A Note on Business Cycle Non-Linearity in U. S. Consumption

Steven Cook ()
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Steven Cook: University of Wales Swansea, http://www.swan.ac.uk/economics/staff/sc.htm

Journal of Applied Economics, 2003, vol. 6, 247-253

Abstract: The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An : application of these tests to disaggregated data on U.S. consumersÂ’ expenditure provides : further support for this hypothesis, with the findings given an economic interpretation in : terms of variables evolving at differing speeds over different phases of the business cycle. : Additionally, building upon the studies of Cover (1992), Karras (1996) and Rhee and Rich : (1995), recent research by Arden et al. (2000) has shown the relaxation of the assumptions : of linearity and symmetry typically employed in macroeconometric models to result in : monetary policy having clear asymmetric effects on the economy. In particular it was shown : that expansionary monetary policy as given by a reduction in the interest rate, has greater : effects than contractionary policy (an increase in the interest rate), and that this becomes : more apparent when the economy is in recovery rather than recession. The finding of nonlinearity : in U.S. consumption therefore has major implications for econometric modelling : and policy analysis. :

Keywords: time deformation; asymmetry; non-linearity; consumersÂ’ expenditure : (search for similar items in EconPapers)
JEL-codes: C12 E32 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cem:jaecon:v:6:y:2003:n:2:p:247-253

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