Extension and Empirical Application of the Theory Investment Under Uncertainty

不确定性下投资理论的推广与实证应用

• 批准号: 9223503
• 负责人: Andrew Abel
• 金额: $ 18.44万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1993
• 资助国家: 美国
• 起止时间: 1993-07-01 至 1995-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9223503&HistoricalAwards=false
• 关键词: Extension; Empirical; Application; Theory; Investment

This project has two objectives: (1) to develop a theoretical framework that integrates and extends existing models of capital investment; and (2) to apply this framework to data on capital investment by firms and by industries. The theoretical framework emphasizes the costs of adjusting the size of the capital stock and includes the facts that firms may pay a higher price for capital when they buy than when they sell capital, that it may cost more per unit to adjust the capital stock quickly rather than slowly, and that adjusting the capital stock may involve fixed costs. Rather than explore the role of a single adjustment technology in isolation, this model specification allows the nesting of possible adjustment costs, resale market imperfections, and acquisition costs, while further allowing for fixed adjustment costs and irreversible investment. Also, the resulting investment function is simple enough to admit direct empirical examination, and the tractability of aggregation problems allows estimation in both firm-level and industry level data. This research is important because it holds the prospect of making an important break through in better understanding the investment behavior of firms and industries.

本项目有两个目标：(1)建立一个理论框架，整合和扩展现有的资本投资模型；(2)将这一框架应用于企业和行业的资本投资数据。该理论框架强调调整资本存量规模的成本，并包括以下事实：企业在购买资本时可能比出售资本时支付更高的资本价格，快速而不是缓慢地调整资本存量的单位成本可能更高，以及调整资本存量可能涉及固定成本。该模型规范不是孤立地探索单一调整技术的作用，而是允许嵌套可能的调整成本、转售市场缺陷和获取成本，同时进一步允许固定调整成本和不可逆投资。此外，由此产生的投资函数足够简单，可以进行直接的实证检验，并且集合问题的可追溯性允许在公司层面和行业层面的数据中进行估计。这项研究很重要，因为它有望在更好地理解企业和行业的投资行为方面取得重要突破。