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Modeling Cyclical Asymmetries in GDP: International Evidence

José Cancelo and Estefanía Mourelle

Atlantic Economic Journal, 2005, vol. 33, issue 3, 297-309

Abstract: This paper models asymmetric behavior in GDP growth in the USA, Germany, France, and Japan. It develops smooth transition autoregressive models and interprets nonlinear dynamics in terms of cyclical asymmetries. A procedure for defining data-based, qualitative cyclical regimes from the estimated models is proposed, and generalized impulse response functions are computed to assess to what extent the response to a shock changes over different phases of the cycle. Copyright International Atlantic Economic Society 2005

Keywords: E32; C22; E37 (search for similar items in EconPapers)
Date: 2005
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