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Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe

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Author Info
Michael Bradley (George Washington University)
Dennis Jansen (Texas A&M University)

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Abstract

We investigate business cycle dynamics for 26 countries, estimating a set of nonlinear models for real GDP where appropriate. We find a great deal of heterogeneity in the dynamics of real output growth across countries. At the same time, a common feature is the asymmetric response of real GDP to shocks and the tendency for negative real GDP shocks to be less persistent than positive real GDP shocks.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 4 (2000)
Issue (Month): 2 ()
Pages: 51-71
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Handle: RePEc:bep:sndecm:4:2000:2:51-71

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Related research
Keywords: business cycle dynamics nonlinear international

References listed on IDEAS
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  1. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
  2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  3. Andrade, I C, et al, 1999. "Tests for Stochastic Seasonality Applied to Daily Financial Time Series," Manchester School, University of Manchester, vol. 67(1), pages 39-59, January. [Downloadable!] (restricted)
  4. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  5. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April. [Downloadable!] (restricted)
  6. Simon M. Potter, 1999. "Nonlinear impulse response functions," Staff Reports 65, Federal Reserve Bank of New York. [Downloadable!]
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  7. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July. [Downloadable!] (restricted)
  8. Artur C. B. da Silva Lopes, 1999. "Spurious deterministic seasonality and autocorrelation corrections with quarterly data: Further Monte Carlo results," Empirical Economics, Springer, vol. 24(2), pages 341-359. [Downloadable!] (restricted)
  9. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995. "Spurious deterministic seasonality," Economics Letters, Elsevier, vol. 48(3-4), pages 249-256, June. [Downloadable!] (restricted)
  10. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
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This page was last updated on 2008-11-19.

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