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Durham University

Research & business

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Publication details

Chen, X., Kontonikas, A. & Montagnoli, A. (2012). Asset Prices, Credit and Business Cycles. Economics Letters 117(3): 857-861.

Author(s) from Durham


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.