• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of applied statistics >International Business Cycle Asymmetry and Time Irreversible Nonlinearities
【24h】

International Business Cycle Asymmetry and Time Irreversible Nonlinearities

机译：国际商业周期的不对称性和时间不可逆的非线性

获取原文
获取原文并翻译 | 示例
       
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Using tests of time reversibility, this paper provides further statistical evidence on the long-standing conjecture in economics concerning the potentially asymmetric behaviour of output over the expansionary and contractionary phases of the business cycle. A particular advantage of this approach is that it provides a discriminating test that is instructive as to whether any asymmetries detected are due to asymmetric shocks to a linear model, or an underlying nonlinear model with symmetric shocks, and in the latter case is informative as to the potential form of that nonlinear model. Using a long span of international per capita output growth data, the asymmetry detected is overwhelmingly consistent with the long standing perception that the output business cycle is characterized by steeper recessions and longer more gentle expansions, but the evidence for this form of business cycle asymmetry is weaker in the data adjusted for the influence of outliers associated with wars and other extreme events. Statistically significant time irreversibility is reported for the output growth rates of almost all of the countries considered in the full sample data, and there is evidence that this time irreversibility is of a form implying an underlying nonlinear model with symmetrically distributed innovations for 15 of the 22 countries considered. However, the time irreversibility test results for the outlier-trimmed full sample data reveal significant time irreversibility in output growth for around one half of the countries considered, predominantly in Northern Europe and North America, and of a form implying a nonlinear underlying model in only a further half of those cases.
机译：通过使用时间可逆性检验，本文提供了关于经济学长期存在的猜想的统计证据，该猜想涉及在经济周期的扩张和收缩阶段产出潜在的不对称行为。这种方法的一个特殊优势是，它提供了一种区分性测试，该测试对于检测到的任何不对称性是由于线性模型的非对称冲击还是具有对称冲击的基础非线性模型而具有指导意义，在后一种情况下，对于该非线性模型的潜在形式。使用大量的国际人均产出增长数据，发现的不对称性与长期以来一直认为产出经济周期的特征在于衰退加剧和持续的扩张较为温和的长期观念完全一致，但是这种经济周期不对称形式的证据是在因与战争和其他极端事件有关的异常值影响而调整的数据中较弱。在完整的样本数据中，几乎所有国家/地区的产出增长率都报告了具有统计意义的时间不可逆性，并且有证据表明，这种时间不可逆性的形式暗示着22个中的15个具有对称分布创新的潜在非线性模型考虑的国家。但是，异常值修剪的完整样本数据的时间不可逆性测试结果显示，在所考虑的大约一半国家（主要在北欧和北美）中，产出增长具有显着的时间不可逆性，其形式仅暗示了非线性基础模型。这些案件的另一半。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号