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Asymmetric Business Cycle Fluctuations and Contagion Effects in G7 Countries

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Listed author(s):
  • Khurshid M. Kiani

    (Department of Finance, Bang College of Business, Republic of Kazakhstan)

Abstract

This research studies possible existence of business cycle asymmetries in Canada, France, Germany, Italy, Japan, UK, and US real GDP growth rates. Asymmetries in these countries are modeled using in-sample as well as jackknife out-of-sample forecasts approximated from artificial neural networks. Univariate results show statistically significant evidence of asymmetries in business cycle fluctuations in all the series; this is corroborated with bivariate analysis, which also finds evidence of contagion effects in these countries.

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Article provided by College of Business and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

Volume (Year): 6 (2007)
Issue (Month): 3 (December)
Pages: 237-253

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Handle: RePEc:ijb:journl:v:6:y:2007:i:3:p:237-253
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Keywords: asymmetries; business cycles; neural networks; nonlinearities; vector autoregressions;

Find related papers by JEL classification:

  • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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  1. Prasad V. Bidarkota, 2000. "Asymmetries in the Conditional Mean Dynamics of Real GNP: Robust Evidence," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 153-157, February.
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Cited by:

  1. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  2. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Springer;Society for Computational Economics, vol. 37(2), pages 193-220, February.

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