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A "Jump" in the Stochasticity of the Solow-Swan Growth Model

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  • Claude DIEBOLT
  • Tapas MISHRA
  • Mamata PARHI
Abstract
We characterize ’Solow-Swan’ economic growth model in a stochastic environment. Our interest basically lies in modelling arrival of uncommon or stochastic shocks in both physical capital and labour, introducing discontinuities in the growth of these variables. These characterizations are completed by employing a Jump process to the Solow-Swan model. Interesting dynamics of capital and labor growth emerge from our investigation.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Claude DIEBOLT & Tapas MISHRA & Mamata PARHI, 2015. "A "Jump" in the Stochasticity of the Solow-Swan Growth Model," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 50, pages 905-917, Juin.
    • Handle: RePEc:afc:ecosoc:y:2015:i:50:p:905-917
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    References listed on IDEAS

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    1. Schenk-Hoppe, Klaus Reiner & Schmalfu[ss], Bjorn, 2001. "Random fixed points in a stochastic Solow growth model," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 19-30, September.
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    6. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
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    8. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
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    More about this item

    JEL classification:

    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • D2 - Microeconomics - - Production and Organizations

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