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Another Look at Swedish Business Cycles, 1861-1988

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Author Info
Skalin, Joakim () (Dept for Economic Affairs, Ministry of Finance)
Teräsvirta, Timo () (Department of Economic Statistics)

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Abstract

This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The observed nonlinearity is characterized by STAR models. The statistical and dynamic properties of the estimated STAR models are investigated using, among other things, parametrically estimated ‘local’ or ‘sliced’ spectra. Cyclical variation at business cycle frequencies does not seem to be constant over time for all series, and it is difficult to find a ‘Swedish business cycle’. Only two series may be regarded as having genuinely assymetric cyclical variation. Standard Granger non-causality tests are adapted to the nonlinear (STAR) case, and the null hypothesis of noncausality is tested for pairs of series. The results point at strong temporal interactions between series. They also indicate that the assumption of functional form (linear or STAR) strongly affects the outcome of these pairwise tests.

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Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 130.

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Length: 58 pages
Date of creation: Nov 1996
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Publication status: Published in Journal of Applied Econometrics, 1999, pages 359-378.
Handle: RePEc:hhs:hastef:0130

Note: This is the working paper version appearing in the References of the published version (Journal of Applied Econometrics 14, 359-378 (1999).
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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Related research
Keywords: Granger causality; model spectrum; linearity test; time series model; nonlinearity; smooth transition autoregression;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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.:

  1. 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. [Downloadable!] (restricted)
  2. Bell, David & Kay, Jim & Malley, Jim, 1996. "A non-parametric approach to non-linear causality testing," Economics Letters, Elsevier, vol. 51(1), pages 7-18, April. [Downloadable!] (restricted)
  3. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier. [Downloadable!] (restricted)
  4. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
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  5. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September. [Downloadable!] (restricted)
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  6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  7. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun. [Downloadable!] (restricted)
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  8. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
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  9. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-61, December. [Downloadable!] (restricted)
  10. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  11. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Oxford University Press, vol. 31(2), pages 224-36, April.
  12. Raj, Baldev, 1992. "International Evidence on Persistence in Output in the Presence of an Episodic Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 281-93, July-Sept. [Downloadable!] (restricted)
  13. Rita Luukkonen & Timo Terasvirta, 1991. "Testing Linearity of Economic Time Series against Cyclical Asymmetry," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 07, Octobre-m. [Downloadable!]
  14. Hiemstra, Craig & Jones, Jonathan D, 1994. " Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-64, December. [Downloadable!] (restricted)
  15. John Hassler & Petter Lundvik & Torsten Persson & Paul Soderlind, 1992. "The Swedish business cycle: stylized facts over 130 years," Discussion Paper / Institute for Empirical Macroeconomics 63, Federal Reserve Bank of Minneapolis. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  2. David Peel & Ivan Paya & E Pavlidis, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 005913, Lancaster University Management School, Economics Department. [Downloadable!]
  3. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December. [Downloadable!]
  4. Gary Koop & Simon Potter, 2000. "The Vector Floor and Ceiling Model," Discussion Papers in Economics 04/15, Department of Economics, University of Leicester. [Downloadable!]
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