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Nonlinearities in international business cycles

  • Diego Valderrama

This paper documents the dynamic properties of national output, its components, and the current account for five OECD countries. There is strong evidence of conditional volatility for almost all time series as well as significant deviations from normality. The deviations are detected particularly in GDP, net exports, investment time series.

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File URL: http://www.frbsf.org/economic-research/files/wp02-23bk.pdf
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Paper provided by Federal Reserve Bank of San Francisco in its series Working Paper Series with number 2002-23.

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Date of creation: 2002
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Handle: RePEc:fip:fedfwp:2002-23
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  1. Diego Valderrama, 2002. "The impact of financial frictions on a small open economy: when current account borrowing hits a limit," Working Paper Series 2002-15, Federal Reserve Bank of San Francisco.
  2. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  3. Gregory D. Hess & Shigeru Iwata, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Research Working Paper 97-02, Federal Reserve Bank of Kansas City.
  4. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Paper Series 2002-13, Federal Reserve Bank of San Francisco.
  5. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
  6. David K. Backus & Patrick J. Kehoe, 1991. "International evidence on the historical properties of business cycles," Staff Report 145, Federal Reserve Bank of Minneapolis.
  7. W.A. Razzak, 2001. "Business Cycle Asymmetries: International Evidence," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 230-243, January.
  8. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
  9. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics.
  10. Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series 2001-46, Board of Governors of the Federal Reserve System (U.S.).
  11. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
  12. David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1987. "International real business cycles," Working Papers 426, Federal Reserve Bank of Minneapolis.
  13. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July.
  14. Altug, Sumru & Ashley, Richard A. & Patterson, Douglas M., 1999. "Are Technology Shocks Nonlinear?," Macroeconomic Dynamics, Cambridge University Press, vol. 3(04), pages 506-533, December.
  15. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August.
  16. 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 357-84, March.
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