A Time Series Analysis of Corporate Profit Rates in Selected Developed Economies: Asymmetries, Non-linearity and Mean Reversion

Ivan D. Trofimov ()
Additional contact information
Ivan D. Trofimov: Victoria University of Wellington

Journal of Quantitative Economics, 2024, vol. 22, issue 2, No 4, 303-338

Abstract: Abstract This study examines the dynamic behaviour of corporate profits in selected developed economies using the quarterly data. Firstly, the non-linear and asymmetric behaviour is considered: the presence of general form of nonlinearity (based on linear autoregressive model, third order moments and Brock–Dechert–Scheinkman test), of steepness and deepness asymmetry (using the ‘triples test’), and of the cycle-specific asymmetry (using asymmetry in mean and variance models with cycle dummies). Secondly, we examined the possibility of mean-reversion in the series, using a battery of recently developed unit root tests that account for the presence of structural breaks and nonlinearities. The findings indicate mean reversion and trend-stationarity of the profits for most of the economies, thus suggesting impossibility of sustained growth in profits in times of sluggish economic growth and productivity slowdown. The profits were also found to contain non-Gaussian characteristics, to exhibit asymmetric fluctuation in mean (but not variance), and to demonstrate deepness asymmetry.

Keywords: Profit; Asymmetry; Nonlinearity; Business cycle; Unit root (search for similar items in EconPapers)
JEL-codes: C22 D33 E25 E32 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s40953-024-00392-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jqecon:v:22:y:2024:i:2:d:10.1007_s40953-024-00392-z

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40953

DOI: 10.1007/s40953-024-00392-z

Access Statistics for this article

Journal of Quantitative Economics is currently edited by Dilip Nachane and P.G. Babu

More articles in Journal of Quantitative Economics from Springer, The Indian Econometric Society (TIES) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().