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The durations of recession and prosperity: does their distribution follow a power or an exponential law?

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  • Ausloos, Marcel
  • Miśkiewicz, Janusz
  • Sanglier, Michèle

Abstract

Following findings by Ormerod and Mounfield (Physica A 293 (2001) 573) Wright (The duration of recessions follows an exponential nota power law, cond-mat/0311585) rises the problem whether a power (Ormerod and Mounfield, 2001) or an exponential law (Wright) describes the distribution of occurrences of economic recession periods. In order to clarify the controversy a different set of GDP data are hereby examined. The conclusion about a power law distribution of recession periods seems better though the matter is not entirely settled. The case of prosperity duration is also studied and is found to follow a power law. Universal but also non universal features between recession and prosperity cases are emphasized. Considering that the economy is basically a bistable (recession/prosperity) system we may derive a characteristic (de)stabilisation time. 89.65.Gh; 05.45.Tp; 02.70.Rv Econophysics; Time series analysis; Power law; Exponential law; Recession; Prosperity

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 339 (2004)
Issue (Month): 3 ()
Pages: 548-558

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Handle: RePEc:eee:phsmap:v:339:y:2004:i:3:p:548-558

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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Cited by:
  1. Tomson Ogwang, 2011. "Power laws in top wealth distributions: evidence from Canada," Empirical Economics, Springer, vol. 41(2), pages 473-486, October.
  2. Wright, Ian, 2008. "Implicit Microfoundations for Macroeconomics," Economics Discussion Papers 2008-41, Kiel Institute for the World Economy.
  3. Marcel R. Ausloos, 2012. "Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]," Papers 1201.4841, arXiv.org, revised Jan 2012.
  4. Redelico, Francisco O. & Proto, Araceli N. & Ausloos, Marcel, 2008. "Power law for the duration of recession and prosperity in Latin American countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(25), pages 6330-6336.
  5. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  6. Anca Gheorghiu & Ion Spanulescu, 2012. "An Econophysics Model for the Migration Phenomena," Papers 1202.0996, arXiv.org.
  7. Redelico, Francisco O. & Proto, Araceli N. & Ausloos, Marcel, 2009. "Hierarchical structures in the Gross Domestic Product per capita fluctuation in Latin American countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3527-3535.
  8. Paul Ormerod & Amy Heineike, 2009. "Global recessions as a cascade phenomenon with interacting agents," Journal of Economic Interaction and Coordination, Springer, vol. 4(1), pages 15-26, June.

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