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Testing for Asymmetries in UK Macroeconomic Time Series

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  • Speight, A E H
  • McMillan, D G
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    Abstract

    This paper examines the asymmetric properties of a broad range of quarterly postwar U.K. macroeconomic time series using recently developed test statistics for contractionary 'deepness' and 'steepness' relative to trend. The authors also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick-Prescott filtering and structural time-series modeling. They find strong corroborative evidence of asymmetric steepness relative to trend in durable consumption, total investment, investment in plant and machinery, exports, and unemployment. The authors find weaker evidence of asymmetric deepness in savings, exports, labor hours, consumption, and unemployment. Copyright 1998 by Scottish Economic Society.

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    Bibliographic Info

    Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

    Volume (Year): 45 (1998)
    Issue (Month): 2 (May)
    Pages: 158-70

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    Handle: RePEc:bla:scotjp:v:45:y:1998:i:2:p:158-70

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    Cited by:
    1. Richard Harris & Brian Silverstone, 2000. "Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun's Law," Working Papers in Economics 00/02, University of Waikato, Department of Economics.
    2. Apergis, Nicholas & Miller, Stephen M., 2006. "Consumption asymmetry and the stock market: Empirical evidence," Economics Letters, Elsevier, vol. 93(3), pages 337-342, December.
    3. Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
    4. Steven Cook, 2000. "An International Perspective on Asymmetries in Consumers' Expenditure," Empirica, Springer, vol. 27(3), pages 283-293, September.
    5. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
    6. Hans-Martin Krolzig & Michael Clements, 2000. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economics Series Working Papers 2000-W32, University of Oxford, Department of Economics.
    7. Nicholas Apergis & Stephen M. Miller, 2004. "Consumption Asymmetry and the Stock Market: Further Evidence," Working papers 2004-19, University of Connecticut, Department of Economics.

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