Asset Prices, Credit and Business Cycles.

Chen, X.; Kontonikas, A.; Montagnoli, A.

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.

Citation

Chen, X., Kontonikas, A., & Montagnoli, A. (2012). Asset Prices, Credit and Business Cycles. Economics Letters, 117(3), 857-861. https://doi.org/10.1016/j.econlet.2012.08.040

• Journal Article Type: Article
• Acceptance Date: Aug 24, 2012
• Online Publication Date: Sep 10, 2012
• Publication Date: 2012-12
• Deposit Date: Jan 26, 2015
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 117
• Issue: 3
• Pages: 857-861
• DOI: https://doi.org/10.1016/j.econlet.2012.08.040
• Public URL: https://durham-repository.worktribe.com/output/1416063