Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States

Roland Füss, Denis Schweizer

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)391-410
Number of pages20
JournalReview of Quantitative Finance and Accounting
Volume38
Issue number3
DOIs
Publication statusPublished - Apr 2012

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Interaction
Macroeconomic variables
Venture capital
Macroeconomy
Endogeneity
Financial variables
Factors
Vector error correction model
Risk capital
Long-run equilibrium

Keywords

  • risk capital
  • endogeneity
  • macroeconomy
  • venture capital returns

Cite this

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Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States. / Füss, Roland; Schweizer , Denis.

In: Review of Quantitative Finance and Accounting , Vol. 38, No. 3, 04.2012, p. 391-410 .

Research output: Contribution to journalArticle

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