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Asymmetric cycles in unobserved components models

Author

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  • Jesus Crespo Cuaresma

    (Department of Economics, University of Vienna)

Abstract

A class of structural time series models with an asymmetric cyclical component is presented and used in order to test for asymmetry in economic time series. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past observations of the stochastic process being modelled. Due to the conditional Gaussianity of the model, Kalman filtering techniques can be used in the estimation of the parameters, and a standard test for equality of cyclical frequency can be used as a symmetry test. Applying the test to US economic time series reveals strong cyclical asymmetries in unemployment and industrial production, and no significant deviation from symmetry in GDP. The test is also applied to industrial production data in EU countries, with mixed results.

Suggested Citation

  • Jesus Crespo Cuaresma, 2003. "Asymmetric cycles in unobserved components models," Economics Bulletin, AccessEcon, vol. 5(3), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-02e30007
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    Cited by:

    1. Dmitrij Celov & Mariarosaria Comunale, 2022. "Business Cycles in the EU: A Comprehensive Comparison Across Methods," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 99-146, Emerald Group Publishing Limited.
    2. Sinclair Tara M, 2009. "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-31, December.
    3. Tara Sinclair, 2008. "Asymmetry in the Business Model: Revisiting the Friedman Plucking Model," Working Papers 2008-03, The George Washington University, Institute for International Economic Policy.

    More about this item

    Keywords

    asymmetry;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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