Investment under Uncertainty: Theory and Evidence

点击翻译按钮获取中文摘要

The objectives of this research are to develop and empirically test a more encompassing theory of investment under uncertainty that may better describe the actual investment behavior of firms, and to assess its implications for aggregate investment. The research project has both theoretical and empirical components. The empirical component implements with firm-level data the framework developed under the previous grant, in which firms may face various costs of adjusting their capital stocks. The goal of the theoretical component is to further develop analytically the role played by various types of adjustment costs in the investment dynamics of the firm. This framework emphasizes the fact that firms may pay a higher price for capital purchases than they receive for capital sales. One such case is examined in detail and an analytic solution obtained. It is shown that even a small discount on resale prices relative to purchase prices may have a substantial impact on investment behavior. This analysis is extended to a firm with any number of factors that may have resale discounts. A two-factor example can be interpreted as a firm facing irreversibility of capital investment and costs of firing workers. These features have been examined separately before, but this framework shows that when considered together, the importance of each type of irreversibility declines. Finally, it is shown how a continuum of bubbles can arise in the context of a firm's optimization problem. - - 9512088 Abel The objectives of this research are to develop and empirically test a more encompassing theory of investment under uncertainty that may better describe the actual investment behavior of firms, and to assess its implications for aggregate investment. The research project has both theoretical and empirical components. The empirical component implements with firm-level data the framework developed under the previous grant, in which firms may face various costs of adjusting their capital stocks. The goal of the theoretical component is to further develop analytically the role played by various types of adjustment costs in the investment dynamics of the firm. This framework emphasizes the fact that firms may pay a higher price for capital purchases than they receive for capital sales. One such case is examined in detail and an analytic solution obtained. It is shown that even a small discount on resale prices relative to purchase prices may have a substantial impact on investment behavior. This analysis is extended to a firm with any number of factors that may have resale discounts. A two-factor example can be interpreted as a firm facing irreversibility of capital investment and costs of firing workers. These features have been examined separately before, but this framework shows that when considered together, the importance of each type of irreversibility declines. Finally, it is shown how a continuum of bubbles can arise in the context of a firm's optimization problem. + - À v▀ +n ±ª ╝n ¼▀ + - À vN +n ±ª ╝n ¼N f8 Û-ª þ ; + + Ûª▓ ÑOh ª' +'ª▒0 H + S u m m a r y I n f o r m a t i o n ( ++++++++++++ ? x ++++++++++++ ++++++++++++ ++++++++++++ ▀ Û ( L p ` » ] $ ; + +++ N:\WW60\NORMAL.DOT BROWN, R @ @ @ +║¾*_++ @ v(A Microsoft Word 6.0 2 f8 Û-ª þ ; + +++ ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++]ªe =- e e % e H H H H H H $ x x x x x x í x ^ W + + + + + + + + ± ¼ ¼ ¼ Á ▀ ª ▀ @ ª T ^ H + + + + + ^ + H H + + + + + + H + H + ± H V ` H H H H + ± + +