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Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia

Ólan Henry (), Nilss Olekalns () and Kalvinder Shields

No 857, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper investigates comovements between the United States and Australia. Our nonlinear model allows the dynamic response to shocks to differ if countries are in recession. Generalised Impulse Response Functions highlight a significant asymmetric response to positive and negative shocks.

Keywords: Current Depth of Recession Models; Generalised Impulse Response Functions; Asymmetries (search for similar items in EconPapers)
JEL-codes: E0 N1 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2002
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