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A STATE‐LEVEL ANALYSIS OF BUSINESS CYCLE ASYMMETRY
Author(s) -
Ewing Bradley T.,
Thompson Mark A.
Publication year - 2012
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.2010.00365.x
Subject(s) - asymmetry , autoregressive model , business cycle , econometrics , economics , momentum (technical analysis) , index (typography) , series (stratigraphy) , state (computer science) , set (abstract data type) , financial economics , mathematics , macroeconomics , computer science , physics , algorithm , geology , paleontology , quantum mechanics , world wide web , programming language
This paper provides a comprehensive examination of asymmetry in US state‐level business cycles. We consider two different types of asymmetry in the adjustment process of a stationary time series: deepness and steepness. The data used in the study are a comparable set of state‐level coincident indexes (SCIs) developed by the Federal Reserve Bank of Philadelphia. Specifically, results from using the momentum‐threshold autoregressive model provide evidence of asymmetry in the growth rate of 23 SCIs as well as the equivalent national coincident index.