Structural Breaks in an Endogenous Growth Model

58 Pages Posted: 2 Nov 2020 Last revised: 31 Jul 2021

See all articles by Timothy Cogley

Timothy Cogley

Leonard N. Stern School of Business - Department of Economics

Boyan Jovanovic

New York University - Department of Economics

Date Written: October 2020

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.

Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

Suggested Citation

Cogley, Timothy and Jovanovic, Boyan, Structural Breaks in an Endogenous Growth Model (October 2020). NBER Working Paper No. w28026, Available at SSRN: https://ssrn.com/abstract=3723263

Timothy Cogley (Contact Author)

Leonard N. Stern School of Business - Department of Economics ( email )

269 Mercer Street
New York, NY 10003
United States
530-752-1581 (Phone)
530-752-9382 (Fax)

Boyan Jovanovic

New York University - Department of Economics ( email )

19 w 4 st.
New York, NY 10012
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
4
Abstract Views
61
PlumX Metrics