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The Credit Spread and U.S. Business Cycles

Otsu, Keisuke and Lee, Junsang (2011) The Credit Spread and U.S. Business Cycles. Discussion paper. University of Kent School of Economics Discussion Papers

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.

Item Type: Monograph (Discussion paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: K. Otsu
Date Deposited: 15 Nov 2014 21:47 UTC
Last Modified: 29 May 2019 13:31 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/44638 (The current URI for this page, for reference purposes)
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