Business cycle non-linearities in UK consumption and production
JOURNAL OF APPLIED ECONOMETRICS, cilt.15, sa.1, ss.27-43, 2000 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 15 Sayı: 1
- Basım Tarihi: 2000
- Doi Numarası: 10.1002/(sici)1099-1255(200001/02)15:1<27::aid-jae552>3.0.co;2-f
- Dergi Adı: JOURNAL OF APPLIED ECONOMETRICS
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.27-43
- Orta Doğu Teknik Üniversitesi Adresli: Hayır
Özet
This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smooth transition components to capture the business cycle characteristics of UK real consumers' expenditure and industrial production. The results indicate consumption has essentially two business cycle regimes: recession and expansion. Industrial production, however, is characterized by the three regimes of recession, normal growth and high growth. The transitions describing recovery from recession are very similar for the two variables. Stochastic simulations illustrate the dynamic responses of these models and emphasize that they are locally linear. Our results also indicate that the two-transition STAR models have some forecast advantages over other specifications for periods of contraction. Copyright (C) 2000 John Wiley & Sons, Ltd.