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Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle

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  • D. Jones
  • Maurice Peat

    (Discipline of Finance, University of Sydney)

  • Max Stevenson

    (Discipline of Finance, University of Sydney)

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    Abstract

    Asymmetry in the business cycle has been recognised as a nonlinear phenomenon by a number of recent studies which have examined unemployment rate series in North America, Europe and Australia. While many of these studies hypothesise that linear modelling techniques are inadequate for modelling aggregate unemployment rate series, other studies provide evidence to the contrary. Further conflicting results emerge from studies which attempt to answer the questions as to whether nonlinearities in the disaggregated data are driving nonlinear structure in the aggregated series or, whether nonlinearities are being masked by the disaggregation process? Using U.K. aggregate and regional unemployment rate data, this study seeks to answer to these questions. Analysing the dynamics of the appropriate best-fitting linear and nonlinear models indicates whether nonlinearities are present in the aggregate series and whether the process of aggregation across spatial market series serves to induce or remove any evidence of nonlinearity in the aggreagate series.

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    File URL: http://www.finance.uts.edu.au/research/wpapers/wp67.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 67.

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    Date of creation: 01 Sep 1996
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    Handle: RePEc:uts:wpaper:67

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    References

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    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.:
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    1. Maurice Peat & Max Stevenson, 1994. "Asymmetry in the Business Cycle: Evidence from the Australian Labour Markets," Working Paper Series 37, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
    3. 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.
    4. repec:att:wimass:9520 is not listed on IDEAS
    5. Gerard A. Pfann, 1991. "Employment and business cycle asymmetries: a data based study," Discussion Paper / Institute for Empirical Macroeconomics 39, Federal Reserve Bank of Minneapolis.
    6. 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.
    7. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438.
    8. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. Frank, Murray & Sayers, Chera & Stengos, Thanasis, 1993. "Evidence concerning non-linear structure in Canadian provincial unemployment rates," Structural Change and Economic Dynamics, Elsevier, vol. 4(2), pages 333-343, December.
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