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Asymmetry in the business cycle: Evidence from the Australian labour market

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  • Peat, Maurice
  • Stevenson, Max

Abstract

Cyclical asymmetry has been recognised as a nonlinear phenomenonin recent studies examining unemployment rate time series. In this paper we use a number of established and new tests for identifying nonlinearities of the bilinear (BL), exponential autoregressive (EXPAR), smooth transition autoregressive (STAR), and self-exciting threshold autoregressive (SETAR) types as they occur in time series of the seasonally differenced logarithm of monthly Australian aggregate and regional unemployment rates. After identifying nonlinearity of a particular form within a given time series, the appropriate model is fitted and representations from the model analysed for their cyclical behaviour.
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  • Peat, Maurice & Stevenson, Max, 1996. "Asymmetry in the business cycle: Evidence from the Australian labour market," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 353-368, September.
  • Handle: RePEc:eee:jeborg:v:30:y:1996:i:3:p:353-368
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    Cited by:

    1. D. Jones & Maurice Peat & Max Stevenson, 1996. "Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle," Working Paper Series 67, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, pages 1-22.
    3. Max Stevenson & Maurice Peat, 2000. "Forecasting Australian Unemployment Rates," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, pages 41-55.
    4. Nilss Olekalns, 2001. "Cyclical asymmetries in Australian macroeconomic data," Applied Economics Letters, Taylor & Francis Journals, pages 145-148.
    5. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.

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