Essays in learning uncertainty
Agents make decisions under uncertainty. They are not only uncertain about the true realizations of variables of interest, but also about their degree of uncertainty. Using survey of business uncertainty, I study firms’ subjective uncertainty and show that firms’ time varying subjective uncertainty...
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| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/676031 |
| Acceso en línea: | http://hdl.handle.net/10803/676031 |
| Access Level: | acceso abierto |
| Palabra clave: | Learning uncertainty Incertesa 33 |
| Sumario: | Agents make decisions under uncertainty. They are not only uncertain about the true realizations of variables of interest, but also about their degree of uncertainty. Using survey of business uncertainty, I study firms’ subjective uncertainty and show that firms’ time varying subjective uncertainty can be driven by the learning channel. Next, I study implications of learning uncertainty for firms’ investment patterns. To do so, I first build a simple model of firms’ investment with learning uncertainty and show that learning uncertainty results in three main implications. Then, using Compustat data, I show that all three learning uncertainty’s implications for firms’ investment patterns are observable in the data. Since uncertainty about second moments affects agents’ decisions, so it also has important implications for optimal conduct of policies such as monetary policy. I build a model with uncertainty about productivity’s dispersion and study optimal response of monetary policy to the productivity dispersion shock. |
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