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Another Look at Swedish Business Cycles, 1861-1988

  • J. SKALIN
  • T. TERÄSVIRTA

This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The observed nonlinearity is characterized by STAR models. The statistical and dynamic properties of the estimated STAR models are investigated using, among other things, parametrically estimated ‘local’ or ‘sliced’ spectra. Cyclical variation at business cycle frequencies does not seem to be constant over time for all series, and it is difficult to find a ‘Swedish business cycle’. Only two series may be regarded as having genuinely assymetric cyclical variation. Standard Granger non-causality tests are adapted to the nonlinear (STAR) case, and the null hypothesis of noncausality is tested for pairs of series. The results point at strong temporal interactions between series. They also indicate that the assumption of functional form (linear or STAR) strongly affects the outcome of these pairwise tests.

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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1996,96.

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Date of creation: 1996
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Handle: RePEc:zbw:sfb373:199696
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  1. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
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  16. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
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