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Asymmetries in Business Cycles and the Role of Oil Prices

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  • Daniel, Betty
  • Hafner, Christian
  • Manner, Hans
  • Simar, Leopold

Abstract

We estimate asymmetries in innovations to Solow residuals for 11 Organization for Economic Co-operation and Development (OECD) countries using stochastic frontier analysis. Likelihood ratio statistics and variance ratios imply that all countries with net energy imports have significant negative asymmetries, whereas other countries do not. We construct a simple theoretical model in which the measured Solow residual combines effects from technology, factor utilization, and the terms of trade. For oil importers, the model implies an asymmetric response of measured total factor productivity to oil price increases and decreases. When we condition Solow residuals separately on positive and negative oil price changes to allow asymmetric responses, evidence for remaining negative asymmetric innovations to the Solow residuals vanishes for all countries except Switzerland. Switzerland's relatively dominant financial sector suggests that their asymmetries could be due to a financial crisis, a hypothesis that we test and fail to reject.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold, 2019. "Asymmetries in Business Cycles and the Role of Oil Prices," LIDAM Reprints ISBA 2019015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019015
    Note: In : Macroeconomic Dynamics, vol. 23, p. 1622-1648 (2019)
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    Cited by:

    1. Rouven E. Haschka, 2024. "Endogeneity in stochastic frontier models with 'wrong' skewness: copula approach without external instruments," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(3), pages 807-826, July.
    2. Rouven E. Haschka, 2024. "“Wrong” skewness and endogenous regressors in stochastic frontier models: an instrument-free copula approach with an application to estimate firm efficiency in Vietnam," Journal of Productivity Analysis, Springer, vol. 62(1), pages 71-90, August.

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