Asset prices, credit and the business cycle

被引：24
|
作者：
Chen, Xiaoshan [1 ]
Kontonikas, Alexandros [1 ]
Montagnoli, Alberto [2 ]
机构：
[1] Univ Glasgow, Dept Econ, Glasgow, Lanark, Scotland
[2] Univ Stirling, Div Econ, Stirling FK9 4LA, Scotland
来源：
ECONOMICS LETTERS | 2012年 / 117卷 / 03期
关键词：
Asset prices; Credit; Business cycles; Multivariate unobserved components models;
D O I：
10.1016/j.econlet.2012.08.040
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：857 / 861
页数：5
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