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Asymmetric Fluctuations and the Third Moments in the Real Business Cycle Theory

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  • Chang-Kon Choi
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    Abstract

    This paper examines the third moments in actual and simulated business cycles. The main goal is to answer the question whether a business cycle model can generate the asymmetry observed in the quarterly post war data. The results indicate that for third moments, the RBC model does not fit the data as well as it does for second moments. It is also shown that transitory shock can be better than persistent shock in matching the third moment, which implies an implication for modeling strategy of real business cycles theory. [E32]

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal International Economic Journal.

    Volume (Year): 12 (1998)
    Issue (Month): 2 ()
    Pages: 35-53

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    Handle: RePEc:taf:intecj:v:12:y:1998:i:2:p:35-53

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    1. Dynarski, Mark & Sheffrin, Steven, 1986. "Asymmetric fluctuations in consumption," Economics Letters, Elsevier, vol. 21(2), pages 117-120.
    2. McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June.
    3. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July.
    4. Mendoza, Enrique G, 1991. "Real Business Cycles in a Small Open Economy," American Economic Review, American Economic Association, vol. 81(4), pages 797-818, September.
    5. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232.
    6. Dynarski, Mark & Sheffrin, Steven M, 1987. "Consumption and Unemployment," The Quarterly Journal of Economics, MIT Press, vol. 102(2), pages 411-28, May.
    7. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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