Nonlinear Business Cycle Dynamics: Cross-country Evidence on the Persistence of Aggregate Shocks

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Nonlinear Business Cycle Dynamics: Cross-country Evidence on the Persistence of Aggregate Shocks

Author Info

Bradley, Michael D
Jansen, Dennis W

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Dennis W. Jansen

Abstract

The authors look for asymmetries in the dynamics of real GDP growth for the G7 countries, using a model by Beaudry and Koop that allows the depth of a recession to influence the rate of growth of output. They find evidence supporting these nonlinearities in four countries, including the United States, but the authors do not find evidence that the asymmetries are common even among the four countries exhibiting asymmetric behavior. A modification of the model to distinguish between the recession and recovery phases of a business cycle does not change this general finding. The asymmetries discovered by Beaudry and Koop do not appear to be common among the G7 nations. Copyright 1997 by Oxford University Press.

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Article provided by Oxford University Press in its journal Economic Inquiry.

Volume (Year): 35 (1997)
Issue (Month): 3 (July)
Pages: 495-509
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Handle: RePEc:oup:ecinqu:v:35:y:1997:i:3:p:495-509

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Randall E. Parker & Philip Rothman, . "The Current Depth of Recession and Unemployment Rate Forecasts," Working Papers 9729, East Carolina University, Department of Economics. [Downloadable!]
Other versions:
- Randall Parker & Philip Rothman, 1998. "The Current Depth-of-Recession and Unemployment-Rate Forecasts," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(4), pages 159-177. [Downloadable!] (restricted)
Henry, O.T. & Olekalns, N., 2000. "The Effect of Recessions on the Relationship between Output Variability and Growth," Department of Economics - Working Papers Series 745, The University of Melbourne. [Downloadable!]
Other versions:
- Ólan T. Henry & Nilss Olekalns, 2002. "The Effect of Recessions on the Relationship between Output Variability and Growth," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 683-692, January.
James Payne & Hassan Mohammadi, 2006. "Are Adjustments in the U.S. Budget Deficit Asymmetric? Another Look at Sustainability," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(1), pages 15-22, March. [Downloadable!] (restricted)
Ramirez, Octavio A., 2006. "Use Of Asymmetric-Cycle Autoregressive Models To Improve Forecasting Of Agricultural Time Series Variables," 2006 Annual meeting, July 23-26, Long Beach, CA 21365, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
Ólan T. Henry & Nilss Olekalns & Jonathan Thong, 2003. "Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model," Department of Economics - Working Papers Series 868, The University of Melbourne. [Downloadable!]
Other versions:
- Ólan T. Henry & Nilss Olekalns & Jonathan Thong, 2004. "Do stock market returns predict changes to output? Evidence from a nonlinear panel data model," Empirical Economics, Springer, vol. 29(3), pages 527-540, 09. [Downloadable!] (restricted)

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