Investment dynamics

Demers, Fanny; DeMers, Michael N.; Altuğ, Sumru

doi:10.1017/9781139165235.004

Cited by 6 publications

(7 citation statements)

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“…To introduce real frictions into the investment process, investment is assumed to be irreversible, i t ≥ 0. In contrast to the standard adjustment costs model, the presence of investment irreversibility leads to an endogenous cost of adjustment that varies with uncertainty and information possessed by the firm; for a further discussion, see Demers et al (2003).…”

Section: Preferences and The Production Technologymentioning

confidence: 99%

Ambiguous business cycles: A quantitative assessment

Altuğ

Collard

Çakmaklı

et al. 2020

Review of Economic Dynamics

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In this paper, we examine the cyclical dynamics of a Real Business Cycle model with ambiguity averse consumers and investment irreversibility using the smooth ambiguity model of Klibanoff et al. (2005Klibanoff et al. ( , 2009. Ambiguity of belief about the productivity process arises as agents do not know the process driving variation in aggregate TFP, and they must make inferences regarding the true process at the same time as they infer the behavior of the unobserved temporary component using a Kalman filtering algorithm. Our findings may be summarized as follows. First, the standard business cycle facts hold in our framework, which are not altered significantly by changes in the degree of ambiguity aversion. Second, we demonstrate a role for information and learning effects, and show that lower initial ambiguity or greater confidence coupled with learning dynamics lowers the volatility and increases the persistence in all of the key macroeconomic variables. Third, comparing the performance of our model to the New Keynesian business cycle model of Ilut and Schneider (2014) with maxmin expected utility, we find that the version of their model without nominal and real frictions turns out to have limited success at matching the moments for the quantity variables. In the maxmin expected utility framework, the worst case scenario instills too much caution on the part of agents who, in the absence of a key set of nominal and real frictions, end up excessively reducing their responses to TFP shocks.

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Section: Preferences and The Production Technologymentioning

confidence: 99%

Ambiguous business cycles: A quantitative assessment

Altuğ

Collard

Çakmaklı

et al. 2020

Review of Economic Dynamics

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“…In Altug, Demers and Demers (2003) we show that the information effect of a change in the investment tax credit (γ) is small so that with positive serial dependence, the cost effect dominates the information effect. We also show numerically that VKγ has the same sign for negative as well as positive serial dependence.…”

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confidence: 73%

“…Much of this literature lacks an explicit theoretical focus, and uses regression- 30 Interest rate premia would have an even stronger impact on investment in a context where firms face financial market imperfections. See, for example, Demers, Demers, and Altug (2003), Section 4.8. Thus, allowing for financial market imperfections would mean that lower values of the interest rate than the ones we assumed would elicit the same investment response that we have obtained in our simulations.…”

Section: Discussionmentioning

confidence: 99%

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Political Risk and Irreversible Investment

Altuğ¹,

Demers²,

Demers³

2007

CESifo Economic Studies

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The objective of this paper is twofold. First, we develop a theoretical model to investigate the impact of political risk on irreversible investment. Second, we apply our model to an analysis of the effects of risk of separation of the province of Quebec from the Canadian federation. We model the probability of a regime switch using the properties of the electoral process and examine the response of investment to changes in the risk of separation. We consider the impact of investors' perception of the risk of separation and financial market volatility separately. We show that political risk has a depressing impact on investment even if the "bad " regime has never been observed in the sample.

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“…Daher muss GPS approximiert werden. Ein Beispiel hierfür ist der Weighted-Fair-Queuing (WFQ) Paket-Scheduling-Mechanismus [PG93][DKS89]. WFQ den in der Reihenfolge ihrer Sendezeit auf den Link gesendet.…”

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Paket-Scheduling-Methoden zur Leistungsoptimierung im Internet

Mittenecker¹,

Ziegler²

2002

PIK - Praxis der Informationsverarbeitung und Kommunikation

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Mittenecker studierte Telematik an der TU Graz. Anschliessend wechselte er als Assistent am Institut für Kommunikationsnetze der TU Wien, wo er sich im Rahmen seiner laufenden Dissertation mit der Modellierung und Simulation von verteilten Multimediasystemen beschäftigt. Neben seiner Forschungstätigkeit am ftw. hatte er seit dem Wintersemester 2000 einen Lehrauftrag an der FH Johanneum Graz inne. Seit Frühjahr 2002 ist er dort als FH-Professor am Studiengang Informationsmanagement tätig. Thomas Ziegler studierte Informatik an der Universität Salzburg und promovierte mit einer Arbeit im Bereich Internet Congestion Control an der Universität Pierre et Marie Curie in Paris. Nach mehrjähriger Tätigkeit in Bereich der Lehre und in der Forschung im Rahmen von internationalen Projekten ist er derzeit als Senior-Researcher und Projektleiter auf dem Gebiet der Leistungsevaluierung in Paket-Netzen am Forschungszentrum Telekommunikation Wien tätig. Seine orschungsgebiete beinhalten Verkehrsregelung, Quality of Service, Signalisierung, und Routing im Internet. ZUSAMMENFASSUNG Internet-Router verwenden Paket-Scheduling-Mechanismen, um im Fall von Überlast die Sende-Reihenfolge von Paketen, die in einem Ausgangs-Interface gespeichert sind, festzulegen. Dieser Artikel erklärt die Funktionsweise der populärsten Scheduling-Mechanismen und vergleicht ihre dynamischen Eigenschaften, wie die Einhaltung von Fairness-Kriterien und Quality-of-Service-Garantien. Neben der instruktiven Erläuterung von bestehenden Mechanismen wird ein neuer Paket-Scheduling-Mechanismus untersucht, dessen Funktionsprinzip spezielle Eigenschaften von Internet-Verkehr einbezieht. Dadurch kann, wie wir in diesem Artikel durch Simulationen zeigen, die Leistung des Netzes aus der Sicht des Benutzers signifikant verbessert werden.

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Investment dynamics

Cited by 6 publications

References 0 publications

Ambiguous business cycles: A quantitative assessment

Ambiguous business cycles: A quantitative assessment

Political Risk and Irreversible Investment

Paket-Scheduling-Methoden zur Leistungsoptimierung im Internet

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