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Appears in Collections:Economics Working Papers
Peer Review Status: Unrefereed
Title: Asset Prices, Credit and the Business Cycle
Author(s): 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.
Keywords: Asset Prices
Business Cycles
Multivariate Unobserved Components Models
JEL Code(s): C32: Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32: Business Fluctuations; Cycles
E44: Financial Markets and the Macroeconomy
E51: Money Supply; Credit; Money Multipliers
G00: Financial Economics: General
Issue Date: 30-Apr-2012
Date Deposited: 15-Apr-2018
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 Paper
Affiliation: Economics
University of Glasgow

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