Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314288 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 27 [Issue:] 1 [Article No.:] 2394713 [Year:] 2024 [Pages:] 1-14
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We extend a dynamic investment model that captures the conjoint effect of ambiguity and the business cycle on the investment threshold and endogenous investment quantity choice. This paper focuses on investment strategies under the combined effects of ambiguity and business cycles. We reveal through quantitative results that the risk effect and ambiguity effect have opposite effects on optimal investment threshold and optimal investment quantity, and the risk effect dominates the ambiguity effect. The transfer intensity coefficient from a boom period to a recession period and the risk effect are opposite effects, and the transfer intensity coefficient effect dominates the risk effect. Moreover, the transfer intensity coefficient from a boom period to a recession period has a synergistic effect with the ambiguity effect. Meanwhile, the transfer intensity coefficient from recession to boom is the opposite effect of risk and a synergistic effect with ambiguity.
Subjects: 
Ambiguity
business cycle
endogenous quantity
investment timing
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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