Asset prices, credit and the business cycle

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.

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Year of publication:	2012
Authors:	Chen, Xiaoshan ; Kontonikas, Alexandros ; Montagnoli, Alberto
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 857-861
Publisher:	Elsevier
Subject:	Asset prices \| Credit \| Business cycles \| Multivariate unobserved components models

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; E51 - Money Supply; Credit; Money Multipliers ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594199