IDEAS home Printed from https://ideas.repec.org/a/bla/ecorec/v70y1994i208p12-18.html
   My bibliography  Save this article

Further on the Nature of the Australian Business Cycle

Author

Listed:
  • ALLAN P. LAYTON

Abstract

Strong and Tan (1991) found Australian output variation was well characterized by a stochastic trend implying output shocks have a permanent effect on the level of activity. The paper finds that in Australia the stochastic trend alternative is statistically dominated when the data are allowed to be characterized by a probabilistic segmented trend specification. This finding implies shocks will only have a permanent effect on output when the series' growth path switches from one growth regime into another as a result of the shock.

Suggested Citation

  • Allan P. Layton, 1994. "Further on the Nature of the Australian Business Cycle," The Economic Record, The Economic Society of Australia, vol. 70(208), pages 12-18, March.
    • Handle: RePEc:bla:ecorec:v:70:y:1994:i:208:p:12-18
    DOI: 10.1111/j.1475-4932.1994.tb01820.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1475-4932.1994.tb01820.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1475-4932.1994.tb01820.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 857-880.
    2. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," The Journal of Business, University of Chicago Press, vol. 62(3), pages 369-391, July.
    3. Geoffrey H. Moore, 1983. "Business Cycles, Inflation, and Forecasting, 2nd edition," NBER Books, National Bureau of Economic Research, Inc, number moor83-1, July.
    4. Sam Strong & Siew Ping Tan, 1991. "The Australian Business Cycle: Its Definition and Existence," The Economic Record, The Economic Society of Australia, vol. 67(2), pages 115-125, June.
    5. Geoffrey H. Moore, 1983. "Introductory pages to "Business Cycles, Inflation, and Forecasting, 2nd edition"," NBER Chapters, in: Business Cycles, Inflation, and Forecasting, 2nd edition, pages -25, National Bureau of Economic Research, Inc.
    6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    7. Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
    8. Strong, Sam & Tan, Siew Ping, 1991. "The Australian Business Cycle: Its Definition and Existence," The Economic Record, The Economic Society of Australia, vol. 67(197), pages 115-125, June.
    9. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-177, Supplemen.
    10. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    11. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    12. Geoffrey H. Moore, 1983. "Appendices to "Business Cycles, Inflation, and Forecasting, 2nd edition"," NBER Chapters, in: Business Cycles, Inflation, and Forecasting, 2nd edition, pages 453-473, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Philip M. Bodman, 1998. "Asymmetry and Duration Dependence in Australian GDP and Unemployment," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 399-411, December.
    2. Rolando F. Peláez, 2015. "A recession‐and‐state forecasting model," Southern Economic Journal, John Wiley & Sons, vol. 81(4), pages 1025-1039, April.
    3. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
    4. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
    5. Andrew J. Filardo, 1999. "How reliable are recession prediction models?," Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q II), pages 35-55.
    6. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
    7. Hall, Thomas E., 1995. "Price cyclicality in the natural rate-nominal demand shock model," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 257-272.
    8. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
    9. Shami, R.G. & Forbes, C.S., 2000. "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers 10/00, Monash University, Department of Econometrics and Business Statistics.
    10. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
    11. Kahn, James A. & Rich, Robert W., 2007. "Tracking the new economy: Using growth theory to detect changes in trend productivity," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1670-1701, September.
    12. Liang, Kuo-Yuan & Yen, Chen-Hui, 2014. "Dissecting the cycles: An intermarket investigation and its implications to portfolio reallocation," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 39-51.
    13. Hilde Christiane Bjørnland, 1999. "Structural breaks and stochastic trends in macroeconomic variables in Norway," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 133-138.
    14. Bruzda, Joanna, 2019. "Complex analytic wavelets in the measurement of macroeconomic risks," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    15. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
    16. Gregory R. Duffee & Stephen D. Prowse, "undated". "What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment," Finance and Economics Discussion Series 1996-38, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    17. Camacho Maximo & Perez Quiros Gabriel, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-39, December.
    18. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
    19. Ernst. A. Boehm & Geoffrey H. Moore, 1984. "New Economic Indicators for Australia, 1949‐84," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 17(4), pages 34-56, December.
    20. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecorec:v:70:y:1994:i:208:p:12-18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/esausea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.