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Business Cycle Asymmetries: International Evidence

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  • W.A. Razzak

    (Reserve Bank of New Zealand)

Abstract

This paper uses the Triples test of Randles et al (1980) to detect asymmetries in US as well as international GDP fluctuations. The test does not detect any asymmetry in the distribution of the US GDP, which is consistent with previous empirical findings. However, significant asymmetries are found in international data. Detection of asymmetries is a first step towards model-selection process such that stylized facts can be replicated. (Copyright: Elsevier)

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File URL: http://dx.doi.org/10.1006/redy.2000.0109
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Bibliographic Info

Article provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.

Volume (Year): 4 (2001)
Issue (Month): 1 (January)
Pages: 230-243

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Handle: RePEc:red:issued:v:4:y:2001:i:1:p:230-243

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Related research

Keywords: multicountry models; asymmetry; steepness; deepness;

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References

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  1. Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
  2. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  3. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
  4. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
  5. Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T., 1996. "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-15, October.
  6. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  7. Falk, Barry L., 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Staff General Research Papers 11097, Iowa State University, Department of Economics.
  8. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
  9. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand.
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