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dc.contributor.advisorIwata, Shigeru
dc.contributor.authorWakana, Toshiyuki
dc.date.accessioned2015-09-07T21:47:14Z
dc.date.available2015-09-07T21:47:14Z
dc.date.issued2014-12-31
dc.date.submitted2014
dc.identifier.otherhttp://dissertations.umi.com/ku:13687
dc.identifier.urihttp://hdl.handle.net/1808/18404
dc.description.abstractThis dissertation aims to understand the the general recovery process of real GDP from banking crises from the perspective of permanent and transitory components of output. In chapter 1, we investigate the general long-term effects of systemic banking crises on real GDP using a sample of a number of economies over 1960-2011. Our methodology is to estimate the response of the level of real GDP to a banking crisis by decomposing it into permanent and transitory components using the statistical framework of the Unobserved Components (UC) model (Harvey 1985 and 1989, Clark 1987). Our main empirical findings are summarized as follows. First, we reconfirm that the negative impact of banking crises on output is generally persistent. Second, and more importantly, advanced economies tend to be more adversely affected in magnitude of an output loss, but experience a stronger rebound from recessions. Third, an output loss in countries with well-developed financial markets is largely transitory, while for countries with less developed financial markets, the loss reflects mainly the permanent component. In chapter 2, we investigate the effect of expansionary monetary policy on the recovery process of real GDP in response to a banking crisis using the empirical framework of the UC model. Our sample includes three major economies: US, Japan, and UK. We find that expansionary monetary policy can play an important role in the process of economic recovery. A positive shock of an increase in the money supply reduces more than 50 percent of the transitory losses during the first 4 quarters for the US and Japan, while the impact from monetary policy in the UK is very limited.
dc.format.extent44 pages
dc.language.isoen
dc.publisherUniversity of Kansas
dc.rightsCopyright held by the author.
dc.subjectEconomics
dc.subjectBanking crisis
dc.subjectRecovery
dc.subjectTrend-cycle decomposition
dc.subjectUnobserved component model
dc.titleEstimating Permanent and Transitory Components of Economic Recovery: A Case of Banking Crises
dc.typeDissertation
dc.contributor.cmtememberPasik-Duncan, Bozena
dc.contributor.cmtememberJuhl, Ted
dc.contributor.cmtememberWu, Shu
dc.contributor.cmtememberZhang, Jianbo
dc.thesis.degreeDisciplineEconomics
dc.thesis.degreeLevelPh.D.
dc.rights.accessrightsopenAccess


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