The Role of Investment Options in the Business Cycle

该项目在真实商业周期(RBC)框架内扩展并经验性地测试了一个新的想法和投资模型。投资期权意味着盈利机会，需要投资才能实施，而且可以推迟。如果它是一项专利发明，或者如果它是特定于一家公司的，这样其他人就不能通过复制它来降低它的价值，那么它是可以延期的。研究人员开发了一个简单的一般均衡模型，其中包含这样的选项，该模型强调广泛的投资，如创造制造新产品的能力。该项目探索了它的几个变种，并评估了它们的数量意义。RBC文献除了以一种程式化的方式外，并没有纳入投资选择的概念。然而，它们可能有助于解释股票溢价之谜和投资波动性等异常现象。在解释为什么托宾的Q倾向于统一之上时，投资的凸性调整成本模型抑制了投资波动。目前的模型在成本方面包括一个跨期替代因素--即一项投资期权可以在今天或明天用完，但不能两个都用完--它保留了模型所隐含的投资的大部分波动性，而不需要调整成本。提议的扩展是对垄断竞争的经济、不完全市场和高利润率投资的扩展。更广泛的影响：其影响应该不仅仅是加拿大皇家银行的问题。(1)IPO和经验丰富的股票发行可以被视为已经或即将成为上市公司的投资选择的实施；(2)这里的股权溢价应该高于标准模型，因为消费的波动性要高得多；(3)扩展到不完全市场将有助于理解金融市场表面上的长期改善对商业周期的影响。

This project extends and tests empirically a new model of ideas and investments within a Real Business Cycle (RBC) framework. An investment option means a profit opportunity that requires an investment to implement and that can be postponed. It is postponable if it is a patented invention, or if it is specific to a firm so that others cannot reduce its value by copying it. The investigator develops a simple General Equlibrium model containing such options that emphasizes extensive investment such as creating capacity for making new products. The project explores several of its variations and assesses their quantitative significance.The RBC literature has not, except in a stylized way, incorporated the notion of investment options. Yet they could help explain anomalies such as the equity premium puzzle and the volatility of investment. While explaining why Tobin's q tends to be above unity, the convex-adjustment-cost model of investment dampens investment fluctuations. The present model includes an intertemporal substitution element on the cost side - namely that an investment option can be used up today or tomorrow but not both - that retains most of the volatility of investment implied by the model with no adjustment costs. Proposed extensions are to a monopolistically competitive economy, to incomplete markets, and to intensive-margin investment.Broader impact: The impact should reach beyond just the RBC issues. (1) IPOs and seasoned share issues can be viewed implementations of investment options by firms that are or that are about to become publicly owned; (2) The equity premium should be higher here than in the standard model because the volatility of consumption is considerably higher; (3) the extension to incomplete markets will help understand the effects on the business cycle of the apparent secular improvement of financial markets.