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International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000

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Author Info

  • Di Guilmi, C.
  • Gaffeo, E.
  • Gallegati, M.
  • Palestrini, A.

Abstract

Are expansions and recessions more likely to end as their magnitude increases? In this paper we apply parametric hazard models to investigate this issue in a sample of 16 countries from 1881 to 2000. For the total sample we find evidence of positive magnitude dependence for recessions, while for expansions we are not able to reject the null of magnitude independence. This last result is likely due to a structural change in the mechanism guiding expansions before and after the second World War. In particular, upturns show negative magnitude dependence in the post-World War II sub-sample, meaning that in this period expansions become less likely to end as their magnitude increases.

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Bibliographic Info

Article provided by Euro-American Association of Economic Development in its journal International Journal of Applied Econometrics and Quantitative Studies .

Volume (Year): 2 (2005)
Issue (Month): 1 ()
Pages: 5-16

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Handle: RePEc:eaa:ijaeqs:v:2:y2005:i:1_1

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Related research

Keywords: Business Cycles; Magnitude Dependence; Stabilization Policy;

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References

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  1. Francis X. Diebold & Glenn D. Rudebusch, 1988. "A nonparametric investigation of duration dependence in the American business cycle," Working Paper Series / Economic Activity Section 90, Board of Governors of the Federal Reserve System (U.S.).
  2. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
  3. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July.
  4. Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993. "Further Evidence on Business-Cycle Duration Dependence," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 255-284 National Bureau of Economic Research, Inc.
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Cited by:
  1. Chiarella, Carl & Di Guilmi, Corrado, 2011. "The financial instability hypothesis: A stochastic microfoundation framework," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1151-1171, August.
  2. Corrado DI GUILMI, 2008. "Financial Determinants of Firms Profitability: A Hazard Function Investigation," Working Papers 315, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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