Premium
Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series
Author(s) -
Osman Mohamed,
Hoque Ariful,
Hassan Kamrul
Publication year - 2016
Publication title -
australian economic papers
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.351
H-Index - 15
eISSN - 1467-8454
pISSN - 0004-900X
DOI - 10.1111/1467-8454.12093
Subject(s) - business cycle , econometrics , asymmetry , economics , volatility (finance) , nonlinear system , series (stratigraphy) , empirical evidence , gaussian , variables , mathematics , statistics , macroeconomics , physics , paleontology , philosophy , epistemology , quantum mechanics , biology
This study investigates the dynamic behaviour of macroeconomic time series variables of the United Arab Emirates. We first examined whether there are non‐Gaussian characteristics associated with the macroeconomic variables of the United Arab Emirates. Through application of the BDS nonlinearity test, our results indicated that there is a substantial nonlinear dependence in the data set for all the variables. We also assessed the asymmetric behaviour of these variables by exploring whether they exhibit two particular forms of asymmetry, which are deepness and steepness asymmetries. These results have shown that there is no empirical evidence of business cycle asymmetry in all the variables at any conventional level of significance in the sample period. Also, through application of further robust testing, our findings indicate the presence of pro‐cyclical asymmetry in some of the variables and at the same time indicate the presence of asymmetries in the volatility.