The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
AbstractThere is now considerable evidence that business cycle variation in output and employment in the U.S. differs in expansions and contractions. We present nonparametric evidence that asymmetries are strongest in durable goods manufacturing. In a Markov switching framework, we find two leading indicators, consumer expectations and the term spread, act as important driving forces behind asymmetry. Cross sectional analysis, using firm level data, shows that plant and equipment expenditures, raw materials inventory holdings, and bankruptcy score increase the likelihood ratio index for asymmetry by more than 65%
Download InfoIf 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.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 266.
Date of creation: 11 Aug 2004
Date of revision:
asymmetry; industry; triples test; Markov switching; oil prices; inventories; leading indicators.;
Other versions of this item:
- Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics.
- E23 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Production
- E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
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.:
- Rothman, Philip, 1988.
"Further Evidence On The Asymmetric Behavior Of Unemployment Rates Over The Business Cycle,"
88-23, C.V. Starr Center for Applied Economics, New York University.
- Rothman, Philip, 1991. "Further evidence on the asymmetric behavior of unemployment rates over the business cycle," Journal of Macroeconomics, Elsevier, vol. 13(2), pages 291-298.
- Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998.
- W.A. Razzak, 2001.
"Business Cycle Asymmetries: International Evidence,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 230-243, January.
- Weshah Razzak, 2001. "Triples Asymmetry Test for "Business Cycle Asymmetries: International Evidence"," Computer Codes razzak01, Review of Economic Dynamics.
- Davis, Steven J. & Haltiwanger, John, 2001.
"Sectoral job creation and destruction responses to oil price changes,"
Journal of Monetary Economics,
Elsevier, vol. 48(3), pages 465-512, December.
- Steven J. Davis & John Haltiwanger, 1999. "Sectoral Job Creation and Destruction Responses to Oil Price Changes," NBER Working Papers 7095, National Bureau of Economic Research, Inc.
- Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
- Altissimo, Filippo & Violante, Giovanni L, 2000.
"The Nonlinear Dynamics of Output and Unemployment in the US,"
CEPR Discussion Papers
2475, C.E.P.R. Discussion Papers.
- Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
- James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230
National Bureau of Economic Research, Inc.
- Jeremy Piger & James Morley & Chang-Jin Kim, 2005.
"Nonlinearity and the permanent effects of recessions,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang-Jin Kim & James Morley & Jeremy Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis.
- Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
- Gert Peersman & Frank Smets, 2005.
"The Industry Effects of Monetary Policy in the Euro Area,"
Royal Economic Society, vol. 115(503), pages 319-342, 04.
- Peersman, Gert & Smets, Frank, 2002. "The industry effects of monetary policy in the euro area," Working Paper Series 0165, European Central Bank.
- P.H. Franses & D. Fok & D. van Dijk, 2004.
"A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production,"
Econometric Society 2004 Australasian Meetings
267, Econometric Society.
- Fok, D. & Dijk, D.J.C. van & Franses, Ph.H.B.F., 2003. "A multi-level panel smooth transition autoregression for US sectoral production," Econometric Institute Report EI 2003-43, Erasmus University Rotterdam, Econometric Institute.
- Robert E. Hall, 1999. "Aggregate Job Destruction and Inventory Liquidation," NBER Working Papers 6912, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2000.
"What is an Oil Shock?,"
NBER Working Papers
7755, National Bureau of Economic Research, Inc.
- John Geweke, 1998.
"Using simulation methods for Bayesian econometric models: inference, development, and communication,"
249, Federal Reserve Bank of Minneapolis.
- John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor and Francis Journals, vol. 18(1), pages 1-73.
- Steven J. Davis & John C. Haltiwanger & Scott Schuh, 1998. "Job Creation and Destruction," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262540932, June.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
- Sichel, Daniel E, 1994.
"Inventories and the Three Phases of the Business Cycle,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 269-77, July.
- Daniel E. Sichel, 1992. "Inventories and the three phases of the business cycle," Working Paper Series / Economic Activity Section 128, Board of Governors of the Federal Reserve System (U.S.).
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005.
"Panel Smooth Transition Regression Models,"
Working Paper Series in Economics and Finance
604, Stockholm School of Economics.
- Raymond, Jennie E & Rich, Robert W, 1997. "Oil and the Macroeconomy: A Markov State-Switching Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(2), pages 193-213, May.
- 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.
- Ramsey, J.B. & Rothman, P., 1993.
"Time Irreversibility and Business Cycle Asymmetry,"
93-39, C.V. Starr Center for Applied Economics, New York University.
- Bidarkota Prasad V., 1999. "Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-12, January.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April.
- Krolzig, Hans-Martin & Sensier, Marianne, 2000. "A Disaggregated Markov-Switching Model of the Business Cycle in UK Manufacturing," Manchester School, University of Manchester, vol. 68(4), pages 442-60, Special I.
- Christopher L. Foote, 1998.
"Trend Employment Growth And The Bunching Of Job Creation And Destruction,"
The Quarterly Journal of Economics,
MIT Press, vol. 113(3), pages 809-834, August.
- Christopher L. Foote, 1998. "Trend Employment Growth and the Bunching of Job Creation and Destruction," Harvard Institute of Economic Research Working Papers 1818, Harvard - Institute of Economic Research.
- Scott Schuh & Robert K Triest, 1998. "Job Reallocation And The Business Cycle: New Facts An Old Debate," Working Papers 98-11, Center for Economic Studies, U.S. Census Bureau.
- Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
- Rothman Philip A, 2008. "Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-18, September.
- Hans-Martin Krolzig & Michael P. Clements, 2002. "Can oil shocks explain asymmetries in the US Business Cycle?," Empirical Economics, Springer, vol. 27(2), pages 185-204.
- McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June.
- Marianne Sensier, 2003. "Inventories and asymmetric business cycle fluctuations in the UK: a structural approach," Applied Economics, Taylor and Francis Journals, vol. 35(4), pages 387-402.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.