Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...

Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...

The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers' expenditure provides further support for this hypothesis,...

Business cycle asymmetry is examined using annual observations on GDP for 22 economies over the period 1870 to 1994. The present paper extends recent research in a number of ways. First, a non-parametric testing procedure is adopted which is robust to outliers. Second, alternative methods of...

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...