RESEARCH PAPER NO. 857

NON-LINEAR CO-MOVEMENTS IN OUTPUT GROWTH: EVIDENCE FROM THE UNITED STATES AND AUSTRALIA

BY

OLAN T. HENRY, NILSS OLEKALNS & KALVINDER SHIELDS

SEPTEMBER 2002

Department of Economics. University of Melbourne. Melbourne Victoria 3010 Australia

This paper investigates comovements between the United States and Australia.  Our non-linear model allows the dynamic response to shocks to differ if countries are in recession.  Generalised Impulse Response Functions highlight a significant asymmetric response to positive and negative shocks.

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