Investment Behavior of a Monopolistic Firm under Uncertainty : —— Macroeconomic Effect of Demand Uncertainty ——
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概要
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In this paper, we consider the dynamic investment behavior of an imperfect competitive firm under uncertainty and discuss the influence of this uncertainty on the macroeconomy. We assume a monopolistic firm that faces convex costs of adjustment, and an inverse demand function with a scale of economy subject to a stochastic fluctuation. The firm is assumed to maximize the expected present value of its net cash flow. The profit function becomes the strong concave function of the random variable for all times under certain conditions. This indicates that the increased uncertainty induces a decrease in investment because the expected marginal revenue product of capital is reduced. The imperfect competitive model can decide Tobins q, similar to the competitive firm of Abel (1983). We also consider a comparative statics analysis of macroeconomy under uncertainty on the basis of Tobin (1969). In Tobins framework, the q under uncertainty affects not only the investment demand but also the demand for money.JEL Classification: E22, E32, D92
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