Ambiguous business cycles: A quantitative assessment

Abstract

In this paper, we examine the cyclical dynamics of a Real Business Cycle model with ambiguity averse consumers and investment irreversibility using the smooth ambiguity model of Klibanoff et al. (2005Klibanoff et al. ( , 2009. Ambiguity of belief about the productivity process arises as agents do not know the process driving variation in aggregate TFP, and they must make inferences regarding the true process at the same time as they infer the behavior of the unobserved temporary component using a Kalman filtering algorithm. Our findings may be summarized as follows. First, the standard business cycle facts hold in our framework, which are not altered significantly by changes in the degree of ambiguity aversion. Second, we demonstrate a role for information and learning effects, and show that lower initial ambiguity or greater confidence coupled with learning dynamics lowers the volatility and increases the persistence in all of the key macroeconomic variables. Third, comparing the performance of our model to the New Keynesian business cycle model of Ilut and Schneider (2014) with maxmin expected utility, we find that the version of their model without nominal and real frictions turns out to have limited success at matching the moments for the quantity variables. In the maxmin expected utility framework, the worst case scenario instills too much caution on the part of agents who, in the absence of a key set of nominal and real frictions, end up excessively reducing their responses to TFP shocks.

Ambiguity aversion: bibliometric analysis and literature review of the last 60 years

“…These applications are typically based on such a model. As an example, Altug et al ( 2020 ) analyze the cyclical dynamics of a real business cycle model with ambiguity-averse consumers using the model of Klibanoff et al ( 2005 ) (see Sect. 3.4 ).…”

“…Ellsberg’s ( 1961 ) seminal paper on his paradox and further behavioral theories build the basis of research on ambiguity aversion and have been cited most up to now, followed by model applications (Gao and Driouchi 2018 ), experimental papers (Stahl 2014 ), and empirical research (Anderson 2019 ). In recent years, the majority of papers have been data-driven (Altug et al 2020 ; Anderson 2019 ; Brenner and Izhakian 2018 ).…”

ambigüedad y su afectación en las organizaciones. Una revisión de literatura.

“…Es decir, las publicaciones más recientes exponen analisis integradores entre la ambigüedad, el liderazgo, la toma de decisiones, la gestión, las relaciones laborales, la ética profesional, la innovación y el desarrollo social, donde hay diversos estudios teóricos y empíricos (por ejemplo, Lund, 2019;Mitchell et al 2020;Riis, Hellström y Wikstrom, 2019;Altug et al, 2020;Breese, Couch y Terner, 2019;Guillemin, 2020;Beauchêne et al, 2018;Deschamps, 2019;Ho, Ghauri y kafouros, 2019;Hsieh, Ma y Novoselov, 2018;Kim et al, 2019;Lopez y Gonzalez, 2020;Fan et al, 2020;Garcia, Massoni y Villeval, 2020;Ohkuwa et al, 2020;Bhardwaj, Mishra y Kumar, 2020;Dolan, Huang y Gordon, 2019;Engemann y Scott, 2018) Por tanto, emerge el siguiente cuestionamiento: ¿cómo caracterizar la literatura sobre la ambigüedad en las organizaciones actuales?. De modo que este articulo presenta de manera panorámica, un repaso de la literatura sobre la ambigüedad en las organizaciones actuales.…”

“…Lima, (2020),Mitchell et al (2020),Altug et al, (2020), Belissa; Lensink y Asseldonk, (2019), Manders, Wieczorek y Vergong, (2020), DeToni y Pessot, (2020), Walker, Davis y Stevenson (2016); Kovacic, Di Felice (2019); Fan et al, (2020), Guillemin, (2020), Klessova et al, (2020),Kock, et. al, (2020), Ohkuwa et al, (2020, Schörder, (2020);Brancucci et al, (2020);Pelletier, et.…”

“…et al (2018),Oesch (2017);Boisseuil (2019),Buckley (2020),Lund (2019),Mitchell et al (2020),Riis, Hellström y Wikstrom (2019),Altug et al, (2020),Breese et al,(2019), Guillemin, (2020, De Toni y Pessot, (2020), Hasan, He y Lu (2020), Islam (2020), Kovacic y Di Felice (2019), Manders, Wieczorek y Verbong (2020), Plagerson, et al, (2019),Bahadorestani et al, (2020), Bao, Diabat y Zheng (2019), Beauchêne et. al, (2018), Deschamps (2019), Ho, Ghauri y kafouros (2019), Hsieh, Ma y Novoselov (2018), Kim, et al, (2019), Belissa, Lensink y Asseldonk, (2019), Berger y Bosetti, (2020), Brancucci et la, (2020), Chitre, Tian y Vishnu (2019), Cho y Taylor (2019), Ptaszynski et al, (2019), Ruan y Zhang (2020), Seow, Pan y Koh (2018), Walker, Davis y Stevenson, (2016), Hussinger y Pacher (2018), Pelletier, et al, (2018), Song, Park y Kim (2020).…”