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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68972.pdf - Accepted Version 462kB |
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 |
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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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