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Investissement, incertitude et irréversibilité. Quelques développements récents de la théorie de l'investissement

  • Jérôme Bourdieu
  • Benoît Coeuré
  • Béatrice Sédillot

[fre] Quand l'installation du capital productif est irréversible et les profits incertains, il peut être profitable pour les entreprises d'attendre avant d'investir car chaque instant écoulé apporte des informations sur les états futurs. Ce constat très simple peut modifier de manière importante le seuil de rendement requis pour investir, mais également la dynamique de l'accumulation du capital et la valorisation des entreprises par le marché. On passe ici en revue la littérature récente sur la déci­sion d'investissement en présence d'incertitude, en présentant les principales conclusions des modèles et en détaillant les plus significatifs d'entre eux. On décrit tout d'abord pour une entreprise isolée la valorisation des projets et les modes d'accumulation du capital. Puis, pour un ensemble d'entreprises, on étudie l'investissement et la décision d'entrée dans un cadre concurrentiel, puis les problèmes que pose la coexistence de différentes sources d'incertitude : incertitude macroéconomique et aléas propres à chaque entreprise. On passe enfin en revue les validations empiriques de ces modèles et leurs implications. [eng] When investment is irreversible and future profits are uncertain, there may be a value of waiting because of the ongoing stream of new information. This simple statement has implications for the trigger of investment, as well as for the dyna­mics of capital accumulation and the market value of the firms In this paper we survey the emerging literature on irreversible investment and uncertainty We try to identify the main insights and we focus on the more significant models First we examine the single project problem and capital accumulation at the firm level Then we study the effects of uncertainty on the entry of firms and investment in competitive industry and we examine the fallacy of composition problem when firms face both aggregate and idiosyncratic uncertainties We conclude by an appraisal of the empirical studies in the field

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 48 (1997)
Issue (Month): 1 ()
Pages: 23-53

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Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_1_409862
Note: DOI:10.3406/reco.1997.409862
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  1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  2. Tarek M. Harchaoui & Pierre Lasserre, 1999. "Testing the Option Value Theory of Irreversible Investment," Cahiers de recherche du Département des sciences économiques, UQAM 9905, Université du Québec à Montréal, Département des sciences économiques.
  3. Ricardo J. Caballero & Eduardo M. R. A. Engel & John C. Haltiwanger, 1995. "Plant-Level Adjustment and Aggregate Investment Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 1-54.
  4. Avinash Dixit, 1992. "Investment and Hysteresis," Journal of Economic Perspectives, American Economic Association, vol. 6(1), pages 107-132, Winter.
  5. Hurn, A S & Wright, Robert E, 1994. "Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data," Economic Journal, Royal Economic Society, vol. 104(423), pages 363-71, March.
  6. Ramey, Garey & Ramey, Valerie A, 1995. "Cross-Country Evidence on the Link between Volatility and Growth," American Economic Review, American Economic Association, vol. 85(5), pages 1138-51, December.
  7. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
  8. Samuel Bentolila & Giuseppe Bertola, 1990. "Firing Costs and Labour Demand: How Bad is Eurosclerosis?," Review of Economic Studies, Oxford University Press, vol. 57(3), pages 381-402.
  9. Chamley, Christophe & Gale, Douglas, 1994. "Information Revelation and Strategic Delay in a Model of Investment," Econometrica, Econometric Society, vol. 62(5), pages 1065-85, September.
  10. Peeters, Marga, 1995. "Trigger Values of (Non-) Residential Structures and Equipment Investment," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1995019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  11. Andrew B. Abel & Janice C. Eberly, . "A Unified Model of Investment Under Uncertainty," Rodney L. White Center for Financial Research Working Papers 14-93, Wharton School Rodney L. White Center for Financial Research.
  12. Hartman, Richard, 1976. "Factor Demand with Output Price Uncertainty," American Economic Review, American Economic Association, vol. 66(4), pages 675-81, September.
  13. Michel Demers, 1991. "Investment under Uncertainty, Irreversibility and the Arrival of Information Over Time," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 333-350.
  14. Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1992. "Waiting to Invest: Investment and Uncertainty," The Journal of Business, University of Chicago Press, vol. 65(1), pages 1-29, January.
  15. Ferderer, J Peter, 1993. "The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 30-48, February.
  16. Caballero, Ricardo J & Pindyck, Robert S, 1996. "Uncertainty, Investment, and Industry Evolution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(3), pages 641-62, August.
  17. Leahy, John V & Whited, Toni M, 1996. "The Effect of Uncertainty on Investment: Some Stylized Facts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 64-83, February.
  18. Caballero, Ricardo J, 1991. "On the Sign of the Investment-Uncertainty Relationship," American Economic Review, American Economic Association, vol. 81(1), pages 279-88, March.
  19. Driver, Ciaran & Moreton, David, 1991. "The Influence of Uncertainty on UK Manufacturing Investment," Economic Journal, Royal Economic Society, vol. 101(409), pages 1452-59, November.
  20. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 707-727.
  21. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474, 01-2013.
  22. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 98(1), pages 85-106.
  23. Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
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