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A Comparative Estimation of Financial Frictions in Japan and Korea
Keisuke Otsu,Hak K. Pyo 서울대학교 경제연구소 2009 Seoul journal of economics Vol.22 No.1
We apply the Business Cycle Accounting method a la Chari, Kehoe, and McGrattan (2007) to the Japanese and the Korean economy and quantitatively analyze the effects of financial frictions during the recent recessions. First, we compute exogenous distortions in the financial, government purchases, labor, and production markets. The preliminary results show that the sudden drop in production efficiency (TFP) was the main reason of the Korean recession while the increase in labor market distortions was the main reason of the Japanese slump. Next, we orthogonalize the innovations to the distortions and quantify the maximum spill-over effects of financial frictions on output fluctuations in both countries following Christiano and Davis (2006). Our results imply that financial frictions may have been important in explaining the recessions in both countries through their effects on TFP and labor market distortions.
The Credit Spread and U.S. Business Cycles
Junsang Lee,Keisuke Otsu 한국경제연구학회 2017 Korea and the World Economy Vol.18 No.1
In this paper, we constructed a dynamic stochastic general equilibrium model with credit spread, government expenditure, productivity, investment specific technology and preference shocks in order to quantitatively account for the U.S. business cycle fluctuations through 1985-2014. We find that fluctuations in productivity and preference shocks are important in accounting for the fluctuations in output while investment specific technology shocks are important in accounting for the fluctuations in the investment rate. Moreover, credit spread shocks play a significant role in the decline in output and investment rate during the recent financial crisis. Therefore, in our environment, unlike Chari, Kehoe and McGrattan (2007), the intertemporal distortions caused by financial frictions do matter.