Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Title:
Asymmetry in the Business Cycle: Evidence from the Australian Labour Market
Author(s): Maurice Peat & Max Stevenson
Date of publication: June 1994
Working paper number: 37
Abstract:
Cyclical asymmetry has been recognised as a nonlinear phenomenonin recent studies examining unemployment rate time series. In this paper we use a number of established and new tests for identifying nonlinearities of the bilinear (BL), exponential autoregressive (EXPAR), smooth transition autoregressive (STAR), and self-exciting threshold autoregressive (SETAR) types as they occur in time series of the seasonally differenced logarithm of monthly Australian aggregate and regional unemployment rates. After identifying nonlinearity of a particular form within a given time series, the appropriate model is fitted and representations from the model analysed for their cyclical behaviour.
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Comments:

Published as: Peat, M. and Stevenson, M. 1996, "Asymmetry in the Business Cycle: Evidence from the Australian Labour Market", Journal of Economic Behavior and Organization, 30(3), pp. 353-368.

Known citations:

Bårdsen, G., Hurn, S. and McHugh, Z., 2002, "A Smooth-Transition Model of the Australian Unemployment Rate", Working Paper: 1002, Department of Economics, Norwegian University of Science and Technology.

Bårdsen, G., Hurn, S. and McHugh, Z., 2012, "Asymmetric Unemployment Rate Dynamics in Australia", Studies in Nonlinear Dynamics and Econometrics, 16(1), 1-22.

Cancelo, J. R., 2004, "El ciclo del empleo en España: un análisis regional", Clm.economía: Revista económica de Castilla - La Mancha, 4, 107-138.

Jirasakuldech, B., Zorn, T. S. and Geppert, J. M., 2002, "Financial Disclosure and Speculative Bubbles: An International Test of Asymmetry", Working Paper.

Jones, D., Peat, M. and Stevenson, M., 1996, "Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle", Working Paper: 67, Finance Discipline Group, University of Technology, Sydney.

Koller, W., 2012, Prognose makrookonomischer Zeitreihen: Ein Vergleich linearer Modelle mit neuronalen Netze, Dissertation.

McHugh, Z. D., 2004, A Small, Macroeconometric Model of the Australian Economy: With an Emphasis on Modelling Wages and Prices, PhD Thesis, Queensland University of Technology.

Olekalns, N., 2001, "Cyclical Asymmetries in Australian Macroeconomic Data", Applied Economics Letters, 8(3), 145-148.

Stevenson, M. and Peat, M., 2001, "Forecasting Australian Unemployment Rates", Australian Journal of Labour Economics, 4(1), 41-55.