Structural Breaks in an Endogenous Growth Model / Timothy Cogley, Boyan Jovanovic.

Format:

Book

Author/Creator:

Cogley, Timothy.

Contributor:

National Bureau of Economic Research.

Jovanovic, Boyan.

Series:

Working Paper Series (National Bureau of Economic Research) no. w28026.

NBER working paper series no. w28026

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

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.

Notes:

Print version record

October 2020.