Arbeitspapier
The Credit Spread and U.S. Business Cycles
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: School of Economics Discussion Papers ; No. 1123
- Classification
-
Wirtschaft
General Aggregative Models: Neoclassical
Business Fluctuations; Cycles
- Subject
-
Credit Spread
Business Cycles
Investment Specific Technology
- Event
-
Geistige Schöpfung
- (who)
-
Lee, Junsang
Otsu, Keisuke
- Event
-
Veröffentlichung
- (who)
-
University of Kent, School of Economics
- (where)
-
Canterbury
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lee, Junsang
- Otsu, Keisuke
- University of Kent, School of Economics
Time of origin
- 2011
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