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Nonlinearities in international business cycles

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  • Diego Valderrama

Abstract

This paper documents the dynamic properties of national output, its components, and the current account for five OECD countries. There is strong evidence of conditional volatility for almost all time series as well as significant deviations from normality. The deviations are detected particularly in GDP, net exports, investment time series.

Suggested Citation

  • Diego Valderrama, 2002. "Nonlinearities in international business cycles," Working Paper Series 2002-23, Federal Reserve Bank of San Francisco.
    • Handle: RePEc:fip:fedfwp:2002-23
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    Keywords

    Business cycles; Econometric models;

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