Modeling Cyclical Asymmetries in GDP: International Evidence |
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Authors: | José Ramón Cancelo Estefanía Mourelle |
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Institution: | (1) Universidade da Coruña, Spain |
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Abstract: | 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. |
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Keywords: | E32 C22 E37 |
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