搜索条件

筛选: 关键词 Equilibrium pricing 删除限定条件 关键词: Equilibrium pricing

搜索结果

  • Df65v785p?file=thumbnail
    Creator: Altug, Sumru
    Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department)
    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.

    关键词: Time lag, Equilibrium pricing, Capital stocks, and Lag
    学科: E22 - Investment; Capital; Intangible Capital; Capacity