Employment and business cycle asymmetries: a data based study
Does the magnitude of a trough in employment differ from the magnitude of a peak in employment, and is the time employment spends in rising from a trough to a peak longer than the time spends in falling from a peak to a trough? In this paper we measure the “asymmetry of magnitudes” and the “asymmetry of durations” of seven US postwar employment series. The series are detrended using the Hodrick-Prescott filter prior to the analysis. Appropriate measurements of the two types of asymmetry are the skewness of the detrended series and the skewness of the first differenced detrended series, respectively. Monte Carlo and bootstrapping procedures are used to evaluate the significance levels. Five out of seven series show negative skewnesses in levels as well as in first differences. The skewnesses of “magnitudes” and “durations” of US aggregate employment are significant, and yield –0.50 and –0.60 respectively. ; In the second part of the paper a nonlinear AR model is derived from the theory of Hermitian type polynomials that have the potential to realize stochastic asymmetric self-sustained oscillations. In contrast with the standard linear AR model, the nonlinear AR model, fitted to the employment series, accurately generates the two types of asymmetry.
|Date of creation:||1991|
|Date of revision:|
|Contact details of provider:|| Postal: 90 Hennepin Avenue, P.O. Box 291, Minneapolis, MN 55480-0291|
Phone: (612) 204-5000
Web page: http://minneapolisfed.org/
More information through EDIRC
|Order Information:|| Web: http://www.minneapolisfed.org/pubs/ 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.:
- Prescott, Edward C., 1986.
"Theory ahead of business-cycle measurement,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 25(1), pages 11-44, January.
- Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-61, December.
- Sichel, D.E., 1988.
"Business Cycle Asymmetry: A Deeper Look,"
85, Princeton, Department of Economics - Financial Research Center.
- 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 11097, Iowa State University, Department of Economics.
- J. Bradford De Long & Lawrence H. Summers, 1984. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
- 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.
- Sargent, Thomas J, 1978.
"Estimation of Dynamic Labor Demand Schedules under Rational Expectations,"
Journal of Political Economy,
University of Chicago Press, vol. 86(6), pages 1009-44, December.
- Thomas J. Sargent, 1978. "Estimation of dynamic labor demand schedules under rational expectations," Staff Report 27, Federal Reserve Bank of Minneapolis.
- Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
- 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.
- Pfann, Gerald A. & Verspagen, Bart, 1989. "The structure of adjustment costs for labour in the Dutch manufacturing sector," Economics Letters, Elsevier, vol. 29(4), pages 365-371.
When requesting a correction, please mention this item's handle: RePEc:fip:fedmem:39. 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: (Janelle Ruswick)
If references are entirely missing, you can add them using this form.