ABSTRACT
This paper investigates the forecast value and determinants of firm investment intentions collected by NZIER's business survey. Contemporaneous investment intentions data significantly improve the performance of autoregressive models of investment. Lagged intentions were not significant. Nevertheless, their short publication lag means they are a valuable leading indicator of investment. Estimates of 'micro' (using firm-level data and estimated by ordered probit) and 'macro' (using aggregate data and estimated by generalised least squares) models of investment intentions suggest Tobin's q, conditioned by a firm's financial situation, explains a large proportion of investment intentions. Some difference between large and small firms was detected.
