Authors
Xiaoshan Chen, Alexandros Kontonikas, Alberto Montagnoli
Publication date
2012/12/1
Journal
Economics Letters
Volume
117
Issue
3
Pages
857-861
Publisher
North-Holland
Description
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.
Scholar articles
X Chen, A Kontonikas, A Montagnoli - Economics Letters, 2012