Structural Breaks in an Endogenous Growth Model
Copyright policy )Structural Breaks in an Endogenous Growth Model
Abstract 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.
- New York University United States
learning, uncertainty shocks, Economic growth models, General equilibrium theory, structural breaks, general equilibrium, volatility shocks
learning, uncertainty shocks, Economic growth models, General equilibrium theory, structural breaks, general equilibrium, volatility shocks
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