اثر ریسک کسب و کار برتولیدسرمایه گذاری: شواهد بررسی بخشی از ایرلند

This paper analyses the results of a special sample survey on risk and investment carried out using the European Union investment survey sampling frame for Ireland. The paper looks at decision-making by large manufacturing firms located in Ireland to see whether their investment decisions can be understood within the various models of risk that economists use. Equilibrium and disequilibrium models are examined to see what best explains the behaviour revealed by the firms’ responses. The paper develops a categorisation of the main theoretical channels of influence from risk to investment. In the light of this theory, the survey replies of Irish firms are used to assess the importance of the different channels of influence.

There is a measure of consensus that risk is a missing variable in explaining the relatively volatile behaviour of investment (Driver and Moreton, 1991; Pindyck and Solimano, 1993; Price, 1995). But theoretical work has proceeded faster than empirical observation. There are a great number of plausible models but we simply do not know which transmission mechanism from risk to investment is most important. This knowledge gap must cause problems for policymakers on two fronts. Those charged with promoting investment will not know where specific market failures might lie. Those charged with reducing risk, e.g. by promoting macroeconomic stability will have difficulty in knowing the economic variables that are most important to stabilise from the perspective of encouraging investment. Surprisingly little is known about the mechanisms by which risk of various sorts affect the investment decisions of firms. This contrasts with the numerous theoretical models, both of the capital stock under risk (Nickell, 1978; Aiginger, 1987; Driver and Moreton, 1992) and the timing of investment behaviour (Dixit and Pindyck, 1994). To put it crudely we have little idea whether the main mechanism is risk attitude (e.g. aversion), or the effect of irreversibility, or non-linearities operating via Jensen’s inequality. Neither do we know whether the main problem for firms is one of input cost risk or demand risk, though the respective models may yield different results. Our ignorance is compounded by the lack of any real knowledge of the ex-post controls that firms tend to employ in response to disequilibrium between actual and desired capacity. For example, in the event of a downward demand shock with irreversible excess capacity, do firms tend adjust price or capacity utilisation or both? Faced with a similar upward shock and long lead times do firms tend to raise price, to lengthen order books or to subcontract? In this paper we first categorise some major models in the literature of capital investment under risk. In Section 3, we use the results of a survey of large Irish manufacturing firms to assess the relevance of these theories. Section 4 concludes.

The Survey responses have been useful in illustrating the channels of influence from risk to investment. We have discovered no strong effect of risk due to convexities, though where price-taking behaviour dominated, as in the Food sector, there seemed a weaker negative effect on investment from demand or price uncertainty. The effect of anticipated disequilibrium involving excess capacity or capacity shortage was investigated by asking which of these two outcomes would imply greater damage to firms. The survey found that capacity shortage was perceived as the greatest threat. It appears that there are two distinct groups characterised by a fear of either under-capacity or over-capacity. For those who fear excess capacity the response to over-capacity is to cut price. Capacity shortage is simply met by lengthening order books. For those concerned with capacity shortage, the majority are price takers; these firms will lose out if demand exceeds capacity as they then have to subcontract or incur penalty costs. On the face of it the results here constitute something of a puzzle. Why are firms constrained in their investment by risk if the greatest threat is capacity shortage? One answer may be risk aversion. The effect of risk-aversion was ubiquitous for the survey firms with little evidence of risk-loving or even risk-neutral behaviour. In equilibrium models, risk aversion will tend to bias down capital input under demand/price risk, which is the most important type of risk for most of the sample. Risk aversion in disequilibrium models will strengthen any bias already present. We have already noted that the disequilibrium effect recorded in the survey could cause an upward investment bias for those firms worried about capital shortage. In practice however, firms may not invest more than under certainty because the effect is blunted by risk aversion. The theory of investment dynamics under uncertainty predicts that firms may delay if irreversibility poses a more serious threat than costly expansion ex-post. The survey showed that risk did affect the timing of investment for between a quarter and a third of the sample. The greatest caution in respect of timing was in the Hi-tech sector which was also the sector with the greatest damage from delay. Problems of irreversibility (which favours delay) and expandability (which favours prompt investment) seem to coexist in the same sector suggesting that there is no clear effect of risk on timing likely to emerge from investment studies unless firm-level effects are carefully modelled.