Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105553
Authors: 
Lee, Junsang
Otsu, Keisuke
Year of Publication: 
2011
Series/Report no.: 
School of Economics Discussion Papers 1123
Abstract: 
In this paper, we construct a dynamic stochastic general equilibrium model in order to investigate the impact of credit spread shocks on the U.S. business cycle. We find that the shocks to the investment specific technology and the preference weights on consumption and leisure are the main sources of output fluctuation. Shocks to the credit spread and productivity are the main source of the fluctuation in the investment to output ratio. Credit spread shocks also had a significant impact on the output during the recent financial crisis.
Subjects: 
Credit Spread
Business Cycles
Investment Specific Technology
JEL: 
E13
E32
Document Type: 
Working Paper

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