We examine whether capital flows more to high Tobin's q industries and find that it flows more to high q industries from 1971 until 1996 but not from 1997 to 2014. This change is due to a decrease in the q-sensitivity of equity funding resulting mostly from the increased q-sensitivity of...

The paper presents a monetary policy model with an endogenous capital stock when a backwardlooking element in wage setting causes inflation persistence. We analyse how the endogeneityof the capital stock changes the macroeconomic dynamics with which policy interacts and itsimplications for...

The real options tradition originally predicted a decreasing relationship between uncertainty and investment, through the positive effect of higher uncertainty on the trigger level for revenue relative to costs. An opposing effect on the probability of reaching the level has been identified,...

The interest rate is generally considered as an important driver of macroeconomic investment. As an innovation, this paper derives the exact shape of the "hysteretic" impact of changes in the interest rate on macroeconomic investment under the scenarios of both certainty and uncertainty. We...

Quantifying the economic capital and optimally allocating it into portfolios of financial instruments are two key topics in the asset/liability management (ALM) of an insurance company. In general these problems are studied in the literature by minimizing standard risk measures such as the value...

Many economic variables of interest exhibit a tendency to revert to predictable long-run levels. However, mean reverting processes are rarely used in investment models in the literature. In most models, geometric Brownian motion processes are used for tractability. In this paper, a firm's entry...

In this paper we present the Ifo Investment Database, which provides annual investment data for 12 investment assets in 50 German industries from 1991 onward. The data is consistent with national accounts statistics provided by the German Federal Statistical Office and is based on investments in...

Bertola/Caballero (1994) and Abel/Eberly (1996) extended Jorgenson's classical model of firms' optimal investment. By introducing investment frictions, they were able to capture the role of future anticipations in investment decisions as well as the lumpy and intermittent nature of investment...

In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...