Business cycles in Iran: Evidence from asymmetry and correlated shocks



In this Paper, business cycle asymmetry in Iran has been investigated using a nonlinear unobserved component model. In this regard, according to Kim and Nelsonchr('39')s (1999) interpretation of Friedman plucking model (1993), asymmetric transitory component has been modeled and simultaneously the possibility of a correlation between transitory and permanent shocks has also been considered. The results confirm weakly the asymmetric transitory shocks and the ceiling level for output according to Friedman’s model. In addition, it is also suggested by the results that ignoring the correlation between shocks underestimates the importance of permanent shocks to GDP. 

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عنوان ژورنال:

دوره 28  شماره 95

صفحات  20- 40

تاریخ انتشار 2020-12

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