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Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia

Author

Listed:
  • Olan T. Henry
  • Nilss Olekalns
  • Kalvinder Shields

Abstract

This paper investigates comovements between the United States and Australia. Our nonlinear model allows the dynamic response to shocks to differ if countries are in recession. Generalised Impulse Response Functions highlight a significant asymmetric response to positive and negative shocks.

Suggested Citation

  • Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2002. "Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia," Department of Economics - Working Papers Series 857, The University of Melbourne.
  • Handle: RePEc:mlb:wpaper:857
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    File URL: http://www.economics.unimelb.edu.au/downloads/wpapers-02/857.pdf
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    References listed on IDEAS

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    1. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.
    2. Ambler, Steve & Cardia, Emanuela & Zimmermann, Christian, 2004. "International business cycles: What are the facts?," Journal of Monetary Economics, Elsevier, vol. 51(2), pages 257-276, March.
    3. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 117-143.
    4. Henry, Olan T & Summers, Peter M, 2000. "Australian Economic Growth: Nonlinearities and International Influences," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 365-373, December.
    5. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
    6. Ólan T. Henry & Nilss Olekalns, 2002. "The Effect of Recessions on the Relationship between Output Variability and Growth," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 683-692, January.
    7. Gregory, Allan W & Head, Allen C & Raynauld, Jacques, 1997. "Measuring World Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 677-701, August.
    8. Lee, Kevin C. & Pesaran, M. Hashem, 1993. "Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth," Ricerche Economiche, Elsevier, vol. 47(3), pages 293-322, September.
    9. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
    10. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
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    Cited by:

    1. Sriboonchitta, Songsak & Chaitip, Prasert & Balogh, Peter & Kovacs, Sandor & Chaiboonsri, Chukiat, 2011. "On Tests For Long Memory Process Behavior Of International Tourism Market: Thailand And India," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 5.

    More about this item

    Keywords

    Current Depth of Recession Models; Generalised Impulse Response Functions; Asymmetries;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations

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