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Optimal investment policy with fixed adjustment costs and complete irreversibility

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Author Info
Nicolas Roys () (Institute for Fiscal Studies)

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Abstract

We develop and solve analytically an investment model with fixed adjust-ment costs and complete irreversibility that reproduces observed investment dynamics at the micro-level. We impose a minimal set of restrictions on technology and uncertainty. Most of the results duplicate or generalize earlier findings that have been established either by simulations or under contrefactual assumptions.

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File URL: http://cemmap.ifs.org.uk/wps/cwp2907.pdf
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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP29/07.

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Date of creation: Nov 2007
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Handle: RePEc:ifs:cemmap:29/07

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Web page: http://cemmap.ifs.org.uk

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
D21 - Microeconomics - - Production and Organizations - - - Firm Behavior
E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Nihal Bayraktar & Plutarchos Sakellaris & Philip Vermeulen, 2005. "Real versus financial frictions to capital investment," Working Paper Series 566, European Central Bank. [Downloadable!]
  2. Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, vol. 47(3), pages 727-32, May. [Downloadable!] (restricted)
  3. Amir, Rabah, 1997. "A new look at optimal growth under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 67-86, November. [Downloadable!] (restricted)
  4. Ackerberg, Daniel & Lanier Benkard, C. & Berry, Steven & Pakes, Ariel, 2007. "Econometric Tools for Analyzing Market Outcomes," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 63 Elsevier. [Downloadable!] (restricted)
  5. Abel, Andrew B & Eberly, Janice C, 1994. "A Unified Model of Investment under Uncertainty," American Economic Review, American Economic Association, vol. 84(5), pages 1369-84, December. [Downloadable!] (restricted)
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  6. Patrick Bajari & C. Lanier Benkard & Jonathan Levin, 2007. "Estimating Dynamic Models of Imperfect Competition," Econometrica, Econometric Society, vol. 75(5), pages 1331-1370, 09. [Downloadable!] (restricted)
    Other versions:
  7. Jaap H. Abbring & Jeffrey R. Campbell, 2005. "A Firm's First Year," Tinbergen Institute Discussion Papers 05-046/3, Tinbergen Institute. [Downloadable!]
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This page was last updated on 2009-11-27.

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