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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Asset prices, credit and the business cycle
Author(s): Chen, Xiaoshan
Kontonikas, Alexandros
Montagnoli, Alberto
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Keywords: Asset prices
Business cycles
Multivariate unobserved components models
Issue Date: Dec-2012
Date Deposited: 1-Oct-2012
Citation: Chen X, Kontonikas A & Montagnoli A (2012) Asset prices, credit and the business cycle. Economics Letters, 117 (3), pp. 857-861.
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.
DOI Link: 10.1016/j.econlet.2012.08.040
Rights: Published in Economics Letters by Elsevier; Elsevier believes that individual authors should be able to distribute their accepted author manuscripts for their personal voluntary needs and interests, e.g. posting to their websites or their institution’s repository, e-mailing to colleagues. The Elsevier Policy is as follows: Authors retain the right to use the accepted author manuscript for personal use, internal institutional use and for permitted scholarly posting provided that these are not for purposes of commercial use or systematic distribution. An "accepted author manuscript" is the author’s version of the manuscript of an article that has been accepted for publication and which may include any author-incorporated changes suggested through the processes of submission processing, peer review, and editor-author communications.

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