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Examining The Asymmetric Behaviour Of Macroeconomic Aggregates In Asian Economies

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  • Paresh Kumar Narayan
  • Seema Narayan

Abstract

. The goal of this paper is to test for asymmetric behaviour of macroeconomic aggregates for three Asian economies; namely, Malaysia, Hong Kong and Korea. Whether macroeconomic aggregates can be characterised as asymmetric has important implications for policy‐making and econometric modelling including forecasting. We examine two forms of asymmetries; specifically deepness, which arises when a detrended time series contains an asymmetric distribution, and steepness, which arises when the first difference of a series contains an asymmetric distribution. Overall, our findings suggest that for all three countries, the bulk of the series display asymmetry behaviour.

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  • Paresh Kumar Narayan & Seema Narayan, 2008. "Examining The Asymmetric Behaviour Of Macroeconomic Aggregates In Asian Economies," Pacific Economic Review, Wiley Blackwell, vol. 13(5), pages 567-574, December.
    • Handle: RePEc:bla:pacecr:v:13:y:2008:i:5:p:567-574
    DOI: 10.1111/j.1468-0106.2008.00426.x
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    References listed on IDEAS

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    1. Paresh Kumar Narayan, 2005. "Are the Australian and New Zealand stock prices nonlinear with a unit root?," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2161-2166.
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    7. Proietti Tommaso, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-18, October.
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    4. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.

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