1. Firm behaviour
  2. Dynamic microsimulation
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A dynamic micro-econometric simulation model for firms

  1. Hovick Shahnazarian  Is a corresponding author
  1. Sveriges Riksbank, Stockholm/Sweden
Research article
Volume 4(1) Spring 2011
Cite this article as: H. Shahnazarian; 2011; A dynamic micro-econometric simulation model for firms; International Journal of Microsimulation; 4(1); 2-20. doi: 10.34196/ijm.00042
9 tables

Tables

Table 1
A description of the sample for 1997, 1998, and 1999.
Year Sampling frame Initial sample size Initial sample size correction* Sample size after data Sample size with observations for t-2
1997 2,56,171 33,887 29,363 27,370
1998 2,50,058 35,107 31,400 27,400
1999 2,43,131 36,566 36,238 35,457
Total 7,49,360 1,05,560 97,001 90,227
  1. *

    After the sampling, we check for inconsistencies and errors. If the firm does not fulfil the constructed criteria, it is regarded as an outlier and excluded from the sample. The sample is then re-weighted.

Table 2
Simulation results using current rules, MSEK.
2000 2001 2002 2003 2004
Assets
 CA 21,57,244 26,26,464 29,91,256 32,85,191 35,76,919
 MA 6,55,068 7,37,831 8,12,583 8,85,209 9,56,082
 BU 5,26,931 10,34,464 12,55,277 13,23,282 13,87,825
 OFA 36,97,248 33,25,529 34,41,718 36,46,573 36,58,999
 Total 70,33,491 77,24,288 85,00,834 91,40,255 95,79,825
Liabilities
 CL 14,81,818 26,98,440 34,49,106 38,42,111 42,31,449
 LL 26,07,697 27,29,837 28,33,233 39,17,740 30,00,933
 ASD 2,28,662 2,35,496 2,40,215 2,44,820 2,48,510
 OUR 10,524 10,760 10,939 10,987 11,138
 SC 3,38,181 3,61,574 3,84,821 4,06,226 4,29,033
 RR 6,14,792 8,69,063 11,24,540 13,77,906 16,31,679
 URE 15,58,227 5,92,813 2,01,132 50,403 −2,93,084
 PFt 1,93,585 2,26,301 2,56,844 2,90,058 3,20,165
 Total 70,33,486 77,24,284 85,00,830 91,40,251 95,79,823
Income statement
 OIBD 2,80,257 4,05,649 4,16,275 4,09,780 4,17,883
 EDEPma 1,04,559 1,28,439 1,32,789 1,31,337 1,32,571
 EDEPbu 9,084 20,342 19,701 18,767 18,602
 OIAD 1,66,613 2,56,867 2,63,784 2,59,675 2,66,709
 EBA 1,84,907 2,50,162 2,69,569 2,74,013 2,81,933
 EBT 1,44,302 2,20,969 2,45,122 2,47,502 2,63,326
 NI 90,460 1,80,345 2,00,673 1,95,417 2,11,841
 FTAX 47,735 42,842 42,689 42,980 43,766
 Olt 4,10,084 4,88,375 5,46,493 6,06,410 6,52,192
 NBI 96,566 1,78,126 2,02,432 2,04,522 2,19,559
Selected flow variables and financial ratios
 CR 1.456 0.973 0.867 0.855 0.845
 DR 0.599 0.720 0.756 0.756 0.772
 DER 1.492 2.570 3.094 3.103 3.384
 ECR 0.401 0.280 0.244 0.244 0.228
 FQ −0.292 −0.380 −0.404 −0.397 −0.399
 ICR 1.493 .634 1.682 1.684 1.693
 DI 0.089 0.071 0.062 0.058 0.055
 ROE 0.097 0.097 0.108 0.100 0.105
 ROI 0.080 0.083 0.078 0.074 0.072
 EFFTAX 0.258 0.171 0.158 0.157 0.155
 RROI 0.072 0.062 0.059 0.061 0.062
 ER 0.007 0.022 0.019 0.013 0.010

  1. Notes: See Appendix 1 for key to variable names

Table 3
Forecasting accuracy for year 2000.
Variable name Population weighted, Year 2000, MSEK Matched pairs t-test*** (t)
Sample Predicted
Mean (A) Standard deviation (B) Mean (C) Standard deviation (D)
EDEPMA 0.447 15.150 0.458 10.439 −0.280
SMA 2.206 1097.177 0.092 50.235 0.920
IMA 2.945 1096.308 0.834 10.150 0.920
EDEPBU 0.069 1.821 0.039 1.251 6.233
IBU 0.161 29.319 0.029 7.808 2.083
dofa −2.600 2373.374 2.671 87.504 −1.061
dca 0.417 578.716 0.546 26.748 −0.106
dll −3.446 2104.863 0.283 23.357 −0.847
dcl 0.114 432.930 −0.502 30.057 0.678
dsc −0.035 48.833 0.090 5.457 −1.217
drr 0.456 113.333 1.157 12.723 −2.937
OIBD 1.398 81.459 1.227 17.734 0.980
FI 1.880 153.795 .722 103.292 0.407
FE 1.150 55.330 1.641 112.435 −1.875
TDEPMA 0.538 18.430 0.522 6.936 0.408
ZPF 0.095 8.401 −0.001 0.444 5.485
Dour −0.015 2.216 0.087 8.181 −5.775
GC 0.033 45.076 0.032 35.622 0.008
OA 0.068 42.842 0.072 35.470 −0.041
TL 0.233 7.468 0.236 37.691 −0.041
OTA −0.678 147.590 −0.221 19.762 −1.465
TDEPBU 0.086 3.688 0.080 1.308 0.668
PALLO 0.224 32.200 0.274 2.580 −0.733
ROT 0.002 4.355 0.091 7.970 −1.007
TAX 0.212 6.360 0.230 2.168 −1.270
FTAX 0.210 6.000 0.209 8.168 0.060

  1. Notes: See Appendix 1 for key to variable names

  2. *

    Calculated by dividing weighted sum of variable in the sample by population size

  3. **

    Calculated using the population rather than sample size

  4. ***

    The match pair t-test of equal predicted and sample means is performed as follows: t = (A-B)/sqrt(C**2/N)+D**2/N) where N = 228344 is the population size.

Table 4
The actual and predicted distribution.
The actual distribution The predicted distribution
Mean 2,02,425.364 2,20,221.588
Standard Deviation 1,60,57,919.6 2,29,66,100
Skewness 51.3292645 −155.64327
Curtosis 3,517.11279 25,481.8173
100% Max 1,38,01,03,929 39,02,61,309
90% 1,76,232 4,37,049
75% Q3 43,411 2,71,427
50% Median 4076 1,82,961
25% Q1 0 0
10% 0 0
0% Min 0 −3702063348
Table 5
Simulation results for a proposed tax reduction by 3 per cent, MSEK.
2000 2001 2002 2003 2004
Final taxes paid
FTAX 47,735 42,842 37,651 37,888 38,581
Financial ratio analysis
CR 1.456 0.973 0.867 0.855 0.845
DR 0.599 0.720 0.754 0.754 0.770
DER 1.492 20570 3.064 3.073 3.350
ECR 0.401 0.280 0.246 0.246 0.230
FQ −0.292 −0.380 −0.402 −0.395 −0.397
ICR 1.493 1.634 1.682 1.684 1.693
DI 0.089 0.071 0.062 0.058 0.055
ROE 0.097 0.097 0.108 0.099 0.105
ROI 0.080 0.083 0.078 0.074 0.072
EFFTAX 0.258 0.171 0.140 0.138 0.137
RROI 0.072 0.062 0.058 0.059 0.060
ER 0.007 0.022 0.020 0.015 0.012
The cost of the proposed tax rule
Periodic net cost (FTAXP – FTAXC) 0 0 −5038 −5092 5185

  1. Notes: See Appendix 1 for key to variable names

Table 6
Simulated results from an alternative macroeconomic development, MSEK.
2000 2001 2002 2003 2004
Final taxes paid
FTAX 48,642 41,072 39,760 39,984 40,807
Financial ratio analysis
CR 1.339 1.064 0.998 0.972 0.933
DR 0.627 0.700 0.724 0.734 0.762
DER 1.682 2.337 2.620 2.574 3.196
ECR 0.373 0.300 0.276 0.266 0.238
FQ −0.310 −0.357 −0.366 −0.365 −0.376
ICR 1.511 1.590 1.642 1.652 1.666
DI 0.086 0.074 0.066 0.062 0.058
ROE 0.082 0.082 0.090 0.089 0.101
ROI 0.081 0.082 0.078 0.075 0.073
EFFTAX 0.253 0.178 0.160 0.156 0.153
RROI 0.072 0.063 0.062 0.062 0.061
ER 0.009 0.109 0.016 0.013 0.012
The cost of the proposed tax rule
Periodic net cost (FTAXP – FTAXC) 907 −1770 −2929 −2996 −2959

  1. Notes: See Appendix 1 for key to variable names

Table 7
Macroeconomic forecast in the government’s budget bill and spring fiscal policy bill (in parenthesis), SEK billion, percentage change, and percent.
1999 2000 2001 2002 2003 2004
GDP 2010 (2010) 2083 (2098) 2118 (2115) 2169 (2151) 2225 (2207) 2277 (2262)
dGDP 79 (79) 72 (88) 35 (16) 51 (37) 56 (55) 51 (56)
dlGDP 3.60 (4.38) 1.70 (0.77) 2.40 (1.73) 2.60 (2.58) 2.30 (2.52)
r10* 4.83 (4.83) 5.40 (5.37) 5.20 (5.10) 5.20 (5.00) 5.20 (5.11) 5.20 (5.20)
Inflation 1.20 (1.20) 1.40 (1.30) 2.70 (2.60) 1.80 (2.10) 2.00 (2.20) 2.00 (2.00)
Real r10 3.59 (3.59) 3.94 (4.02) 2.43 (2.44) 3.34 (2.84) 3.14 (2.85) 3.14 (3.14)

  1. Notes: See Appendix 1 for key to variable names;

  2. *

    r10 is the nominal interest rate on a government bond with a maturity of 10 years.

A1.1
Balance sheet and income statement variables.
Symbol Variable name
K Assets
CA Current Assets
FA Fixed Assets
MA Machinery and Equipment
BU Buildings
OFA Other Fixed Assets
CMA The Taxable Residual Value of Machinery and Equipment
WC Working Capital
B Liabilities
CL Current Liabilities
LL Long-Term Liabilities
UR Untaxed Reserves
ASD Accumulated Supplementary Depreciation
OUR Other Untaxed Reserves
PFtt-i Remaining Periodical Reserves From t-i in period t
EC Equity Capital
SC Share Capital
RR Restricted Reserves
URE Unrestricted Equity
OIBD Operating Income Before Depreciation
EDEPMA Economic Depreciation of Machinery and Equipment
EDEPBU Economic Depreciation of Buildings
OIAD Operating Income after Economic Depreciation
FI Financial Income
FI Financial Income
FE Financial Expenses
EBA Earnings Before Allocations
TDEPMA Tax Depreciation of Machinery and Equipment
OA Other Allocations
zpf Change in Periodical Reserves
pallo Allocations to Periodical Reserves
EBT Earnings Before Taxes
TL Tax Liability
NI Net Income
TA Tax Adjustments
OTA Other Tax Adjustments
TDEPBU Tax Depreciation of Buildings
OLtt-1 Losses From Previous Years
TAX Calculated Tax Payments
ROT Reduction Of Taxes
FTAX Final Tax Payments
OLt The Stock of Old Losses
NBI Net Business Income
A1.2
Flow variables, financial ratios, legal constraints, and parameters.
Symbol Variable name
IMA Net Investment in Machinery and Equipment
IBu Net Investment in Buildings
dca Net Change in Current Assets
dofa Net Change in Other Fixed Assets
dcl Net Change in Current Liabilities
dll Net Change in Long-Term Liabilities
dour Net Change in Other Untaxed Reserves
dsc Net Change in Share Capital
drr Net Changes in Restricted Reserves
dURE Net Change in Unrestricted Equity (Retained Earnings)
cashfl Cash flow
SMA Sales of Machinery and Equipment
IG Investment Grant
DIV Dividends Paid to Shareholders
GC Net Group Contribution
CR The Current Ratio
DR The Debt Ratio
DER The Debt/Equity Ratio
ECR The Equity Capital Ratio
FQ The Financial Q
ICR The Interest Coverage Ratio
ROA Return on Total Assets
ROE Return on Equity
DI Average Debt Interest
ROI Return on Investment
RROI Required Return on Investment
τeff Effective Corporate Tax Rate
ER Excess Return on Investment
TDDBMA Tax Depreciation (Declining Balance Method)
TDSLMA Tax Depreciation (Straight-Line Method)
TDRVMA Tax Depreciation (Rest Value Method)
MTDM Maximum Amount of Tax Depreciation
dmtdm Difference Between MTDM and TDEPMA
ddmtdm Change in the Utilization of Depreciation Allowances
MPA Maximum Amount of Allocations to Periodical Reserves
dmpa Difference Between MPA and pallo
ddmpa Change in the Utilization of Periodical Reserves
dcashfl The Change in Cash Flow
mcash Maximum Dividends
dmcash The Difference Between mcash and cashfl
ddmcash Change of Dividend Policy Closer to the Legal Constraint
δDB The Depreciation Rate (Declining Balance Method)
δS The Depreciation Rate (Straight-Line Method)
δRV The Depreciation Rate (Rest Value Method)
M Number of Months in the Firms’ Income Year
τ The Statutory Corporate Tax Rate

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