The Role of Investment Options in the Business Cycle

该项目在真实商业周期（RBC）框架内扩展并测试了一个新的想法和投资模型。投资选项意味着需要投资才能实现的盈利机会，并且可以推迟。如果它是一项专利发明，或者如果它是特定于一家公司的，那么它是可延期的，这样其他人就不能通过复制来降低它的价值。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，如创造制造新产品的能力。该项目探讨了它的几个变化，并评估了它们的定量意义。除了以一种程式化的方式，加拿大皇家银行的文献并没有纳入投资期权的概念。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。投资的凸调整成本模型在解释Tobin’s q趋于1以上的原因时，抑制了投资的波动。目前的模型包括成本方面的跨期替代因素- -即一种投资选择可以在今天或明天用完，但不能同时用完- -它保留了模型所暗示的投资的大部分波动性，而没有调整成本。拟议的扩展是针对垄断竞争经济、不完全市场和密集边际投资。更广泛的影响：影响应该不仅仅局限于RBC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上市的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)将其扩展到不完全市场，有助于理解金融市场的明显长期性改善对经济周期的影响。

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.