Asset Prices, Credit and the Business Cycle

Citation

Chen X, Kontonikas A & Montagnoli A (2012) Asset Prices, Credit and the Business Cycle. 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.

Keywords
Asset Prices; Credit; Business Cycles; Multivariate Unobserved Components Models

JEL codes

• 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

• SEDP-2012-04-Chen-Kontonikas-Montagnoli.pdf