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.:
- 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 419-441, Special I.
- 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.
- Morten Ravn, "undated". "GAUSS program for Hodrick-Prescott filter," QM&RBC Codes 101, Quantitative Macroeconomics & Real Business Cycles.
- Edward C. Prescott, 1982. "FORTRAN code for the Hodrick-Prescott filter," QM&RBC Codes 3, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2006. "HP-Filter DLL executable," QM&RBC Codes 167, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "Matlab functions for HP-filter," QM&RBC Codes 166, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter (web interface)," QM&RBC Codes 97, Quantitative Macroeconomics & Real Business Cycles.
- Ken Matheny & Simon van Norden & Robert Vigfusson, 1989. "GAUSS code for the Hodrick-Prescott filter," QM&RBC Codes 2, Quantitative Macroeconomics & Real Business Cycles, revised Apr 1995.
- Ivailo Izvorski, "undated". "MATLAB code for the Hodrick-Prescott filter," QM&RBC Codes 1, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "HP-filter for Java," QM&RBC Codes 168, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2006. "HP-Filter Excel Add-In," QM&RBC Codes 165, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter code (Perl)," QM&RBC Codes 98, Quantitative Macroeconomics & Real Business Cycles.
- Morten Ravn, "undated". "Alternate GAUSS program for the Hodrick-Prescott Filter," QM&RBC Codes 102, Quantitative Macroeconomics & Real Business Cycles.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- 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.
- Tom Doan, "undated". "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
- Ramsey, J.B. & Rothman, P., 1993.
"Time Irreversibility and Business Cycle Asymmetry,"
93-39, C.V. Starr Center for Applied Economics, New York University.
- Sichel, Daniel E, 1993.
"Business Cycle Asymmetry: A Deeper Look,"
Western Economic Association International, vol. 31(2), pages 224-236, April.
- Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
- Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers 85, Princeton, Department of Economics - Financial Research Center.
- 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 231-247, July-Sept.
- Zacharias Psaradakis & Martin Sola, 2003.
"On detrending and cyclical asymmetry,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
- 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.
- Cooley, T.F. & Ohanian, L.E., 1989.
"The Cyclical Behavior Of Prices,"
RCER Working Papers
188, University of Rochester - Center for Economic Research (RCER).
- 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.
- 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.
- 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.
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.