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

Review of Quantitative Finance and Accounting, Vol. 38, No. 3, 391-410, 2012

Posted: 14 Feb 2009 Last revised: 29 Mar 2016

See all articles by Roland Füss

Roland Füss

University of St. Gallen - School of Finance

Denis Schweizer

Concordia University

Date Written: July 14, 2012

Abstract

Based on theoretical rationales of an equilibrium model, we use macroeconomic and financial variables as proxies to empirically model their influence on the performance of risk capital in the U.S. The results show that venture capital investments are positively related to industrial production, the exit channel Nasdaq, and the long-term interest rate, but negatively related to the short-term interest rate. According to the short-term dynamics, VEC Granger causality confirms that industrial production and the exit channel influence venture capital performance, while in the latter, venture capital Granger causes Nasdaq performance. However, in comparison to Nasdaq stock prices, venture capital prices are less exogenous.

Keywords: Venture capital investment, macro economy, cointegration test, VECM, Granger causality, variance decomposition

JEL Classification: C32, F4, G24

Suggested Citation

Füss, Roland and Schweizer, Denis, Short and Long-term Interactions between Venture Capital Returns and the Macroeconomy: Evidence for the United States (July 14, 2012). Review of Quantitative Finance and Accounting, Vol. 38, No. 3, 391-410, 2012. Available at SSRN: https://ssrn.com/abstract=1343102

Roland Füss (Contact Author)

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland
+41 (0)71 224 70 42 (Phone)
+41 (0)71 224 70 88 (Fax)

HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

Denis Schweizer

Concordia University ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada
+1 (514) 848-2424 ext. 2926 (Phone)
+1 (514) 848-4500 (Fax)

HOME PAGE: http://www.concordia.ca/jmsb/faculty/denis-schweizer.html

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