Asymmetry and Duration Dependence in Australian GDP and Unemployment
AbstractThe periodic structure of business cycles suggests that significant asymmetries are present over different phases of the cycle. This paper uses Markov regime-switching models with fixed and duration dependent transition probabilities to directly model expansions, contractions and durations in Australian GDP growth and unemployment growth. Evidence is found of significant asymmetry in growth rates across expansions and contractions for both series. GDP contractions exhibit duration dependence implying that as output recessions age the likelihood of switching into an expansion phase increases. Unemployment growth does not exhibit duration dependence in either phase. Evidence is also presented that nonlinearities in unemployment growth are well explained by the asymmetries in the GDP growth cycle. The analysis suggests that recessions are periods of rapid and intense job destruction, that Australian unemployment tends to ratchet up in recessionary periods and, in contrast to U.S. and U.K. studies, that shocks to Australian unemployment growth are more persistent in recessions than expansions. Copyright 1998 by The Economic Society of Australia.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by The Economic Society of Australia in its journal The Economic Record.
Volume (Year): 74 (1998)
Issue (Month): 227 (December)
Contact details of provider:
Postal: Central Council Administration, L.P.O. Box 2161, Hawthorn VIC 3122
Phone: 61 3 9497 4140
Fax: 61 3 9497 4140
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0013-0249
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
- Gunnar Bardsen & Stan Hurn & Zoe McHugh, 2011.
"Asymmetric unemployment rate dynamics in Australia,"
NCER Working Paper Series
71, National Centre for Econometric Research.
- Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-22, January.
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010. "Asymmetric unemployment rate dynamics in Australia," CREATES Research Papers 2010-02, School of Economics and Management, University of Aarhus.
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010. "Asymmetric unemployment rate dynamics in Australia," Working Paper Series 10810, Department of Economics, Norwegian University of Science and Technology.
- Enders, Walter & Hurn, Stan, 2002. "Asymmetric price adjustment and the Phillips curve," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 395-412, September.
- Patrick J. Wilson & L.J. Perry, 2004. "Forecasting Australian Unemployment Rates using Spectral Analysis," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 7(4), pages 459-480, December.
- Uctum, Remzi, 2007.
"Économétrie des modèles à changement de régimes : un essai de synthèse,"
Société Canadienne de Science Economique, vol. 83(4), pages 447-482, dÃ©cembre.
- Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
- Ricardo Hausmann & Francisco Rodríguez & Rodrigo Wagner, 2006.
Wesleyan Economics Working Papers
2006-024, Wesleyan University, Department of Economics.
- Taylor, Andrew & Shepherd, David & Duncan, Stephen, 2005. "The structure of the Australian growth process: A Bayesian model selection view of Markov switching," Economic Modelling, Elsevier, vol. 22(4), pages 628-645, July.
- João Sousa Andrade, 2007. "Uma Aplicação da Lei de Okun em Portugal," GEMF Working Papers 2007-04, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Paul Cashin & Sam Ouliaris, 2004.
"Key Features of Australian Business Cycles,"
Australian Economic Papers,
Wiley Blackwell, vol. 43(1), pages 39-58, 03.
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.
- Phil Bodman, . "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia.
- Maki, Daiki, 2009. "Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1754-1760.
- Le, Anh T & Miller, Paul W, 2000. "Australia's Unemployment Problem," The Economic Record, The Economic Society of Australia, vol. 76(232), pages 74-104, March.
- Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
- Adrian Pagan, 2002. "Learning About Models and Their Fit to Data," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 1-18.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.