INVESTMENT CYCLES, STRATEGIC DELAY, AND SELF-REVERSING CASCADES

• 成果类型: Article
• 署名作者: Peck, James; Yang, Huanxing
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2010.00628.x
• 发表日期: 2011
• 页码: 259-280
• 关键词: information; MODEL

摘要

We study investment cycles in a social learning model, where investment returns fluctuate according to a Markov process. In our Waiting Game, agents observe the investment history and a private signal correlated with the current period's investment return. Agents then decide whether to invest immediately or to delay their decision to later in the period. Cascades in which everyone invests or no one invests eventually reverse themselves. As compared to the No-Waiting Game with no opportunity for delay, the Waiting Game has shorter investment cascades, longer recessions, shorter booms, more underinvestment, and less overinvestment.