期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：Robust decision making implies welfare costs or robustness premia
when the approximating model is the true data generating process.
To examine the importance of these premia at the aggregate level we
employ a simple two-sector dynamic general equilibrium model with
human capital and introduce an additional form of precautionary be-
havior. The latter arises from the robust decision maker.s ability to
reduce the e¤ects of model misspeci.cation through allocating time
and existing human capital to this end. We .nd that the extent of the
robustness premia critically depends on the productivity of time rela-
tive to that of human capital. When the relative e¢ ciency of time is
low, despite transitory welfare costs, there are gains from following ro-
bust policies in the long-run. In contrast, high relative productivity of
time implies misallocation costs that remain even in the long-run. Fi-
nally, depending on the technology used to reduce model uncertainty,
we .nd that while increasing the fear of model misspeci.cation leads
to a net increase in precautionary behavior, investment and output
can fall.
