Nonlinearities in International Business Cycles
FRB of San Francisco Working Paper No. 2002-23
28 Pages Posted: 27 Apr 2005
Date Written: December 2002
Abstract
This paper documents the dynamic properties of national output, its components, and the current account for five OECD countries. There is strong evidence of conditional volatility for almost all time series as well as significant deviations from normality. The deviations are detected particularly in GDP, net exports, investment time series.
Keywords: Conditional volatility, business cycles, seminonparametric estimator
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects
By James M. Nason and John H. Rogers
-
Can World Real Interest Rates Explain Business Cycles in a Small Open Economy?
By William F. Blankenau, M. Ayhan Kose, ...
-
A Structural VAR Approach to the Intertemporal Model of the Current Account
By Takashi Kano
-
Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect
By Takashi Kano
-
Statistical Nonlinearities in the Business Cycle: A Challenge for the Canonical RBC Model
-
Investment-Specific Technology Shocks in a Small Open Economy
-
Tests of the Present-Value Model of the Current Account: A Monte Carlo Study
By Hafedh Bouakez and Takashi Kano