The Role of Investment Options in the Business Cycle

本项目在真实的商业周期（RBC）框架内扩展并实证测试了一种新的想法和投资模型。 投资选择权是指需要投资才能实现的盈利机会，可以推迟。如果它是一项专利发明，或者如果它是一个公司特有的，这样其他人就不能通过复制它来降低它的价值，那么它是可以推迟的。研究者开发了一个简单的一般均衡模型，其中包含这样的选项，强调广泛的投资，例如创造新产品的生产能力。该项目探讨了它的几个变化，并评估其定量意义。RBC文献没有，除了以程式化的方式，纳入投资选择的概念。然而，它们可以帮助解释诸如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趋于大于1的同时，凸调整成本投资模型抑制了投资波动。目前的模式在成本方面包括一个跨期替代因素，即一项投资选择可以在今天或明天用完，但不能同时用完，这保留了模式所暗示的投资的大部分波动性，而没有调整成本。建议的延伸是垄断竞争的经济，不完整的市场，和密集的利润率投资。更广泛的影响：影响应该达到不仅仅是RBC问题。(1)首次公开募股和增发新股可以被看作是上市公司或即将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的明显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.