Asset prices, credit and the business cycle

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

Economics Letters, 2012, vol. 117, issue 3, 857-861

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: Asset prices; Credit; Business cycles; Multivariate unobserved components models (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 E51 G0 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:857-861

DOI: 10.1016/j.econlet.2012.08.040

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