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Nonlinearities in Swiss macroeconomic data

  • Annette Detken
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    Up until lately, studies on asymmetric business cycles focused on U.S. data and were mainly based on univariate analysis. This paper extends the literature beyond U.S. data in studying Swiss macroeconomic data for which almost no empirical research is available so far. Secondly, this paper applies specific tests to differently detrended data, thus studying the robustness of the results taking the frequency characteristics of the data into account. Thirdly, multivariate tests will be restricted in order to pin down the underlying source of nonlinearity and its transmission channel, focussing mainly on possible nonlinear effects of money supply.

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    File URL: http://www.sjes.ch/papers/2002-I-3.pdf
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    Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

    Volume (Year): 138 (2002)
    Issue (Month): I (March)
    Pages: 39-60

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    Handle: RePEc:ses:arsjes:2002-i-3
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    1. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
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    8. Ball, L. & Mankiw, N.G., 1992. "Asymmetric Price Adjustment and Economic Fluctuations," Harvard Institute of Economic Research Working Papers 1602, Harvard - Institute of Economic Research.
    9. Jean-Pierre DANTHINE & Salih N. NEFTCI, 1990. "Business Cycles as nonlinear Phenomena : Characterizing Swiss and German Cycles 1965-1988," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9010, Université de Lausanne, Faculté des HEC, DEEP.
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    11. Jaffee, Dwight & Stiglitz, Joseph, 1990. "Credit rationing," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 16, pages 837-888 Elsevier.
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    14. Carlos Lenz, 1997. "Asymmetric Effects of Monetary Policy in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(III), pages 441-454, September.
    15. Tobin, James, 1972. "Inflation and Unemployment," American Economic Review, American Economic Association, vol. 62(1), pages 1-18, March.
    16. Karras, Georgios, 1996. "Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or "pushing on a string"?," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 605-619.
    17. Ricardo J. Caballero & Eduardo M.R.A. Engel, 1992. "Price Rigidities, Asymmetries, and Output Fluctuations," NBER Working Papers 4091, National Bureau of Economic Research, Inc.
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