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Time Varying Uncertainty and the Credit Channel

Dorofeenko, Victor and Lee, Gabriel and Salyer, Kevin (2008) Time Varying Uncertainty and the Credit Channel. Bulletin Of Economic Research 60 (4), pp. 375-403.

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Abstract

We extend the Carlstrom and Fuerst (American Economic Review, 1997, 87, pp. 893–910) agency cost model of business cycles by including time-varying uncertainty in the technology shocks that affect capital production. We first demonstrate that standard linearization methods can be used to solve the model yet second moments enter the economy’s equilibrium policy functions.We then demonstrate that ...

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Item Type:Article
Date:2008
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Business, Economics and Information Systems > IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Identification Number:
ValueType
10.1111/j.1467-8586.2008.00284.xDOI
Classification:
NotationType
E4, E5, E2Journal of Economics Literature Classification
Keywords:agency costs, credit channel, time-varying uncertainty
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Gabriel Lee
Deposited On:17 Mar 2010 14:31
Last Modified:13 Mar 2014 13:06
Item ID:10816
Owner Only: item control page
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