EXAMINING THE ASYMMETRIC BEHAVIOUR OF MACROECONOMIC AGGREGATES IN ASIAN ECONOMIES

Paresh Narayan () and Seema Narayan ()

Pacific Economic Review, 2008, vol. 13, issue 5, 567-574

Abstract: 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.

Date: 2008
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