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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| Format: | Article |
| Language: | English |
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Universiti Malaysia Sarawak
2010
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| Online Access: | http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/1/Cycle_asymmetries.pdf |
| _version_ | 1848777294414348288 |
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| author | Abdul Manap, Turkhan Ali |
| author_facet | Abdul Manap, Turkhan Ali |
| author_sort | Abdul Manap, Turkhan Ali |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T14:43:42Z |
| format | Article |
| id | iium-11128 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T14:43:42Z |
| publishDate | 2010 |
| publisher | Universiti Malaysia Sarawak |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| 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 |
| title | 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_short | An empirical assessment of business cycle asymmetries: evidence from Malaysia |
| title_sort | empirical assessment of business cycle asymmetries: evidence from malaysia |
| topic | H Social Sciences (General) HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations |
| url | http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/ http://irep.iium.edu.my/11128/1/Cycle_asymmetries.pdf |