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Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia
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Abstract
This paper investigates comovements between the United States and Australia. Our nonlinear 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.Current Depth of Recession Models, Generalised Impulse Response Functions, Asymmetries