Ekonometrijska analiza proizvodnje i investicione aktivnosti jugoslovenske privrede 1967-1986. Članak predstavlja deo magistarskog rada istog naslova

Abstract

The subject of this paper is production and investment activity in the Yugoslav economy for the 1967-1986 period. Its aim is to establish the nature of the relations between basic macroeconomic aggregates and to identify their interaction, thus enabling evaluation of the development of Yugoslav economy in the given period.

The basic method used in this approach is econometric analysis, its aim being to follow the changes in the main production and investment indicators.

The section “The Change in the Main Indicators of Production and Investment Activity” analyses the dynamics of gross national product, industrial production, stock investment, gross investment in fixed capital, accumulation and depreciation and the degree of capacity utilisation. For each of these indicators there exist calculated series of annual rates of change and their main statistical values average, standard deviation and the span of extreme values(. Series of the annual rates of change of the considered indicators were regressed on the time factor, firstly for the whole considered period and then for the characteristic subperiods. Apart from the trend and cycle examination, correlation coefficients also give us the degree and indication of interrelationship between the observed economic aggregates.

All analysed indicators have a decreasing trend except for stock investment which has an increasing trend and absorbs an ever increasing portion of gross national product. Cyclical changes in gross national product, industrial production, and investment in fixed capital are marked by the lengthening of the retardation period and by ever increasing spans between top and bottom cycle points which is a sign of increasing system instability, or rather, its divergence. Evaluation of the twenty year development period is given by the dynamics of the basic indicators of the entire production and investment activity which shows its ineffectiveness, so there can hardly be any talk of development in this period.

The industrial production index, the value of internal funds, total gross fixed capital investment, fixed capital gross investment in production sector, stock investment and the degree of capacity utilization present dependent, or endogenous variables in a block of six equations.

One is a definition equation: total gross fixed capital investment is defined as a sum of fixed capital productive and non-productive gross investment, whereas the remaining five are behavioural equations.

The chosen modelled indicators of production and investment activity are being considered as level functions or as the change in the demand level, income and the corresponding prices, as well as a measure of economic policy. Five instruments of economic and development policy are represented by five exogenous variables. They are: average guideline rate of active bank interest, real interest rate on long term loans, tax rates and contributions, current dollar exchange rate and Federal Fund assets for crediting faster development of underdeveloped republics and provinces. A sixth exogenous variable represents gross investment in non-productive fixed assets and at the same time represents a quasi-instrument of development policy. This model contains two more exogenous variables: import of new materials and reproduction material and the rate of change in producers’ prices.

When specifying functional links in the model we started from theoretical assumptions common in this kind of theoretical research. They are based on the Keynesian tradition in economic theory, but also in some respects on the neoclassical theory of optimization. At each concrete specification of function special attention was paid to the institutional peculiarities of the Yugoslav economic system.

All equations are linear in terms of parameters thus enabling the application of the linear estimation method. Individual equations are estimated by the ordinary least squares method. The (non)existence of autocorrelation residuals in tested for each function. Final estimations of all functions are entirely satisfactory from the stand-point of statistical and econometric criteria and the indicators of estimated parameter values mostly correspond to what is theoretically expected. Cases in which the direction of influence is unexpected from theoretical standpoint are a consequence of the influence of Yugoslav institutional peculiarities.

As the method of ordinary least squares at estimating the simultaneous equations model gives partial parameter results, model equations where also estimated by the method of two-degree least squares which gives consistent results.

Specification of function index of industrial production is based on the combination of models of partial adjustment and expectations: current production level is partially adjusted to the planned level of production, also depending on the expected changes in investment demand and relative availability of raw materials and reproduction material.

The value of internal funds is being considered as a function of the level of production, tax rates and contributions, average guideline bank interest rate and the value of fixed capital. Since the evaluation of this function resulted in a negative relationship between internal funds and fixed capital, an auxiliary accumulation function was estimated, whole interpretation explains this theoretical paradox.

The function specification of gross investment in fixed assets is a combination of the flexible accelerator and cash flow models. The negative and statistically significant parameter together with internal funds, derived from the evaluation of this function, represents a theoretical paradox. This (negative) relationship, however, is not unexpected. Its statistical significance is wholly explained by the inverse cycle of these two magnitedes, which, as practice has shown, is a consequence of yet another institutional peculiarity: in the periods of stagnation and crisis when it is logical to expect a decline in investment the criteria for intentional distribution and internal funds are increasing (or their decline is hampered).

When specifying the stock investment function the multifaceted structure of this aggregate was taken into account. Therefore the starting specification of this function is as follows: total stock investment in the current period partly adjusts to the planned level of investment in raw materials and reproduction material (determined by the planned level of production) and it depends on the planned level of sales of finished goods and inflationary expectations.

The degree of capacity utilization is seen as dependent on cyclical fluctuations in production (represented by the annual rates of change in the industrial production index) and availability of imported raw materials and reproduction material. Together with the assumption about Koyck distribution of low rates of change index in industrial production and with corresponding transformations, we derived a function whose parameters are consistently being evaluated by the iterative procedure. In the sixt iteration uniform and consistent parameter estimations were arrived at.

Summing up the most important research results leads us to the following conclusions: 1) important features of production and investment are the slackening of growth, stagnation and a drop in effectiveness; 2) cyclical fluctuations point to the growing instability in the economy; 3) non-market factors significantly determine the level of production; 4) fixed capital investment is crucially determined by exogenous factors; 5) accumulation and depreciation are in the trade-off relationship, which points to the tendency of economic subjects to minimize their sum; 6) total stock investment is determined by the level of production with a pronounced speculative motif; 7) the degree of capacity utilization is under the crucial influence of supply side factors.