SEMINAR 21 June 2012: Xiaoshan Chen, Glasgow University

Asset Prices, Credit and the Business Cycle

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.

 Keywords: Asset Prices, Credit, Business Cycles, Multivariate Unobserved Components Models.

JEL classification: C32, E32, E44, E51, G0.