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Asymmetry in the Business Cycle: Evidence from the Australian Labour Markets

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Author Info

  • Maurice Peat

    (Discipline of Finance, University of Sydney)

  • Max Stevenson

    (Discipline of Finance, University of Sydney)

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    Abstract

    Cyclical asymmetry has been recognised as a nonlinear phenomenonin recent studies examining unemployment rate time series. In this paper we use a number of established and new tests for identifying nonlinearities of the bilinear (BL), exponential autoregressive (EXPAR), smooth transition autoregressive (STAR), and self-exciting threshold autoregressive (SETAR) types as they occur in time series of the seasonally differenced logarithm of monthly Australian aggregate and regional unemployment rates. After identifying nonlinearity of a particular form within a given time series, the appropriate model is fitted and representations from the model analysed for their cyclical behaviour.

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    File URL: http://www.finance.uts.edu.au/research/wpapers/wp37.pdf
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    Bibliographic Info

    Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 37.

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    Length: 42 pages
    Date of creation: 01 Jun 1994
    Date of revision:
    Publication status: Published as: Peat, M. and Stevenson, M. 1996, "Asymmetry in the Business Cycle: Evidence from the Australian Labour Market", Journal of Economic Behavior and Organization, 30(3), pp. 353-368.
    Handle: RePEc:uts:wpaper:37

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    Related research

    Keywords: asymmetry; unemployment; dynamic; nonlinear dependence;

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    References

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    1. Cao, C Q & Tsay, R S, 1992. "Nonlinear Time-Series Analysis of Stock Volatilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S165-85, Suppl. De.
    2. 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.
    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    4. Blatt, John M, 1978. "On the Econometric Approach to Business-Cycle Analysis," Oxford Economic Papers, Oxford University Press, vol. 30(2), pages 292-300, July.
    5. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
    6. repec:att:wimass:9520 is not listed on IDEAS
    7. Blatt, John Markus, 1980. "On the Frisch Model of Business Cycles," Oxford Economic Papers, Oxford University Press, vol. 32(3), pages 467-79, November.
    8. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
    9. Maurice Peat & Max Stevenson, 1995. "Testing for Nonlinearities in Economic and Financial Time Series," Working Paper Series 48, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. 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.
    11. Olivier J. Blanchard & Lawrence H. Summers, 1989. "Hysteresis in Unemployment," NBER Working Papers 2035, National Bureau of Economic Research, Inc.
    12. Weiss, Andrew A, 1986. "ARCH and Bilinear Time Series Models: Comparison and Combination," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 59-70, January.
    13. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438.
    14. Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November.
    15. Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics.
    16. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
    17. Sichel, Daniel E, 1989. "Are Business Cycles Asymmetric? A Correction," Journal of Political Economy, University of Chicago Press, vol. 97(5), pages 1255-60, October.
    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., vol. 7(S), pages S119-36, Suppl. De.
    19. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    Cited by:
    1. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.
    2. Max Stevenson & Maurice Peat, 2000. "Forecasting Australian Unemployment Rates," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 4(1), pages 41-55, March.
    3. Gunnar Bardsen & Stan Hurn & Zoe McHugh, 2011. "Asymmetric unemployment rate dynamics in Australia," NCER Working Paper Series 71, National Centre for Econometric Research.
    4. Nilss Olekalns, 2001. "Cyclical asymmetries in Australian macroeconomic data," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 145-148.
    5. D. Jones & Maurice Peat & Max Stevenson, 1996. "Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle," Working Paper Series 67, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

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