An empirical assessment of business cycle asymmetries: evidence from Malaysia

Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. In this paper, we test for thre...

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Main Author:	Abdul Manap, Turkhan Ali
Format:	Article
Language:	English
Published:	Universiti Malaysia Sarawak 2010
Subjects:	H Social Sciences (General) HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
Online Access:	http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/1/Cycle_asymmetries.pdf

id	iium-11128
recordtype	eprints
spelling	iium-111282011-12-21T11:08:21Z http://irep.iium.edu.my/11128/ An empirical assessment of business cycle asymmetries: evidence from Malaysia Abdul Manap, Turkhan Ali H Social Sciences (General) HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. In this paper, we test for three types of asymmetry of business cycle: steepness, deepness and sharpness, by using the parametric tests of Clements and Krolzig (2003), based on Markov-Switching autoregressive models in the real GDP of Malaysia for the period from 1975Q1 to 2006Q4. This paper also uses three different approaches to remove trend component of GDP to investigate the sensitivity of the findings of asymmetries to the method of trend eliminations. Finally, for comparison, the non-parametric test of Randles et al. (1980) is also employed. We find strong evidence of steep asymmetry but not deep sharp asymmetry for Malaysia which is in contrast to the findings of Khong and Lau (2007) and Eng and Wang (2008). These findings have important implications for econometric modeling and policy making. Universiti Malaysia Sarawak 2010-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/11128/1/Cycle_asymmetries.pdf Abdul Manap, Turkhan Ali (2010) An empirical assessment of business cycle asymmetries: evidence from Malaysia. International Journal of Business and Society, 11 (1). pp. 33-50. ISSN 1511-6670 http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=f0eedf19-4543-4dfd-bb1a-7e817a25eca7%40sessionmgr111&vid=4&hid=104
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	H Social Sciences (General) HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
spellingShingle	H Social Sciences (General) HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Abdul Manap, Turkhan Ali An empirical assessment of business cycle asymmetries: evidence from Malaysia
description	Asymmetry is a key feature to understand the different behavior of expansions and recessions, and it provides a stylized fact that business cycle models should help to explain. Furthermore, the types of asymmetries provide guidance about underlying economic mechanism. In this paper, we test for three types of asymmetry of business cycle: steepness, deepness and sharpness, by using the parametric tests of Clements and Krolzig (2003), based on Markov-Switching autoregressive models in the real GDP of Malaysia for the period from 1975Q1 to 2006Q4. This paper also uses three different approaches to remove trend component of GDP to investigate the sensitivity of the findings of asymmetries to the method of trend eliminations. Finally, for comparison, the non-parametric test of Randles et al. (1980) is also employed. We find strong evidence of steep asymmetry but not deep sharp asymmetry for Malaysia which is in contrast to the findings of Khong and Lau (2007) and Eng and Wang (2008). These findings have important implications for econometric modeling and policy making.
format	Article
author	Abdul Manap, Turkhan Ali
author_facet	Abdul Manap, Turkhan Ali
author_sort	Abdul Manap, Turkhan Ali
title	An empirical assessment of business cycle asymmetries: evidence from Malaysia
title_short	An empirical assessment of business cycle asymmetries: evidence from Malaysia
title_full	An empirical assessment of business cycle asymmetries: evidence from Malaysia
title_fullStr	An empirical assessment of business cycle asymmetries: evidence from Malaysia
title_full_unstemmed	An empirical assessment of business cycle asymmetries: evidence from Malaysia
title_sort	empirical assessment of business cycle asymmetries: evidence from malaysia
publisher	Universiti Malaysia Sarawak
publishDate	2010
url	http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/1/Cycle_asymmetries.pdf
first_indexed	2023-09-18T20:20:29Z
last_indexed	2023-09-18T20:20:29Z
_version_	1777408073701261312

An empirical assessment of business cycle asymmetries: evidence from Malaysia

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