Asset Prices, Credit and the Business Cycle
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.
|Date of creation:||Apr 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Division of Economics, University of Stirling, Stirling, Scotland FK9 4LA|
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