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Time Varying Uncertainty and the Credit Channel

URN to cite this document:
urn:nbn:de:bvb:355-epub-56944
DOI to cite this document:
10.5283/epub.5694
Dorofeenko, Victor ; Lee, Gabriel ; Salyer, Kevin
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Date of publication of this fulltext: 05 Aug 2009 13:50


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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