On the Detection of Business Cycles Asymmetry in 22 Countries, 1870-1994
Business cycle asymmetry is examined using annual observations on GDP for 22 economies over the period 1870 to 1994. The present paper extends recent research in a number of ways. First, a non-parametric testing procedure is adopted which is robust to outliers. Second, alternative methods of filtering are considered as methods of deriving the underlying cyclical component of GDP for each of the economies examined. Finally, split samples are analyzed in addition to the long-run sample. In comparison to previous research, more widespread evidence of business cycle asymmetry is detected. Interestingly, it is found that analysis of the whole sample masks variation in the properties of the GDP for the alternative economies in the pre- and post-World War II periods. More precisely, it is found that although little evidence of asymmetry is present in the period to 1945, extensive asymmetry is present after 1945.
Volume (Year): 4 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm|
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
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.:
- Sichel, D.E., 1988.
"Business Cycle Asymmetry: A Deeper Look,"
85, Princeton, Department of Economics - Financial Research Center.
- 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.
- Zacharias Psaradakis & Martin Sola, 2003.
"On detrending and cyclical asymmetry,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
- Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
- Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
- Ramsey, J.B. & Rothman, P., 1993.
"Time Irreversibility and Business Cycle Asymmetry,"
93-39, C.V. Starr Center for Applied Economics, New York University.
- Cooley, Thomas F. & Ohanian, Lee E., 1991.
"The cyclical behavior of prices,"
Journal of Monetary Economics,
Elsevier, vol. 28(1), pages 25-60, August.
- Rhee, Wooheon & Rich, Robert W., 1995. "Inflation and the asymmetric effects of money on output fluctuations," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 683-702.
- James Peery Cover, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, Oxford University Press, vol. 107(4), pages 1261-1282.
- Arden, Richard, et al, 2000. "The Asymmetric Effects of Monetary Policy: Some Results from a Macroeconometric Model," Manchester School, University of Manchester, vol. 68(4), pages 419-41, Special I.
When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_7. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.