Advanced Search
MyIDEAS: Login to save this article or follow this journal

On The Dynamic Properties Of Asymmetric Models Of Real GNP

Contents:

Author Info

  • Allan D. Brunner

Abstract

There is now a substantial body of evidence that suggests business cycles are asymmetric. However, the evidence has been accumulated using a wide array of statistical techniques and, consequently, is based on various definitions of asymmetry. This paper examines several parametric models that have been used to study asymmetries in real GNP. Although these models capture asymmetries in very different ways, their dynamic properties are remarkably similar. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/003465397556674
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 79 (1997)
Issue (Month): 2 (May)
Pages: 321-352

as in new window
Handle: RePEc:tpr:restat:v:79:y:1997:i:2:p:321-352

Contact details of provider:
Web page: http://mitpress.mit.edu/journals/

Order Information:
Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  2. Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers, Princeton, Department of Economics - Financial Research Center 85, Princeton, Department of Economics - Financial Research Center.
  3. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 92(2), pages 307-28, April.
  4. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  5. Simon M. Potter, 1999. "Nonlinear impulse response functions," Staff Reports, Federal Reserve Bank of New York 65, Federal Reserve Bank of New York.
  6. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  7. Hussey, Robert, 1992. "Nonparametric evidence on asymmetry in business cycles using aggregate employment time series," Journal of Econometrics, Elsevier, Elsevier, vol. 51(1-2), pages 217-231.
  8. Brunner, Allan D, 1992. "Conditional Asymmetries in Real GNP: A Seminonparametric Approach," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(1), pages 65-72, January.
  9. Brunner, Allan D & Hess, Gregory D, 1993. "Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 187-97, April.
  10. Gallant, A.R. & Tauchen, G., 1988. "Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Papers, Chicago - Graduate School of Business 88-59, Chicago - Graduate School of Business.
  11. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 31(2), pages 149-163, April.
  12. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers, UCLA Department of Economics 693, UCLA Department of Economics.
  13. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, Econometric Society, vol. 47(5), pages 1287-94, September.
  14. French, Mark W & Sichel, Daniel E, 1993. "Cyclical Patterns in the Variance of Economic Activity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(1), pages 113-19, January.
  15. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 415-443.
  16. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 871-907, July.
  17. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
  18. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
  19. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 1-25, January.
  20. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, Econometric Society, vol. 53(5), pages 1047-70, September.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers, Florida International University, Department of Economics 0308, Florida International University, Department of Economics.
  2. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  3. Vu Thanh Hai & Albert K. Tsuia & Zhaoyong Zhang, 2009. "Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach," Trade Working Papers 22760, East Asian Bureau of Economic Research.
  4. João Sousa Andrade, 2007. "Uma Aplicação da Lei de Okun em Portugal," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2007-04, GEMF - Faculdade de Economia, Universidade de Coimbra.
  5. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  6. João Sousa Andrade, 2009. "The PIGS, does the Group Exist? An empirical macroeconomic analysis based on the Okun Law," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2009-11, GEMF - Faculdade de Economia, Universidade de Coimbra.
  7. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 37(2), pages 193-220, February.
  8. Giovanni BUSETTA & Dario CORSO, 2008. "La legge di Okun: asimmetrie e differenziali territoriali in Italia," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 320, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. S. Borağan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE Model Nonlinearities," NBER Working Papers 19693, National Bureau of Economic Research, Inc.
  10. Yasuhiko Nakamura, 2008. "On Forecasting Recessions via Neural Nets," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-15.
  11. Bildirici, Melike & Alp, Aykaç, 2008. "The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 5(1), pages 93-110.
  12. Khurshid M. KIANI & Terry L. KASTENS, 2006. "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 6(3).
  13. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers, University of Connecticut, Department of Economics 2008-24, University of Connecticut, Department of Economics.
  14. Angelos A. Antzoulatos, 1997. "Non-linear consumption dynamics," Research Paper, Federal Reserve Bank of New York 9726, Federal Reserve Bank of New York.
  15. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, Elsevier, vol. 15(4), pages 424-442.
  16. John Ammer & Allan D. Brunner, 1995. "When is monetary policy effective?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 520, Board of Governors of the Federal Reserve System (U.S.).
  17. Khurshid M. Kiani, 2007. "Asymmetric Business Cycle Fluctuations and Contagion Effects in G7 Countries," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 237-253, December.
  18. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Investigating business cycle asymmetry for the G7 countries: Evidence from over a century of data," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(4), pages 583-591, October.
  19. Kiani, K.M., 2009. "Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 9(1).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:79:y:1997:i:2:p:321-352. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karie Kirkpatrick).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.