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Nonlinearities in Swiss macroeconomic data

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  • Annette Detken

Abstract

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.

Suggested Citation

  • Annette Detken, 2002. "Nonlinearities in Swiss macroeconomic data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 39-60, March.
  • Handle: RePEc:ses:arsjes:2002-i-3
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    References listed on IDEAS

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    Cited by:

    1. Alexandra Ferreira-Lopes & Tiago Neves Sequeira, 2012. "Business Cycles Association in a Small Monetary Union: The Case of Switzerland," Spatial Economic Analysis, Taylor & Francis Journals, vol. 7(1), pages 9-30, March.

    More about this item

    Keywords

    Asymmetry; linearity tests STAR model;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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