A quantitative analysis of the role of the international financial market during emerging market crises

• Project/Area Number: 20830088
• Research Category: Grant-in-Aid for Young Scientists (Start-up)
• Allocation Type: Single-year Grants
• Research Field: Economic theory
• Research Institution: Sophia University
• Principal Investigator: OTSU Keisuke Sophia University, 国際教養学部, 助教 (50514527)
• Project Period (FY): 2008 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥2,275,000 (Direct Cost: ¥1,750,000、Indirect Cost: ¥525,000); Fiscal Year 2009: ¥702,000 (Direct Cost: ¥540,000、Indirect Cost: ¥162,000); Fiscal Year 2008: ¥1,573,000 (Direct Cost: ¥1,210,000、Indirect Cost: ¥363,000)
• Keywords: 途上国経済危機 / 国際金融市場 / 動学的一般均衡 / 全要素生産性 / 確率動学一般均衡分析

Research Abstract

This paper applies the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a standard neoclassical small open economy model and assesses the economic crises in Hong Kong, Korea and Thailand. Quantitative results show that distortions in production efficiency are important in all countries in accounting for the sudden output collapses while distortions in the investment and international financial markets are not. International financial frictions can account for the drop in output in a model with endogenous feedback from international financial frictions onto total factor productivity.

Research Products

• [Journal Article] A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting for a Small Open Economy (2010)
  • Author(s): Keisuke Otsu
  • Journal Title: The B.E. Journal of Macroeconomics (Topics) (採用決定)
  • Peer Reviewed
• [Presentation] Financial Shocks and Endogenous Total Factor Productivity (2010)
  • Author(s): Keisuke Otsu
  • Organizer: SCE 16th International Conference on Computing in Economics and Finance
  • Place of Presentation: City University of London(発表確定)
• [Presentation] A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting for a Small Open Economy, International Conference of Economic Growth (2008)
  • Author(s): 大津敬介
  • Organizer: Dynamics, and Policies
  • Place of Presentation: 政策研究大学院大学
  • Year and Date: 2008-09-20
• [Presentation] A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting for a Small Open Economy (2008)
  • Author(s): 大津敬介
  • Organizer: Far Eastern and South Asian Meeting of the Econometric Society
  • Place of Presentation: Singapore Management University
  • Year and Date: 2008-07-17
• [Presentation] A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting for a Small Open Economy (2008)
  • Author(s): 大津敬介
  • Organizer: Midwest Macro Meetings
  • Place of Presentation: University of Pennsylvania
  • Year and Date: 2008-05-10
• [Presentation] A Neoclassical Analysis of the Asian Crisis : Business Cycle Accounting for a Small Open Economy (2008)
  • Author(s): 大津敬介
  • Organizer: Midwest Macro Meetings FEMES 2008
  • Place of Presentation: ペンシルバニア大学シンガポール経営大学