A assimetria dos ciclos económicos: Evidência internacional usando o teste triples

Almeida, Pedro Cameira de and Fuinhas, José Alberto and Marques, António Cardoso (2011): A assimetria dos ciclos económicos: Evidência internacional usando o teste triples.

Abstract

Resumo: São testadas duas formas distintas de assimetria cíclica, a deepness e a steepness, através da aplicação do teste do coeficiente de enviesamento e do teste triples. A assimetria é analisada em vinte e três países, segundo uma perspectiva secular do PIB real per capita (1820/70 a 2008). Os resultados dos testes sugerem que a deepness não é relevante a nível internacional. Para a steepness, os testes revelam resultados contraditórios, sendo que o coeficiente de enviesamento evidencia a presença de assimetria em onze dos vinte e três países e o teste triples em seis países. A aplicação do teste do coeficiente de enviesamento e do teste triples permite cotejar os resultados obtidos e aferir da robustez dos resultados. Ao contrário do sugerido na literatura, baseada em dados trimestrais, a nossa investigação não é conclusiva acerca da presença, ao nível internacional, de assimetria nos ciclos económicos.

Abstract: We test, using the coefficient of skewness and the triples test, two types of cyclical asymmetry – the deepness and the steepness. The asymmetry, for twenty-three countries, is examined, from over a century data of real GDP per capita (1820/70 to 2008). There is no international evidence of deepness. For the steepness, the tests show mixed results. Indeed, the coefficient of skewness reveal presence of asymmetry for eleven countries, and the triples test for six ones. The assessment of these two tests allows us to judge the results and the robustness of the analyses. On contrary of the most of literature, based on quarterly data, our research is mixed about international evidence of business cycle asymmetries.

• Item Type: MPRA Paper
• English Title: The asymmetry of business cycles: International evidence using triples test
• Language: Portuguese
• Keywords: Palavras-chave Assimetria, Steepness, Deepness, Ciclos Económicos e PIB real per capita. Keywords Asymmetry, Steepness, Deepness, Business Cycles, and PNB real per capita
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General

References

Acemoglu, D. e Scott, A., 1997. Asymmetric business cycles: Theory and time-series evidence. Elsevier, Journal of Monetary Economics 40, 501-533.

Angus Maddison. Historical Statistics of the World Economy database, versão 02/2010, disponível no sítio www.ggdc.net, acedido em 02/12/2010.

Arango, L. e Melo, L., 2006. Expansions and contractions in Brazil, Colombia and Mexico: A view through nonlinear models. Elsevier, Journal of Development Economics 80, 501-517.

Backus, D. e Kehoe, P., 1992. International evidence of the historical properties of business cycles. American Economic Review 82, 864-888.

Baxter, M. e King, R., 1999. Measuring business cycles: Approximate band-pass filters for macroeconomic time series. Review of Economics and Statistics 81, 575-593.

Belaire-Franch, J. e Contreras, D., 2003. An assessment of international business cycle asymmetries using Clements and Krolzig’s parametric approach. Studies in Nonlinear Dynamics & Econometrics 6, Berkeley Electronic Press, 6, re1.

Beveridge, S. e Nelson, C., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of ‘business cycle’. Journal of Monetary Economics 7, 151-174.

Bodman, P., 2001. Steepness and deepness in the Australian macroeconomy. Applied Economics 33, 375-382.

Boldin, M., 1999. Should policy makers worry about asymmetries in the business cycles? Studies in Nonlinear Dynamics & Econometrics 3, 203-220.

Cancelo, J. e Mourelle, E., 2005. Modeling cyclical asymmetries in GDP: international evidence. Atlantic Economic Journal 33, 297-309.

Canova, F., 1998. Detrending and business cycles facts. Journal of Monetary Economics 41, 475-512.

Chalkley, M. e Lee, I., 1998. Learning and asymmetric business cycles. Elsevier for the Society for Economic Dynamics, Review of Economic Dynamics 1, 623-645.

Christiano, L. e Fitzgerald, T., 1999. The band pass filter. Federal Reserve Bank of Cleveland, Working Paper 9906.

Clark, P., Laxton, D., Rose, D., 1995. Asymmetry in the U.S. output-inflation nexus: Issues and evidence. IMF Working Papers 95/76, International Monetary Fund.

Clements, M. e Krolzig, H., 2003. Business cycle asymmetries: Characterisation and testing based on Markov-Switching autoregressions. Journal of Business and Economic Statistics 21, 196-211.

Coccia, M., 2010. The asymmetric path of Economic Long Waves. Technological Forecasting & Social Change 77, 730-738.

DeLong, J. e Summers, L., 1986. Are business cycles symmetric? NBER Working Papers 1444, National Bureau of Economic Research, Inc.

Falk, B., 1986. Further evidence on the asymmetric behavior of economic time series over the business cycle. The University of Chicago Press, Journal of Political Economy 94, 1096-1109.

Gallegati, M., Gallegati, M., Polasek, W., 2004a. Business cycles characteristics of the Mediterranean area countries. Working Paper, Polytechnical University of Marche, Institute for Advanced Studies.

Gallegati, M., Gallegati, M., Polasek, W., 2004b. Business cycle fluctuations in Mediterranean countries (1960-2000). Emerging Markets Finance and Trade 40, 28-47.

Garcia, R. e Schaller H., 2002. Are the effects of monetary policy asymmetric? Economic Inquiry 40, 102-119.

Gatti, D., Gallegati, M., Gallegati, M., 2005. On the nature and causes of business fluctuations in Italy, 1861-2000. Elsevier, Explorations in Economic History 42, 81-100.

Hamilton, J., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384.

Hansen, G. e Prescott, E., 2005. Capacity constraint, asymmetries and the business cycle. Elsevier for the Society for Economic Dynamics, Review of Economic Dynamics 8, 850-865.

Harvey, A. e Jaeger, A., 1993. Detrending stylized facts and the business cycle. Journal of Applied Econometrics 8, 231-247.

Ho, K., Tsui, A., Zhang, Z., 2009. Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach. Mathematics and Computers in Simulation 79, 2856-2868.

Hodrick, R. e Prescott, E., 1980. Post-War U.S. business cycles: An empirical investigation. Carnegie-Mellon University working paper.

Ishikawa, T., 2004. Technology diffusion and business cycle asymmetry. DEGIT Conference Papers c009_016.

Jovanovic, B., 2004. Asymmetric Cycles. NBER Working Papers 10573, National Bureau of Economic Research, Inc.

Keynes, J., 1936. The general theory of employment, interest and money. New York: Harcourt, Brace.

Knüppel, M., 2004. Testing for business cycles based on autoregressions with a Markov switching intercept. Discussion Paper Series 1: Economic Studies 41/2004, Deutsche Bundesbank Research Center.

Kocherlakota, N., 2000. Creating business cycles through credit constraint. Federal Reserve Bank of Minneapolis, Quarterly Review 24, 2-10.

Kontolemis, Z., 1997. Does growth vary over the business cycle? Some evidence from G7 countries. The London School of Economics and Political Science, Economica 64, 441-460.

Kydland, F. e Prescott, E., 1990. Business cycles: real facts and monetary myth. Federal Reserve Bank of Minneapolis, Quarterly Review 3-18.

Laxton, D., Meredith, G., Rose, D., 1994. Asymmetric effects of economic activity on inflation: Evidence and policy implications. IMF Working Papers 94/139, International Monetary Fund.

Li, S. e Dressler, S., 2011. Business cycle asymmetry via occasionally binding international borrowing constraints. Elsevier, Journal of Macroeconomics 33, 33 41.

Magud, N., 2008. On asymmetric business cycles and the effectiveness of counter cyclical fiscal policies. Elsevier, Journal of Macroeconomics 30, 885-905.

Mayes, D. e Virén, M., 2004. Asymmetries in the Euro area economy. Research Discussion Papers 9/2004, Bank of Finland.

McQueen, G. e Thorley, S., 1993. Asymmetric business cycle turning points. Journal of Monetary Economics 31, 341-362.

Mills, T., 2007. Business cycle asymmetric and the duration dependence: an international perspective. Journal of Applied Statistics 28, 713-724.

Mitchell, W., 1927. Business cycles: The problem and its setting. National Bureau of Economic Research, New York.

Morley, J. e Piger, J., 2010. The asymmetric business cycle. Working Paper (disponível em www.uoregon.edu).

Narayan, P. e Popp, S., 2009. Investigating business cycle asymmetry for the G7 countries: Evidence from over a century of data. Elsevier, International Review of Economics & Finance 18, 583-591.

Neftçi, S., 1984. Are economic time series asymmetric over the business cycle? The University of Chicago Press, Journal of Political Economy 92, 307-328.

Newey, W. e West, K., 1987. A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.

Nieuwerburgh, S. e Veldkamp, L., 2006. Learning asymmetries in real business cycles. Elsevier, Journal of Monetary Economics 53, 753-772.

Peel, D. e Speight, A., 1998. Threshold nonlinearities in output: some international evidence. Applied Economics 30, 323-333.

Peiró, A., 2004. Are business cycles asymmetric? Some European evidence. Applied Economics 36, 335-342.

Piselli, P., 2004. Business cycle non-linearities and productivity shocks. Temi di discussione (Economic Working Papers) 516, Bank of Italy, Economic Research Department.

Ramsey, J. e Rothman, P., 1996. Time irreversibility and the business cycle asymmetry. Journal of Money, Credit and Banking 28, 1-21.

Randles, R., Flinger, M., Policello, G., Wolfe, D., 1980. An asymptotically distribution free test for symmetry versus asymmetry. Journal of the American Statistical Association 75, 168-172.

Razzak, W., 1998. Business cycle asymmetries and the nominal exchange rate regimes. Discussion Paper Series G98/4, Reserve Bank of New Zealand.

Razzak, W., 2001. Business cycle asymmetries: International evidence. Elsevier for the Society for Economic Dynamics, Review of Economic Dynamics 4, 230-243.

Rebelo, S., 2005. Real business cycle models: past, present, and future. NBER Working Papers 11401, National Bureau of Economic Research, Inc.

Rossana, R. e Seater, J., 1995. Temporal aggregation and economic time series. Journal of Business & Economics Statistics 13, 441-451.

Sensier, M., 2003. Inventories and asymmetric business cycle fluctuations in the UK: a structural approach. Applied Economics 35, 387-402.

Shapiro, M. e Watson, M., 1989. Sources of business cycle fluctuations. NBER Working Papers 2589, National Bureau of Economic Research, Inc.

Sichel, D., 1993. Business cycle asymmetry: A deeper look. Oxford University Press, Economic Inquiry 31, 224-236.

Simone, F. e Clarke, S., 2007. Asymmetry in business fluctuations: International evidence on Friedman’s plucking model. Elsevier, Journal of International Money and Finance 26, 64-85.

Tawadros, G., 2011. The stylised facts of Australia’s business cycle. Elsevier, Economic Modelling 28, 549-556.

Teles, V., Springer, P., Gomes, M., Paes, N., Cavalcanti, A., 2005. Ciclos económicos e métodos de filtragem: “Factos Estilizados” para o caso brasileiro. Revista EconomiA 6, 291-328.

Verbrugge, R., 1997. Investigating cyclical asymmetries. Studies in Nonlinear Dynamics & Econometrics 2, 15-22.

Verbrugge, R., 1998. A cross-country investigation of macroeconomic asymmetries. Macroeconomics 9809017, EconWPA.

Zarnowitz, V. e Ozyildirim, A., 2006. Time series decomposition and the measurement of business cycles, trends and growth cycles. Elsevier, Journal of Monetary Economics 53, 1717-1739.