International evidence on business cycle magnitude dependence

Di Guilmi, C; Gaffeo, E; Gallegati, M; Palestrini, A

International evidence on business cycle magnitude dependence

Di Guilmi, C

Gaffeo, E Gallegati, M Palestrini, A

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Publisher:: Euro-American Association of Economic Development Studies
Publication Type:: Journal Article
Citation:: International Journal of Applied Econometrics and Quantitative Studies, 2005, 2 (1), pp. 5 - 16
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Di Guilmi, C https://orcid.org/0000-0001-7786-039X	en_US
dc.contributor.author	Gaffeo, E	en_US
dc.contributor.author	Gallegati, M	en_US
dc.contributor.author	Palestrini, A	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	International Journal of Applied Econometrics and Quantitative Studies, 2005, 2 (1), pp. 5 - 16	en_US
dc.identifier.issn	1698-4153	en_US
dc.identifier.uri	http://hdl.handle.net/10453/9960
dc.description.abstract	Are expansions and recessions more likely to end as their magnitude increases? In this paper we apply parametric hazard models to investigate this issue in a sample of 16 countries from 1881 to 2000. For the total sample we find evidence of positive magnitude dependence for recessions, while for expansions we are not able to reject the null of magnitude independence. This last result is likely due to a structural change in the mechanism guiding expansions before and after the second World War. In particular, upturns show negative magnitude dependence in the post-World War II sub-sample, meaning that in this period expansions become less likely to end as their magnitude increases.	en_US
dc.publisher	Euro-American Association of Economic Development Studies	en_US
dc.relation.ispartof	International Journal of Applied Econometrics and Quantitative Studies	en_US
dc.title	International evidence on business cycle magnitude dependence	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	2	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	2	en_US

Abstract:

Are expansions and recessions more likely to end as their magnitude increases? In this paper we apply parametric hazard models to investigate this issue in a sample of 16 countries from 1881 to 2000. For the total sample we find evidence of positive magnitude dependence for recessions, while for expansions we are not able to reject the null of magnitude independence. This last result is likely due to a structural change in the mechanism guiding expansions before and after the second World War. In particular, upturns show negative magnitude dependence in the post-World War II sub-sample, meaning that in this period expansions become less likely to end as their magnitude increases.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/9960