G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3726
DP3726 More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
Christian Wolff; Dennis Bams; Kim Walkowiak
发表日期2003-01-23
出版年2003
语种英语
摘要We show that time-to-build, which creates a lag between the decision to invest and production, is an important element of industry structure. We study a multi-period investment game where there is demand uncertainty. Allowing for time-to-build alters, non-monotonically, the classic trade-off between making strategic commitments and exploiting the option to wait. At first, increases in time-to-build make commitment more likely as the committing firm has the market to itself for longer after the resolution of uncertainty. As time-to-build becomes more substantial, however, the likelihood of commitment declines as the follower firm increasingly makes its own ex ante investments. Furthermore, time-to-build gives rise to a novel incremental Cournot equilibrium where both firms make small ex ante investments, which they then scale up if uncertainty is positively resolved. This behaviour contrasts with most prior work on multi-period investment games where firms invest only once. We show how time-to-build affects firm heterogeneity, investment timing, the option value of waiting, the evolution of prices and social welfare.
主题Industrial Organization
关键词Strategic commitment Real options Endogenous investment timing
URLhttps://cepr.org/publications/dp3726
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/532701
推荐引用方式
GB/T 7714
Christian Wolff,Dennis Bams,Kim Walkowiak. DP3726 More Evidence on the Dollar Risk Premium in the Foreign Exchange Market. 2003.
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