The Role of Investment Options in the Business Cycle

投资选择在经济周期中的作用

• 批准号: 0614779
• 负责人: Boyan Jovanovic
• 金额: $ 20.62万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-07-15 至 2009-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0614779&HistoricalAwards=false
• 关键词: Role; Investment; Options; Business; Cycle

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.

该项目在实际商业周期（RBC）框架内扩展并经验测试了一种新的思想和投资模型。 投资选择意味着需要进行投资实施的获利机会，并且可以推迟。如果它是专利的发明，或者它特定于公司，则可以推迟其推迟，因此其他人无法通过复制其价值来降低其价值。 研究人员开发了一个简单的通用equlibrium模型，该模型包含这种选择，强调了广泛的投资，例如创造生产新产品的能力。该项目探讨了其几种变化并评估其定量意义。除非以风格化的方式，RBC文献尚未纳入投资选择的概念。然而，它们可以帮助解释异常情况，例如股票高级难题和投资的波动。在解释为什么托宾的Q往往高于统一的同时，投资的调整成本模型抑制了投资波动。目前的模型包括成本方面的跨期替换要素 - 即投资选项可以在今天或明天使用，但不能两者都用途 - 保留了该模型所隐含的大部分投资波动，而没有调整成本。拟议的扩展是要垄断竞争性的经济，不完整的市场以及密集利润的投资。BRODERIMPACT：影响应超越RBC问题。 （1）可以将IPO和经验丰富的股份问题视为或即将成为公共拥有的公司对投资期权的实施； （2）这里的股票溢价应高于标准模型，因为消费的波动率要高得多； （3）不完整市场的扩展将有助于了解金融市场明显的世俗改善对商业周期的影响。