http://dx.doi.org/10.31703/ger.2017(II-I).09
10.31703/ger.2017(II-I).09
Published : Dec 2017
A Statistical Investigation of Business Cycles Characteristics in Pakistan
This study investigates the business cycle characteristics for Pakistan using three sets of variables namely expenditure components of GDP, nominal variables and real variables. The findings reveal that the volatility of expenditure components are greater than GDP during the full sample of 1973 to 2015. Whereas, in the Pre-SAP and Post-SAP periods i.e. 1973-1988 and 1989-2015, real variables and nominal variables show more volatility than GDP. And, in terms of co-movement, expenditure components of GDP showed strong pro-cyclicality and relationship with GDP against other sets of variables. Moreover, the nominal variables show positive persistence and the business cycles caused by it, lasting for a long time against real variables and expenditure components of GDP. Furthermore, the results show that the correlation between CPI and GDP across all periods is counter cyclical. The stability test results show that business cycles features remained stable during two time periods.
-
Business Cycles, GARCH, Volatility, SAP
-
(1) Niaz Ali
MS Economics, Department of Economics, Abdul Wali Khan University Mardan, KP, Pakistan
(2) Muhammad Tariq
Assistant Professor,Faculty of Business & Economics,Abdul Wali Khan University Mardan, Mardan, KP, Pakistan.
(3) Asia Baig
Demonstrator, Department of Economics, Abdul Wali Khan University, Mardan, KP, Pakistan.
- Ahmed, S. (2003). Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes. Journal of Development Economics, 72(1), 181- 202.
- Apergis, N., & Panethimitakis, A. (2007). Stylized facts of Greek business cycles: new evidence from aggregate and across regimes data. Available at SSRN 990245.
- Arias, A., Hansen, G. D., & Ohanian, L. E.(2007). Why have business cycle fluctuations become less volatile? Economic Theory, 32(1), 43-58
- Arthur F. Burns & Wesley C. Mitchell, 1946.
- Burns, Arthur F., and Mitchell, W. C. (1946). Measuring business cycles. NBER Working Paper, Columbia Univ. Press.
- Calderon, C. and R. Fuentes. 2010.
- Cashin, P., McDermott, C. J., & Scott, A. (2002). Booms and slumps in world commodity prices. Journal of Development Economics, 69(1), 277-296
- Djennas, M. (2016). Business cycle volatility, growth and financial openness: Does Islamic finance make any difference?. Borsa Istanbul Review, 16(3), 121-145.
- Ghate, C., Pandey, R., & Patnaik, I. (2013). Has India emerged? Business cycle stylized facts from a transitioning economy. Structural Change and Economic Dynamics, 24, 157-172.
- Harding, D., & Pagan, A. (2005). A suggested framework for classifying the modes of cycle research. Journal of Applied Econometrics, 20(2), 151-159.
- Karras, G., & Song, F. (1996). Sources of business-cycle volatility: An exploratory study on a sample of OECD countries. Journal of Macroeconomics, 18(4), 621-637.
- Kose, M. A., Otrok, C., & Whiteman, C. H. (2003). International business cycles: World, region, and country-specific factors. American Economic Review, 93(4), 1216- 1239.
- Kydland, F. E., & Prescott, E. C. (1982). Time to build and aggregate fluctuations. Econometrica: Journal of the Econometric Society, 1345-1370.
- Kydland, F. E., & Zarazaga, C. E. J. M. (1997). Is the business cycle of Argentina
- Kydland F. E. & Prescott E. C. (1991). The econometrics of the general equilibrium approach to business cycles.The Scandinavian Journal of Economics, 93(2), 161- 178.
- Lane, P. R. (2003). Business cycles and macroeconomic policy in emerging market economies. International Finance, 6(1), 89-108.
- Lucas Jr, R. E. (1977). Understanding business cycles. In Carnegie-Rochester Conference Series on Public Policy, 5, 7-29, North-Holland.
- McKay, A., & Reis, R. (2016). The role of automatic stabilizers in the US business cycle. Econometrica, 84(1), 141-194.
- Shapiro, M. D., & Watson, M. W. (1988). Sources of business cycle fluctuations. NBER Macroeconomics Annual, 3, 111-148.
Cite this article
-
APA : Ali, N., Tariq, M., & Baig, A. (2017). A Statistical Investigation of Business Cycles Characteristics in Pakistan. Global Economics Review, II(I), 73-84. https://doi.org/10.31703/ger.2017(II-I).09
-
CHICAGO : Ali, Niaz, Muhammad Tariq, and Asia Baig. 2017. "A Statistical Investigation of Business Cycles Characteristics in Pakistan." Global Economics Review, II (I): 73-84 doi: 10.31703/ger.2017(II-I).09
-
HARVARD : ALI, N., TARIQ, M. & BAIG, A. 2017. A Statistical Investigation of Business Cycles Characteristics in Pakistan. Global Economics Review, II, 73-84.
-
MHRA : Ali, Niaz, Muhammad Tariq, and Asia Baig. 2017. "A Statistical Investigation of Business Cycles Characteristics in Pakistan." Global Economics Review, II: 73-84
-
MLA : Ali, Niaz, Muhammad Tariq, and Asia Baig. "A Statistical Investigation of Business Cycles Characteristics in Pakistan." Global Economics Review, II.I (2017): 73-84 Print.
-
OXFORD : Ali, Niaz, Tariq, Muhammad, and Baig, Asia (2017), "A Statistical Investigation of Business Cycles Characteristics in Pakistan", Global Economics Review, II (I), 73-84
-
TURABIAN : Ali, Niaz, Muhammad Tariq, and Asia Baig. "A Statistical Investigation of Business Cycles Characteristics in Pakistan." Global Economics Review II, no. I (2017): 73-84. https://doi.org/10.31703/ger.2017(II-I).09