Abstract
We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We find evidence against the conventional wisdom that recessions are more violent than expansions: while some part of the downturn in economic activity that characterises recessionary periods can be attributed to dramatic changes in the price of oil, post-War US economic growth is characterized by the steepness of expansions.
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Clements, M.P., Krolzig, HM. (2002). Can oil shocks explain asymmetries in the US Business Cycle?. In: Hamilton, J.D., Raj, B. (eds) Advances in Markov-Switching Models. Studies in Empirical Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-51182-0_3
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DOI: https://doi.org/10.1007/978-3-642-51182-0_3
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-642-51184-4
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