This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...

This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...

The purpose of this study is to explain the concept and the kind of asymmetric business cycle and to examine the kind of the asymmetry for Turkish economy at the period of 1960-2006. For this purpose, firstly the cycle component of real GNP has been obtained by using Hodrick-Presscot Filter and...

This paper demonstrates that the class of conditionally linear and Gaussian state-space models offers a general and convenient framework for simultaneously handling nonlinearity, structural change and outliers in time series. Many popular nonlinear time series models, including threshold, smooth...

The interest in business cycle asymmetry has been steadily increasing over the last fifteen years. Most research has focused on the different behaviour of macroeconomic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase...

This paper provides evidence that financial openness is an important determinant of growth rate asymmetry in emerging markets. I exploit exogenous shocks to financial flows and examine the impact of equity market liberalization on the skewness of output growth for 93 countries during the...

This paper examines the statistical properties of energy consumption in the GCC countries applying fractional integration methods to annual data from 1980 to 2014. The results indicate that both the raw and the logged series exhibit a (statistically significant) linear time trend in the case of...

This paper examines the statistical properties of energy consumption in the GCC countries applying fractional integration methods to annual data from 1980 to 2014. The results indicate that both the raw and the logged series exhibit a (statistically significant) linear time trend in the case of...

The paper studies the interactions between credit, financial asset prices (namely equity prices), and consumer price inflation for the countries belonging to the Gulf Cooperation Council using quarterly observations from 1998:1 to 2009:4. The stock price is seen to have a positive and...