Asymmetric and Threshold Nonlinear Error-Correction Models

  • Gilles Dufrénot
  • Valérie Mignon


Models with asymmetric dynamics are important since they capture many stylized facts of modern economies. Typically, it is largely recognized that macroeconomic variables are subject to asymmetric dynamics for several reasons. Firstly, business cycles are asymmetric in nature (an old idea already suggested in Burns and Mitchell (1946) works) and this is illustrated by the fact that recessions last longer periods than expansions or recoveries. Secondly, asymmetries may come from microeconomic behavior as illustrated by partial adjustment models. For instance, costs of hiring and firing are asymmetric at the firm level. Thirdly, asymmetries can result from capital constraints on good markets. Fourthly, imperfect competition causes rigidities on credit, good and labor markets that affect the dynamics of the economy. All these phenomena have been extensively investigated in the literature, but the links between asymmetry and NEC models have been studied in only a few papers.


Unemployment Rate Business Cycle Forecast Error Inflation Rate Real Exchange Rate 
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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • Gilles Dufrénot
    • 1
    • 2
  • Valérie Mignon
    • 3
  1. 1.ERUDITEUniversity of Paris 12France
  2. 2.GREQUAM-CNRSUniversity of MarseilleFrance
  3. 3.MODEMUniversity of Paris 10France

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