A cross-country investigation of macroeconomic asymmetries

Randal Verbrugge

Macroeconomics from University Library of Munich, Germany

Abstract: Using a recently introduced nonparametric test, I investigate two important and distinct asymmetries in cross-country quarterly macroeconomic time series. Asymmetries are suggested by many theories (old and new), and those discovered aid in the selection of the appropriate nonlinear time series representation (useful, for example, in both forecasting and policy guidance). Further, asymmetries can help determine underlying economic mechanisms. The key findings: positive growth rate asymmetry is nearly ubiquitous in price level data (but is not caused by money growth asymmetry); and the pattern of asymmetries varies dramatically across countries (making widespread reliance on US data to study fluctuations worrisome).

Keywords: triples test; nonlinear time series; inflation; business cycles (search for similar items in EconPapers)
JEL-codes: C14 C22 E31 E32 E37 E44 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1998-09-30, Revised 1998-09-30
New Economics Papers: this item is included in nep-ets
Note: Type of Document - pdf; prepared on IBM PC; pages: 20; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/9809/9809017.pdf (application/pdf)

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:wpa:wuwpma:9809017

Access Statistics for this paper

More papers in Macroeconomics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).