TY - JOUR
T1 - On the impact of shock persistence on the dynamics of a recursive economy
AU - Danthine, Jean Pierre
AU - Donaldson, John B.
AU - Mehra, Rajnish
N1 - Funding Information:
*Danthine graterutty acknowledges financial support from the Fonds National de la Recherche Scientifique (Switzerland). Donaldson and Mehra’s work was supported by the National Science Foundation and by the Faculty Research Fund of the Graduate School of Business, Columbia’ University. In addition, Mehra would like to thank Ecole des H.E.C., Universitd de Lausanne, for its hospitality during the initial stage of this research. We thank Jean Laville for very elliciently perrorming all the computations reported in this note.
Copyright:
Copyright 2014 Elsevier B.V., All rights reserved.
PY - 1983/7
Y1 - 1983/7
N2 - The present note relies exclusively on numerical computation of a parametric version of a (stochastic) version of the one-sector neoclassical growth model to derive the qualitative properties of the optimal consumption/investment policy functions and of the resultant steady state, and to study the manner in which these properties are affected by an increase in the degree of shock persistence. In particular, we measure the effects of (differing degrees of) shock persistence on the means and variances of the resulting (stationary) distributions on output, consumption, and capital stock. Furthermore, we explore the effects of increasing degrees of shock persistence on the dynamic time path of the economy.
AB - The present note relies exclusively on numerical computation of a parametric version of a (stochastic) version of the one-sector neoclassical growth model to derive the qualitative properties of the optimal consumption/investment policy functions and of the resultant steady state, and to study the manner in which these properties are affected by an increase in the degree of shock persistence. In particular, we measure the effects of (differing degrees of) shock persistence on the means and variances of the resulting (stationary) distributions on output, consumption, and capital stock. Furthermore, we explore the effects of increasing degrees of shock persistence on the dynamic time path of the economy.
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U2 - 10.1016/0014-2921(83)90079-X
DO - 10.1016/0014-2921(83)90079-X
M3 - Article
AN - SCOPUS:48749146882
SN - 0014-2921
VL - 22
SP - 147
EP - 166
JO - European Economic Review
JF - European Economic Review
IS - 2
ER -