Modeling Cyclical Asymmetries in GDP: International Evidence
José Cancelo and
Atlantic Economic Journal, 2005, vol. 33, issue 3, 297-309
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)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:atlecj:v:33:y:2005:i:3:p:297-309
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