On the Dynamic Properties of Asymmetric Models of Real GNP

Allan David Brunner

41 citations0/0 files storedThe Review of Economics and Statistics

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Monetary Policy and Economic Impact Economic Theory and Policy Unemployment and Economic Growth

Abstract

There is now a substantial body of evidence that suggests business cycles are asymmetric. However, the evidence has been accumulated using a wide array of statistical techniques and, consequently, is based on various definitions of asymmetry. This paper examines several parametric models that have been used to study asymmetries in real GNP. Although these models capture asymmetries in very different ways, their dynamic properties are remarkably similar.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1984Are Economic Time Series Asymmetric over the Business Cycle?1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK

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