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Investment, Marginal q, and Discrete Stochastic Price Changes
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1994 (English)Report (Other academic)
Abstract [en]

The effects of discrete output price shocks on a firm's optimal rate of investment are examined in a stochastic continuous-time model. Price changes of random size occur at random times. Contrary to previous studies with symmetric adjustment costs, which have found a positive effect of increased uncertainty on investment, I find that with discrete price changes the effect is ambiguous and depends on a fractional moment of the distribution of the relative size of the price change.

Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 18 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 582
Keyword [en]
investment, uncertainty, marginal q
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41907OAI: oai:DiVA.org:su-41907DiVA: diva2:342911
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

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Institute for International Economic Studies
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CiteExportLink to record
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