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An empirical assessment of business cycle asymmetries: evidence from Malaysia

Abdul Manap, Turkhan Ali (2009) An empirical assessment of business cycle asymmetries: evidence from Malaysia. In: The International Conference on Islamic Economics and Economies of OIC Countries 2009, 29 April, 2009, Istana Hotel Kuala Lumpur. (Unpublished)

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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. This paper intends adopt Clements and Krolzig (2003) parametric tests to determine the asymmetric properties of business cycle fluctuations of Malaysia for the period from 1980Q1 to 2006Q4. In particular, we model the business cycles of Malaysia with the help of Markov Switching models and then apply the recently proposed parametric tests by Clements and Krolzig (2003) to test for three types of asymmetry of business cycle: steepness, deepness and sharpness.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 5324/12218 (JEL Classification: C22 E32)
Uncontrolled Keywords: Markov switching models, depth, steepness, sharpness, business cycle
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory > HB3711 Business cycles. Economic fluctuations
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Dr Turkhan Ali Abdul Manap
Date Deposited: 01 Mar 2012 10:57
Last Modified: 20 Mar 2013 09:35
URI: http://irep.iium.edu.my/id/eprint/12218

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