Structural Breaks in an Endogenous Growth Model

• 成果类型: Article
• 署名作者: Cogley, Timothy; Jovanovic, Boyan
• 署名单位: New York University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab045
• 发表日期: 2022
• 页码: 666-694
• 关键词: intertemporal substitution; general equilibrium; time-series; uncertainty; INVESTMENT; returns; RISK; fluctuations; consumption; elasticity

摘要

We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility. The magnitude of the response to an increase in uncertainty about TFP associated with a structural break is greater than that of a response to a comparable perceived rise in volatility. This is because lifetime utility varies more when shocks shift beliefs and perceived wealth.