Asset prices, credit and the business cycle

Citation

Chen X, Kontonikas A & Montagnoli A (2012) Asset prices, credit and the business cycle. Economics Letters, 117 (3), pp. 857-861. https://doi.org/10.1016/j.econlet.2012.08.040

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.

Keywords
Asset prices; Credit; Business cycles; Multivariate unobserved components models

Journal
Economics Letters: Volume 117, Issue 3

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