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
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)
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Journal Article: Asset prices, credit and the business cycle (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:stl:stledp:2012-04
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