Asset Prices, Credit and the Business Cycle

Xiaoshan Chen, Alexandros Kontonikas () and Alberto Montagnoli ()

No 2012-04, Stirling Economics Discussion Papers from University of Stirling, Division of Economics

Abstract: This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables.

Keywords: Multivariate Unobserved Components Models; Business Cycles; Credit; Asset Prices (search for similar items in EconPapers)
Date: 2012-04
New Economics Papers: this item is included in nep-ban and nep-mac
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Citations: View citations in EconPapers (29)

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http://hdl.handle.net/1893/6456

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Journal Article: Asset prices, credit and the business cycle (2012)
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