International Business Cycle Asymmetry and Time Irreversible Nonlinearities
Using tests of time reversibility, this paper provides further statistical evidence on the long-standing conjecture in economics concerning the potentially asymmetric behaviour of output over the expansionary and contractionary phases of the business cycle. A particular advantage of this approach is that it provides a discriminating test that is instructive as to whether any asymmetries detected are due to asymmetric shocks to a linear model, or an underlying non-linear model with symmetric shocks, and in the latter case is informative as to the potential form of that nonlinear model. Using a long span of international per capita output growth data, the asymmetry detected is overwhelmingly consistent with the long standing perception that the output business cycle is characterized by steeper recessions and longer more gentle expansions, but the evidence for this form of business cycle asymmetry is weaker in the data adjusted for the influence of outliers associated with wars and other extreme events. Statistically significant time irreversibility is reported for the output growth rates of almost all of the countries considered in the full sample data, and there is evidence that this time irreversibility is of a form implying an underlying nonlinear model with symmetrically distributed innovations for 15 of the 22 countries considered. However, the time irreversibility test results for the outlier-trimmed full sample data reveal significant time irreversibility in output growth for around one half of the countries considered, predominantly in Northern Europe and North America, and of a form implying a nonlinear underlying model in only a further half of those cases.
Volume (Year): 33 (2006)
Issue (Month): 10 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/CJAS20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/CJAS20|
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.:
- Zacharias Psaradakis & Martin Sola, 2003.
"On detrending and cyclical asymmetry,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
- Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
- Belaire-Franch, Jorge & Contreras, Dulce, 2003. "Tests for time reversibility: a complementarity analysis," Economics Letters, Elsevier, vol. 81(2), pages 187-195, November.
- Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
- Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-751, May.
- Nelson, Charles R & Kang, Heejoon, 1979. "Spurious Periodicity in Inappropriately Detrended Time Series," The Warwick Economics Research Paper Series (TWERPS) 161, University of Warwick, Department of Economics.
- Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 72-88, March.
- Melvin J. Hinich & Philip Rothman, "undated". "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics.
- 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 119-136, Suppl. De.
- Charles I. Jones, 1995. "Time Series Tests of Endogenous Growth Models," The Quarterly Journal of Economics, Oxford University Press, vol. 110(2), pages 495-525.
- Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-236, April.
- Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers 85, Princeton, Department of Economics - Financial Research Center.
- 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.).
- Psaradakis Zacharias, 2000. "p-Value Adjustments for Multiple Tests for Nonlinearity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(3), pages 1-8, October.
- Kontolemis, Zenon G, 1997. "Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries," Economica, London School of Economics and Political Science, vol. 64(255), pages 441-460, August.
- Giles, David E A, 1997. "Testing for Asymmetry in the Measured and Underground Business Cycles in New Zealand," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 225-232, September.
- Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
- Wesley Clair Mitchell, 1927. "Business Cycles: The Problem and Its Setting," NBER Books, National Bureau of Economic Research, Inc, number mitc27-1.
- Rothman, Philip, 1991. "Further evidence on the asymmetric behavior of unemployment rates over the business cycle," Journal of Macroeconomics, Elsevier, vol. 13(2), pages 291-298.
- Rothman, Philip, 1988. "Further Evidence On The Asymmetric Behavior Of Unemployment Rates Over The Business Cycle," Working Papers 88-23, C.V. Starr Center for Applied Economics, New York University.
- Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
- Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers 93-39, C.V. Starr Center for Applied Economics, New York University.
- 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.
- 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.
- McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June.
- Sichel, Daniel E, 1989. "Are Business Cycles Asymmetric? A Correction," Journal of Political Economy, University of Chicago Press, vol. 97(5), pages 1255-1260, October.
- Maria Simona Andreano & Giovanni Savio, 2002. "Further evidence on business cycle asymmetries in G7 countries," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 895-904.
- Bernard, Andrew B & Durlauf, Steven N, 1995. "Convergence in International Output," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 97-108, April-Jun.
- Bernard, A.B. & Durlauf, S.N., 1993. "Convergence in International Output," Working papers 93-7, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- Falk, Barry, 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1096-1109, October.
- Falk, Barry L., 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Staff General Research Papers Archive 11097, Iowa State University, Department of Economics.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Ben-David, D. & Papell, D.H., 1995. "The Great War, The Great Crash and Steady State Growth: Some New Evidence an Old Stylized Fact," Papers 36-95, Tel Aviv - the Sackler Institute of Economic Studies.
- Kurt Brännäs & Henry Ohlsson, 1999. "Asymmetric Time Series and Temporal Aggregation," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 341-344, May.
- Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
- Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Jorge Belaire-Franch & Dulce Contreras, 2002. "Higher-order residual analysis for AR-ARCH models with the TR test," Applied Economics Letters, Taylor & Francis Journals, vol. 9(11), pages 749-752.
- Mills, Terence C & Crafts, N F R, 2000. "After the Golden Age: A Long-Run Perspective on Growth Rates That Speeded Up, Slowed Down and Still Differ," Manchester School, University of Manchester, vol. 68(1), pages 68-91, January.
- Westlund, Anders H & Ohlen, Sven, 1991. "On Testing for Symmetry in Business Cycles," Empirical Economics, Springer, vol. 16(4), pages 479-502.
- Wesley Clair Mitchell, 1927. "Introductory pages to "Business Cycles: The Problem and Its Setting"," NBER Chapters,in: Business Cycles: The Problem and Its Setting, pages -23 National Bureau of Economic Research, Inc. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:33:y:2006:i:10:p:1051-1065. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.