What do we knout about investment under uncertainty?

被引:192
作者
Carruth, A [1 ]
Dickerson, A
Henley, A
机构
[1] Univ Kent, Canterbury CT2 7NZ, Kent, England
[2] Univ Wales, Aberystwyth, Dyfed, Wales
关键词
investment; uncertainty; irreversibility;
D O I
10.1111/1467-6419.00107
中图分类号
F [经济];
学科分类号
02 ;
摘要
Recent theoretical developments relating to investment under uncertainty have highlighted the importance of irreversibility for the timing of investment expenditures and their expected returns. This has subsequently stimulated a growing empirical literature which examines uncertainty and threshold effects on investment behaviour. This paper presents a review of this literature. A variety of methods have been used to investigate the empirical implication of irreversibility in investment, the majority focusing on the relationship between investment flows and proxy measures of uncertainty. A general conclusion is that increased uncertainty, at both aggregate and disaggregate levels, leads to lower investment rates. This suggests that there is an irreversibility effect, under which greater uncertainty raises the value of the 'call option' to delay a commitment to investment. This effect appears to dominate any positive impact on investment arising from the fact that greater uncertability, under certain circumstances, increases the marginal profitability of capital. The methods used raise a number of issues which call into question the reliability of the findings, and these are addressed in the paper. However, if such irreversibility effects are present, then their omission from traditional investment models casts doubt on the efficacy of such specifications. JEL Classification: D81, D92, E22
引用
收藏
页码:119 / 153
页数:35
相关论文
共 72 条
[1]  
ABEL AB, 1994, AM ECON REV, V84, P1369
[2]   Options, the value of capital, and investment [J].
Abel, AB ;
Dixit, AK ;
Eberly, JC ;
Pindyck, RS .
QUARTERLY JOURNAL OF ECONOMICS, 1996, 111 (03) :753-777
[3]   An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility [J].
Abel, AB ;
Eberly, JC .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1997, 21 (4-5) :831-852
[4]  
ABEL AB, 1995, UNPUB INVESTGMENT Q
[5]   MICROBIAL ANTAGONISM TO THE IMPERFECT STAGE OF THE APPLE SCAB PATHOGEN, VENTURIA-INAEQUALIS [J].
ANDREWS, JH ;
BERBEE, FM ;
NORDHEIM, EV .
PHYTOPATHOLOGY, 1983, 73 (02) :228-234
[6]  
[Anonymous], 1992, Journal of Business Finance Accounting, DOI [DOI 10.1111/J.1468-5957.1992.TB00643.X, DOI 10.1111/JBFA.1992.19.ISSUE-4, 10.1111/j.1468-5957.1992.tb00643.x]
[7]  
Arrow K., 1968, VALUE CAPITAL GROWTH
[8]   IRREVERSIBILITY, UNCERTAINTY, AND CYCLICAL INVESTMENT [J].
BERNANKE, BS .
QUARTERLY JOURNAL OF ECONOMICS, 1983, 98 (01) :85-106
[9]   IRREVERSIBILITY AND AGGREGATE INVESTMENT [J].
BERTOLA, G ;
CABALLERO, RJ .
REVIEW OF ECONOMIC STUDIES, 1994, 61 (02) :223-246
[10]   INVESTMENT AND TOBINS-Q - EVIDENCE FROM COMPANY PANEL DATA [J].
BLUNDELL, R ;
BOND, S ;
DEVEREUX, M ;
SCHIANTARELLI, F .
JOURNAL OF ECONOMETRICS, 1992, 51 (1-2) :233-257