| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059737 | Economics Letters | 2012 | 5 Pages |
Abstract
⺠We model the links between interest rates, output, asset prices and credit in the US. ⺠We use a multivariate unobserved components model with cycles and phase-shifts. ⺠We find that the longer-run cyclical components of the variables are concurrent. ⺠At the business cycle frequency, output and asset prices lead interest rate and credit.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xiaoshan Chen, Alexandros Kontonikas, Alberto Montagnoli,