Department of Economics

Faculty of Arts and Social Sciences


Seminar - Upcoming

2013 Asia Summer Institute in Behavioral Economics
Asian Meeting of the Econometric Society 2013
Past Events

Department Seminar


Measuring Intangible Capital with Uncertainty

Sungbae An
Singapore Management University

Date: August 28, Thursday
Time: 4:00 - 5:30 pm


Lim Tay Boh Seminar Room (AS2 03-12)
National University of Singapore
1 Arts Link, Singapore 117570


Satoru Takahashi


Intangible capital has arguably become an important component of corporate value. However, it is still an open question whether uncertainty associated with investment in intangible capital is higher or lower than physical capital. We estimate the value of intangible capital in a dynamic stochastic general equilibrium model that features capital adjustment costs, investment-specic technological progress and recursive utility. We use the perturbation method up to second-order to solve the model and perform Bayesian estimation using particle filter. The unobserved time series of intangible capital is delivered through particle smoother. Data from US economy in the postwar period imply that corporations indeed have formed large amounts of intangible capital as Hall (2001) found, but it is very costly to adjust intangible capital investment. Hence the implied investment in intangible capital is much smoother than that of physical capital, and the return on investment in intangible capital is much less risky, which implies that intangible-capital intensive firms have a lower average return.