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:	2012-04
Authors:	Montagnoli, Alberto ; Chen, Xiaoshan ; Kontonikas, Alexandros
Institutions:	Department of Economics, University of Stirling
Subject:	Multivariate Unobserved Components Models \| Business Cycles \| Credit \| Asset Prices

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Series:	Stirling Economics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Stirling Economics Discussion Papers Number 2012-04
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011078014