An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries

Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. This paper intends to adopt Cle...

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Main Author:	Abdul Manap, Turkhan Ali
Format:	Conference or Workshop Item
Language:	English
Published:	2011
Subjects:	H Social Sciences (General) HA Statistics HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
Online Access:	http://irep.iium.edu.my/12825/ http://irep.iium.edu.my/12825/1/An_Assessment_of__Business_Asymetry_in_ASEAN.pdf

id	iium-12825
recordtype	eprints
spelling	iium-128252013-03-18T08:49:05Z http://irep.iium.edu.my/12825/ An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries Abdul Manap, Turkhan Ali H Social Sciences (General) HA Statistics HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. This paper intends to adopt Clements and Krolzig (2003) parametric tests to determine the asymmetric properties of business cycle fluctuations of selected ASEAN countries for the period from 1978Q1 to 2009Q4. In particular, we model the business cycles of ASEAN Countries with the help of Markov Switching models and then apply the parametric tests of Clements and Krolzig (2003) to test for three types of asymmetry of business cycle: steepness, deepness and sharpness. This paper also uses three different approaches to remove trend component of GDP to investigate the sensitivity of the findings of asymmetries to the method of trend eliminations. Finally, for comparison, the non-parametric test of Randles et al. (1980) also will be employed. These findings have important implications for econometric modeling and policy making. 2011 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/12825/1/An_Assessment_of__Business_Asymetry_in_ASEAN.pdf Abdul Manap, Turkhan Ali (2011) An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries. In: The 12th International Convention of the East Asian Economic Association Convention , 2-3 October 2010 , Seoul, Republic of Korea. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	H Social Sciences (General) HA Statistics HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
spellingShingle	H Social Sciences (General) HA Statistics HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Abdul Manap, Turkhan Ali An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
description	Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. This paper intends to adopt Clements and Krolzig (2003) parametric tests to determine the asymmetric properties of business cycle fluctuations of selected ASEAN countries for the period from 1978Q1 to 2009Q4. In particular, we model the business cycles of ASEAN Countries with the help of Markov Switching models and then apply the parametric tests of Clements and Krolzig (2003) to test for three types of asymmetry of business cycle: steepness, deepness and sharpness. This paper also uses three different approaches to remove trend component of GDP to investigate the sensitivity of the findings of asymmetries to the method of trend eliminations. Finally, for comparison, the non-parametric test of Randles et al. (1980) also will be employed. These findings have important implications for econometric modeling and policy making.
format	Conference or Workshop Item
author	Abdul Manap, Turkhan Ali
author_facet	Abdul Manap, Turkhan Ali
author_sort	Abdul Manap, Turkhan Ali
title	An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
title_short	An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
title_full	An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
title_fullStr	An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
title_full_unstemmed	An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries
title_sort	empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from asean countries
publishDate	2011
url	http://irep.iium.edu.my/12825/ http://irep.iium.edu.my/12825/1/An_Assessment_of__Business_Asymetry_in_ASEAN.pdf
first_indexed	2023-09-18T20:21:58Z
last_indexed	2023-09-18T20:21:58Z
_version_	1777408167126237184

An empirical assessment of business cycle asymmetries using parametric and non-parametric test: evidence from Asean countries

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