly in the market than it costs to produce it, investment grows ( Brainard & Tobin, 1968). For Tobin [(1969), p.29] the q-theory 2 allows monetary policies to affect aggregate demand by changing the valuations of physical assets relative to their replacement costs. In this sense it is implicit that central banks can affect Tobin's q, mainly through inflation, 3 and ultimately, private investments and the accumulation of capital stock. There is a large literature, mostly theoretical, that studies the effect of inflation on an economy's capital stock. The “Tobin effect” (Tobin, 1965 and Tobin, 1967) refers to the mechanism in which a higher inflation rate reduce the return of holding real money balances and lead agents to substitute out money and into physical capital. Thus increasing inflation results in higher capital accumulation. Sidrauski (1967) develops a dynamic model with real money balances in the utility function and shows that money is superneutral, i.e., inflation does not affect the real variables of the economy, including capital stock. Last, but not least, Stockman (1981) formulates a model in which agents face a cash-in-advance constraint, i.e., money is necessary in advance for the purchase of goods. In this model inflation is a tax on holdings of real money balances and, as a consequence, on capital stock. Empirical results on the relation between inflation and investment and capital stock formation are ambiguous. De Gregorio (1993) estimates a negative impact of inflation on economic growth through its effects on investment. Fischer (1993) presents evidence that inflation negatively affects the formation of real capital stock. Barro (1995) finds that investment–GDP ratio is negatively related to inflation. Crosby and Otto (2000) empirical results show that capital stock is invariant to changes in the inflation rate. One important channel through which inflation can affect investment and the formation of capital stock is the Tobin's q. Although the majority of the literature on Tobin's q does not address or consider the idea that inflation may affect Tobin's q, the literature ignores some issues indicated by Tobin and Brainard (1977) for explaining why inflation matters in practice. Anticipated inflation may affect Tobin's q through non-neutral taxes, and nominal interest rates that are fixed or controlled, while unanticipated inflation will have additional non-neutral effects. In addition, Tobin (1969) showed that there are theoretical reasons, through an extended LM curve, for the expected inflation rate to have a positive impact on q. Faria and Mollick (2010) develop a theoretical model introducing Tobin's q in the IS-LM framework. In theory, the impact of actual inflation on Tobin's q can be either positive or negative. Faria and Mollick (2010) test the hypothesis with U.S. data from 1953 to 2000, and show that there is a negative (long run) impact of inflation on q, while adjusting fast in the short-run dynamics, and controlling for Schumpeterian innovations. 4 An explanation for the negative impact of inflation on q lies on the nature of Tobin's q as a hybrid variable. Inflation impacts the financial market price differently from the commodity market price. Thereby inflation is non-neutral on Tobin's q. This paper goes one step further than Faria and Mollick (2010). It assesses whether the Federal Reserve (FED) affects Tobin's q through monetary policy, and it tests, in particular, the effect of the FED chairmen on Tobin's q. The role of FED Chairmen and FED's monetary policies are important to explain American inflation, and has been object of intense scrutiny. Sargent, Williams, and Zha (2006) find that American inflation results from an interaction between the monetary authority's beliefs [updated continuously] and economic shocks. The rise in inflation in the 1970s is attributed to shocks that changed the monetary authority's estimates and made it misperceive the tradeoff between inflation and unemployment.5Blinder, 1982, Hetzel, 1998 and Mayer, 1998 find that FED policy in the 1970s had a systematic tendency to translate adverse supply disturbances into persistent changes in the inflation rate. In the 1980s, according to Bomfim and Rudebusch, 2000 and Orphanides and Wilcox, 2002, the FED acted opportunistically to reduce inflation after favorable supply-side shocks. Another line of explanation, not necessarily opposed to the above, is the view that the FED is plagued by the time-consistency problems, as stressed by Ireland (1999), which explains its unwillingness to prevent inflation from rising after negative shocks and its capacity to reduce inflation after positive supply-side shocks. More recently, Ireland (2007) confirms Friedman's view that inflation is always and everywhere a monetary phenomenon, finding that the bulk of inflation's rise and fall is due to the FED policy.6 In the next section we present a stylized AD-AS model with Tobin's q, showing how the FED can affect Tobin's q. The empirical evidence is presented in Section 3. The concluding remarks appear in Section 4.

This paper reconsiders the relationship between monetary policy and financial markets, previously captured by Ehrmann and Fratzscher (2004) for a shorter time-span and for the role of financial constraints. By showing how the “hybrid” Tobin's q responds in the long run to FED's policymaking, this paper attempts to fill a gap in the literature on the transmission of monetary policy to financial markets relative to the cost of capital. This paper examines whether FED's monetary policies and tenures of FED's chairmen have an impact on the market value of firms relative to replacement costs. With a modified stylized AD-AS model showing that central banks affect Tobin's q, we do find changing responses of q depending on the pre-Volcker and post-Volcker period. Since there are fundamentally different responses of the policy rule over time — as documented by Clarida et al., 2000 and Mavroeidis, 2010 — this paper provides evidence that the “hybrid” Tobin's q responds to monetary policy actions in a different way across periods: negatively under the Volcker–Greenspan era and positively under the Martin tenure. One interpretation, along the lines of Caporale and Grier (2005), is that FED Chairs may differ with respect to their preferred equilibrium real interest rate.