Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 343 Description:
"These notes were... initially circulated as Federal Reserve Bank of Minneapolis Working Paper 343, 1987." The 1987 version is out of print.
Keyword: Phillip Cagan, Bubble, Currency reform, Price fluctuations, Money stock, Price bubbles, Hyperinflation, and Real cash balances Subject: E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation and E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers
Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 286 Abstract: This paper characterizes the behavior of investment expenditures, optimal capital stocks, and real interest rates in the time-to-build model of investment. These results are used to show that the delivery lag model of investment fails to account for time lags in investment when constructing the cost of capital variable and hence, misspecifies the effects of interest rates on investment expenditures. Second, this paper derives equilibrium pricing relationships involving the prices of existing capital and uses these relationships to obtain simple tests of the underlying investment technology. Despite the widespread use of 'q' in the empirical investment literature, it is shown that the relationship between current investment and an appropriately defined measure of Tobin's 'q' contains no such testable implications. Finally, it is shown that the practice of using stock market data to measure the price of existing capital is invalid when time lags exist in the investment process. Keyword: Equilibrium pricing, Lag, Time lag, and Capital stocks Subject: E22 - Macroeconomics : Consumption, saving, production, employment, and investment - Capital ; Investment ; Capacity
Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 366 Description:
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Keyword: Idiosyncratic risk, Assymetric information , Transaction cost, Private information, Borrowing constraint, Lending, and Market friction Subject: D82 - Information, knowledge, and uncertainty - Asymmetric and private information and D52 - General equilibrium and disequilibrium - Incomplete markets