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http://hdl.handle.net/1893/6456| 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 |
| Contact Email: | alberto.montagnoli@stir.ac.uk |
| Citation: | Chen X, Kontonikas A & Montagnoli A (2012) Asset Prices, Credit and the Business Cycle. Stirling Economics Discussion Papers, 2012-04. |
| Keywords: | Asset Prices Credit 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 |
| URI: | http://hdl.handle.net/1893/6456 |
| Affiliation: | Economics University of Glasgow Economics |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SEDP-2012-04-Chen-Kontonikas-Montagnoli.pdf | Fulltext - Published Version | 355.17 kB | Adobe PDF | View/Open |
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