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Another Look at Swedish Business Cycles, 1861-1988

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  • J. SKALIN
  • T. TERÄSVIRTA

Abstract

The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency variation does not seem to be constant over time for all series; it is difficult to find a 'Swedish business cycle'. Pairwise Granger non-causality tests are adapted to the STAR case, and non-causality is tested. The results point at strong temporal interactions and indicate that the functional form (linear or STAR) strongly affects the outcome of these tests.

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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1996,96.

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Date of creation: 1996
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Handle: RePEc:zbw:sfb373:199696

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References

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  1. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  2. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-61, December.
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Cited by:
  1. Röthig, Andreas & Chiarella, Carl, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 36774, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  2. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 201226, University of Pretoria, Department of Economics.
  3. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati, 2013. "Oil price and exchange rates: A wavelet based analysis for India," Economic Modelling, Elsevier, vol. 31(C), pages 414-422.
  4. Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
  5. E Pavlidis & I Paya & D Peel, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 599040, Lancaster University Management School, Economics Department.
  6. Chen, Yi-Ting, 2003. "Discriminating between competing STAR models," Economics Letters, Elsevier, vol. 79(2), pages 161-167, May.
  7. Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C., 1998. "Nonlinearities and outliers: robust specification of STAR models," Econometric Institute Research Papers EI 9832, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  9. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Skalin, Joakim & Teräsvirta, Timo, 1998. "Modelling asymmetries and moving equilibria in unemployment rates," Working Paper Series in Economics and Finance 262, Stockholm School of Economics, revised 05 Oct 1998.
  11. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  12. Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank.
  13. Sahin, Afsin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper 46851, University Library of Munich, Germany.
  14. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December.
  15. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.

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