What Goes Up Must Come Down (But Not Necessarily at the Same Rate): Testing for Asymmetry in New Zealand Time Series
AbstractThe notion that many macroeconomic variables fluctuate asymmetrically over time is not new to economic theory but it is relatively new to empirical economics. The most common empirical representations of aggregate time series are usually smooth and sluggish. This study employs the test for steepness and deepness to the cyclical component (extracted via the HP filter) of eight New Zealand economic time series. We find that there is no evidence of asymmetry in the cycles of any of the series.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 4214.
Date of creation: 1998
Date of revision:
Other versions of this item:
- Lindsay Tedds, 1998. "What goes up must come down (but not necessarily at the same rate): Testing for asymmetry in New Zealand time series," New Zealand Economic Papers, Taylor & Francis Journals, vol. 32(1), pages 41-55.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Marianne Baxter & Robert G. King, 1999.
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The Review of Economics and Statistics,
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- Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
- Timothy Cogley & James M. Nason, 1991. "Effects of the Hodrick-Prescott filter on integrated time series," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
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