Asymmetric persistence in GDP? A deeper look at depth
If economic time series behave asymmetrically, then an interpretation of economic fluctuations based on linear time series models could be misleading. Beaudry and Koop (1993) recently argued that for post war U.S. GDP data there exists a statistically significant difference in persistence between negative and positive shocks. Their finding, if true, would be quite interesting since it would bring a new perspective to the literature on business cycle, which has been dominated by two conflicting views: the trend-reverting view of Blanchard (1981) and the permanent view of Campbell and Mankiw (1987). The purpose of this paper is to reexamine the evidence of asymmetric persistence of GDP by analyzing the statistical properties of BK's test. In particular, we show there are two pitfalls for this test: First, the t-statistic for testing asymmetry in persistence does not have a conventional interpretation. Second, a highly significant t-value may come from sources different from asymmetry. Using international data, we also explore the robustness of the BK result across the G-7 countries and find that the evidence is quite varied. Moreover, there appears to be no simple explanation for why countries display similar types of asymmetric behavior.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (816) 881-2254
Web page: http://www.kansascityfed.org/
More information through EDIRC
|Order Information:|| Email: |
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.:
- Sergio T. Rebelo, 1990.
"Long Run Policy Analysis and Long Run Growth,"
NBER Working Papers
3325, National Bureau of Economic Research, Inc.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Peter C.B. Phillips & Joon Y. Park, 1986.
"Statistical Inference in Regressions with Integrated Processes: Part 1,"
Cowles Foundation Discussion Papers
811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
- Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
- West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
- John Y. Campbell & N. Gregory Mankiw, 1986.
"Are Output Fluctuations Transitory?,"
NBER Working Papers
1916, National Bureau of Economic Research, Inc.
- Sichel, D.E., 1988.
"Business Cycle Asymmetry: A Deeper Look,"
85, Princeton, Department of Economics - Financial Research Center.
- Daniel E. Sichel, 1992.
"Inventories and the three phases of the business cycle,"
Working Paper Series / Economic Activity Section
128, Board of Governors of the Federal Reserve System (U.S.).
- Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-77, July.
- Hess, Gregory D & Iwata, Shigeru, 1997. "Measuring and Comparing Business-Cycle Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 432-44, October.
- Adrian Pagan, 1997. "Towards an Understanding of Some Business Cycle Characteristics," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 30(1), pages 1-15.
- 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.
- Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
- J. Bradford De Long & Lawrence H. Summers, 1984. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
- Goodwin, Thomas H & Sweeney, Richard J, 1993. "International Evidence on Friedman's Theory of the Business Cycle," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 178-93, April.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
When requesting a correction, please mention this item's handle: RePEc:fip:fedkrw:97-02. 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: (Lu Dayrit)
If references are entirely missing, you can add them using this form.