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Examining complex unit roots in the MENA countries industrial production indices

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  • Haitham A. Al Zoubi
  • Aktham Maghyereh

Abstract

An estimation of complex unit roots is presented based on the standardized periodogram of the Jordanian and Israeli Industrial Production indices over the period 1982-2003. Both indices are found to have six complex cyclical unit roots contents. In contrast, the propagation mechanism rather than impulse tends to drive the business cycles in those economies. Propagation consists of those forces which carry the influences of the shock forward over time and cause deviation from the steady state to be persistent. The periodogram-based cycle duration analysis reveals that both Kitchin and Juglar cycles exist in the Israeli economy. However, no investment cycles are found in the Jordanian economy.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 4 ()
Pages: 255-259

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Handle: RePEc:taf:apeclt:v:12:y:2005:i:4:p:255-259

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  1. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series 90, Board of Governors of the Federal Reserve System (U.S.).
  2. Francis X. Diebold & Glenn D. Rudebusch, 1990. "Have postwar economic fluctuations been stabilized?," Discussion Paper / Institute for Empirical Macroeconomics 33, Federal Reserve Bank of Minneapolis.
  3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  4. Bierens, Herman J., 2001. "Complex Unit Roots And Business Cycles: Are They Real?," Econometric Theory, Cambridge University Press, vol. 17(05), pages 962-983, October.
  5. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
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Cited by:
  1. Hideaki Hirata & Sunghyun Henry Kim & M. Ayhan Kose, 2007. "Sources of Fluctuations: The Case of MENA," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(1), pages 5-34, February.
  2. Fukuda, Kosei, 2009. "Measuring major and minor cycles in univariate economic time series," Economic Modelling, Elsevier, vol. 26(5), pages 1093-1100, September.

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