کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555858 | 1377033 | 2005 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investment under uncertainty and policy change
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper the impact of a policy change on the investment behavior of the firm is studied in an incomplete information setting. The policy change occurs when a stochastic process describing the state of the economic environment reaches a certain trigger. The firm has incomplete information about the trigger and knows only its probability distribution. Consequently, both the firm's conjecture concerning the trigger value as well as the precision of this conjecture serve as input parameters. We derive the optimal investment rule maximizing the value of the firm and show that the impact of the trigger value uncertainty on the optimal investment threshold is non-monotonic: the threshold decreases with uncertainty for its low levels, while the reverse is true if uncertainty is high. Furthermore, we provide results concerning the valuation of the firm's investment opportunity and present some policy implications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 7, July 2005, Pages 1193-1209
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 7, July 2005, Pages 1193-1209
نویسندگان
Grzegorz Pawlina, Peter M. Kort,