This paper empirically investigates the relationship between CPI inflation uncertainty, and private investment in the Iranian economy from 1988 to 2010 by using quarterly data. We employ a bivariate VAR(5)-GARCH(1,1)-in-mean with diagonal BEKK model to discover in a unified framework how are the interactions between the variables. In the model, conditional variance of inflation and private inve...

TAbstract T—This paper develops a tractable real options framework to analyze the effects of asymmetric information on firms' investment decisions when firms issue equity to finance investment. We assume that firm insiders exactly know the firms' growth prospects, but outside investors do not know. Our analysis shows that, under equity financing, the corporate insiders can signal their private ...

Today’s, the transportation facilities such as terminals, street, bridge, etc, represent the major investment in highway network. Every year tremendous resources should be invested to maintain these facilities. Among them, the Bridge Management System (B.M.S.) has been necessitated by large imbalance between extensive bridge repair and maintenance needs and limited available budget. So the main...

This paper analyzes the links between the firms investment technology and financial asset prices within a general equilibrium production economy. The model assumes that real investment is irreversible and subject to convex adjustment costs. It shows how these basic features of real investment naturally generate rich dynamics of stock returns. Firm investment activity and firm characteristics, p...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...

This dissertation consist of three essays. In the first essay, I examine optimal dynamic contracting between risk-averse investors and firm insiders in a dynamic general-equilibrium model with heterogeneous firms. The equilibrium optimal contract features a higher rate of inefficient liquidations in aggregate states with low productivity and a reward-for-luck policy in high productivity states....

In this paper, we embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. We show that the combination of log-normally distributed idiosyncratic productivity uncertainty and Leontief utilization choice yields an aggregate production function that is easily charact...

Macroeconomic exchange rate research has primarily been focused on the consumption correlation puzzle identi ed by Backus and Smith (1993). This research has largely ignored the dynamic correlations present between exchange rates and other macro variables such as output, and investment. In this paper I build evidence that a relationship may exist between gross national investment and exchange r...