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| Author: | Peel, D. A. Speight, A. E. H. |
| Title: | Modelling business cycle nonlinearity in conditional mean and conditional variance: Some international and sectoral evidence |
| Journal: | Economica
1998 : MAY, VOL. 65:258, p. 211-229 |
| Index terms: | BUSINESS CYCLES MODELS NONLINEAR PROGRAMMING ECONOMIC CONDITIONS |
| Language: | eng |
| Abstract: | This study tests for presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral production growth rates using ARMA-GQARCH, bilinear (BL) and joint BL-GQARCH models. ARMA-GQARCH models confirm the presence of asymmetric variance effects in Italian, UK and US industrial production and in all sectors other than US nondurables, and such that conditional variance of output is increased following negative shocks. BL models are identified for German, Italian and US industrial production and US manufacturing while BL-GQARCH models of joint nonlinearity in both conditional mean and conditional variance are also found to hold for US industrial production and manufacturing. |
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