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Appears in Collections:Economics Working Papers
Peer Review Status: Unrefereed
Title: Asset Prices, Credit and the Business Cycle
Authors: Chen, Xiaoshan
Kontonikas, Alexandros
Montagnoli, Alberto
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Citation: Chen X, Kontonikas A & Montagnoli A (2012) Asset Prices, Credit and the Business Cycle. Stirling Economics Discussion Papers, 2012-04. Stirling Management School.
Keywords: Asset Prices
Business Cycles
Multivariate Unobserved Components Models
JEL Code(s): C32
Issue Date: Apr-2012
Publisher: Stirling Management School
Series/Report no.: Stirling Economics Discussion Papers, 2012-04
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.
Type: Working or Discussion Paper
Affiliation: Economics
University of Glasgow

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