Asset prices, credit and the business cycle

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

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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.

Item Type:Articles
Additional Information:NOTICE: this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters 117(3), 2012. DOI:10.1016/j.econlet.2012.08.040
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Chen, Dr Xiaoshan and Kontonikas, Professor Alexandros
Authors: Chen, X., Kontonikas, A., and Montagnoli, A.
Subjects:H Social Sciences > H Social Sciences (General)
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economics Letters
Publisher:Elsevier
ISSN:0165-1765
ISSN (Online):1873-7374
Copyright Holders:Copyright © 2012 Elsevier
First Published:First published in Economics Letters 117(3):857-861
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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