Asset prices, credit and the business cycle

Economics Letters

Volumn 117, Issue 3, 2012, Pages 857-861

  Chen, Xiaoshan ^a   Kontonikas, Alexandros ^a   Montagnoli, Alberto ^b  

^a UNIVERSITY OF GLASGOW   (United Kingdom)

^b UNIVERSITY OF STIRLING   (United Kingdom)

Author keywords

Asset prices; Business cycles; Credit; Multivariate unobserved components models

Indexed keywords

EID: 84866842212     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2012.08.040     Document Type: Article

References (15)

1. Bernanke B., Gertler M. Agency costs, net worth, and business fluctuations. American Economic Review 1989, 79(1):14-31.
2. Bordo, M.D., Jeanne, O., 2002. Boom-busts in asset prices, economic instability, and monetary policy, NBER Working Papers 8966, National Bureau of Economic Research, Inc.
3. Claessens, S., Kose, A., Terrones, M.E., 2011. How do business and financial cycles interact?, CEPR Discussion Papers 8396, C.E.P.R. Discussion Papers.
4. Cogley T., Nason J.M. Effects of the hodrick-prescott filter on trend and difference stationary time series implications for business cycle research. Journal of Economic Dynamics and Control 1995, 19(1-2):253-278.
5. Creal D., Koopman S.J., Zivot E. Extracting a robust us business cycle using a time-varying multivariate model-based bandpass filter. Journal of Applied Econometrics 2010, 25(4):695-719.
6. Gerlach S., Peng W. Bank lending and property prices in Hong Kong. Journal of Banking and Finance 2005, 29:461-481.
7. Geweke J. Bayesian Statistics 1992, Oxford University Press, (Chap. Evaluating the accuracy of sampling-based approaches to calculating posterior moments).
8. Goodhart C., Hofmann B. House prices, money, credit and the macroeconomy. Oxford Review of Economic Policy 2008, 24(1):180-205.
9. Harding D., Pagan A. Dissecting the cycle: a methodological investigation. Journal of Monetary Economics 2002, 49(2):365-381.
10. Harvey A.C., Jaeger A. Detrending, stylized facts and the business cycle. Journal of Applied Econometrics 1993, 8(3):231-247.
11. Koopman S.J., Azevedo J.V.E. Measuring synchronization and convergence of business cycles for the Euro area, UK and US. Oxford Bulletin of Economics and Statistics 2008, 70(1):23-51.
12. Lucas A., Koopman S.J. Business and default cycles for credit risk. Journal of Applied Econometrics 2005, 20(2):311-323.
13. Mendoza, E.G., Terrones, M.E., 2008. An anatomy of credit booms: evidence from macro aggregates and micro data, NBER Working Papers 14049, National Bureau of Economic Research, Inc.
14. Murray c.J. Cyclical properties of baxter-king filtered time series. The Review of Economics and Statistics 2003, 85(2):472-476.
15. Runstler G. Modelling phase shifts among stochastic cycles. Econometrics Journal 2004, 7(1):232-248.