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Business Cycle Asymmetries: International Evidence

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Author Info
W.A. Razzak (Reserve Bank of New Zealand)

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Abstract

This paper uses the Triples test of Randles et al (1980) to detect asymmetries in US as well as international GDP fluctuations. The test does not detect any asymmetry in the distribution of the US GDP, which is consistent with previous empirical findings. However, significant asymmetries are found in international data. Detection of asymmetries is a first step towards model-selection process such that stylized facts can be replicated. (Copyright: Elsevier)

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File URL: http://dx.doi.org/10.1006/redy.2000.0109
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Publisher Info
Article provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.

Volume (Year): 4 (2001)
Issue (Month): 1 (January)
Pages: 230-243
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Handle: RePEc:red:issued:v:4:y:2001:i:1:p:230-243

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Related research
Keywords: multicountry models; asymmetry; steepness; deepness;

Other versions of this item:

Find related papers by JEL classification:
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

References listed on IDEAS
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.:

  1. 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. [Downloadable!] (restricted)
    Other versions:
  2. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
    Other versions:
  3. Jeong-Ryeol Kim & Stefan Mittnik & Svetlozar Rachev, 1996. "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3), pages 131-143. [Downloadable!] (restricted)
  4. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February. [Downloadable!] (restricted)
    Other versions:
  5. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand. [Downloadable!]
  6. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    Other versions:
  7. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Michael Graff, 2005. "Internationale Konjunkturverbunde," Working papers 05-108, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    Other versions:
  2. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  3. Knüppel, Malte, 2004. "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies 2004,41, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Papers in Applied Economic Theory 2002-13, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  5. Cook, S., 2004. "On the Detection of Business Cycles Asymmetry in 22 Countries, 1870-1994," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1). [Downloadable!]
  6. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289. [Downloadable!]
    Other versions:
  7. Lamey, L. & Deleersnyder, B. & Dekimpe, M.G. & Steenkamp, J.B.E.M., 2005. "The Impact of Business-Cycle Fluctuations on Private-Label Share," Research Paper ERS-2005-061-MKT Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  8. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998. [Downloadable!]
  9. Toshiya Ishikawa, 2004. "Technology Diffusion and Business Cycle Asymmetry," DEGIT Conference Papers c009_016, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
  10. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria. [Downloadable!]
  11. Yoke-Kee Eng & Chin-Yoong Wong, 2008. "A short note on business cycles of underground output: are they asymmetric?," Economics Bulletin, Economics Bulletin, vol. 3(58), pages 1-10. [Downloadable!]
  12. Diego Valderrama, 2002. "Nonlinearities in international business cycles," Working Papers in Applied Economic Theory 2002-23, Federal Reserve Bank of San Francisco. [Downloadable!]
  13. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics. [Downloadable!]
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