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A cross-country investigation of macroeconomic asymmetries

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  • Randal J. Verbrugge

    (VPI&SU)

Abstract

Using a recently introduced nonparametric test, I investigate two important and distinct asymmetries in cross-country quarterly macroeconomic time series. Asymmetries are suggested by many theories (old and new), and those discovered aid in the selection of the appropriate nonlinear time series representation (useful, for example, in both forecasting and policy guidance). Further, asymmetries can help determine underlying economic mechanisms. The key findings: positive growth rate asymmetry is nearly ubiquitous in price level data (but is not caused by money growth asymmetry); and the pattern of asymmetries varies dramatically across countries (making widespread reliance on US data to study fluctuations worrisome).

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File URL: http://128.118.178.162/eps/mac/papers/9809/9809017.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 9809017.

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Length: 20 pages
Date of creation: 30 Sep 1998
Date of revision: 30 Sep 1998
Handle: RePEc:wpa:wuwpma:9809017

Note: Type of Document - pdf; prepared on IBM PC; pages: 20; figures: included
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Web page: http://128.118.178.162

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Keywords: triples test; nonlinear time series; inflation; business cycles;

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References

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Citations

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Cited by:
  1. Mayes , David G. & Virén , Matti, 2004. "Asymmetries in the Euro area economy," Research Discussion Papers 9/2004, Bank of Finland.
  2. Mayes, David G. & Viren, Matti, 2005. "Monetary policy problems for currency unions: asymmetry and the problem of aggregation in the euro area," Economic Modelling, Elsevier, vol. 22(2), pages 219-251, March.
  3. Almeida, Pedro Cameira de & Fuinhas, José Alberto & Marques, António Cardoso, 2011. "A assimetria dos ciclos económicos: Evidência internacional usando o teste triples
    [The asymmetry of business cycles: International evidence using triples test]
    ," MPRA Paper 35208, University Library of Munich, Germany.
  4. 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.
  5. Mayes, David G & Virén, Matti, 2000. "Asymmetry and the Problem of Aggregation in the Euro Area," Research Discussion Papers 11/2000, Bank of Finland.
  6. Victoria V. Dobrynskaya, 2008. "The Monetary and Exchange Rate Policy of the Central Bank of Russia under Asymmetrical Price Rigidity," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 29-62.
  7. V. Bhaskar, 2002. "Asymmetric Price Adjustment: Micro-foundations and Macroeconomic Implications," Economics Discussion Papers 547, University of Essex, Department of Economics.

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