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

Valderrama, Diego, Nonlinearities in International Business Cycles (December 2002). FRB of San Francisco Working Paper No. 2002-23, Available at SSRN: https://ssrn.com/abstract=707724 or http://dx.doi.org/10.2139/ssrn.707724
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