Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 130: Another Look at Swedish Business Cycles, 1861-1988

Joakim Skalin () and Timo Teräsvirta ()
Additional contact information
Joakim Skalin: Dept for Economic Affairs, Ministry of Finance, Postal: SE-103 33 Stockholm, Sweden
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden

Abstract: This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The observed nonlinearity is characterized by STAR models. The statistical and dynamic properties of the estimated STAR models are investigated using, among other things, parametrically estimated ‘local’ or ‘sliced’ spectra. Cyclical variation at business cycle frequencies does not seem to be constant over time for all series, and it is difficult to find a ‘Swedish business cycle’. Only two series may be regarded as having genuinely assymetric cyclical variation. Standard Granger non-causality tests are adapted to the nonlinear (STAR) case, and the null hypothesis of noncausality is tested for pairs of series. The results point at strong temporal interactions between series. They also indicate that the assumption of functional form (linear or STAR) strongly affects the outcome of these pairwise tests.

Keywords: Granger causality; model spectrum; linearity test; time series model; nonlinearity; smooth transition autoregression

JEL-codes: C22; C53

58 pages, November 1996

Note: This is the working paper version appearing in the References of the published version (Journal of Applied Econometrics 14, 359-378 (1999).

Full text files 

hastef0130.ps PostScript file 
hastef0130.ps.zip PostScript file 
hastef0130.pdf PDF-file 
hastef0130.pdf.zip PDF-file

Download statistics

Published as
Joakim Skalin and Timo Teräsvirta, (1999), 'Another Look at Swedish Business Cycles, 1861-1988', Journal of Applied Econometrics, vol 14, pages 359-378

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:hastef:0130This page generated on 2024-09-13 22:15:04.