Testing the Cyclical Asymmetries in the Romanian Macroeconomic Data

Abstract

According to economic theory, economic variables evolve differently on business cycles stages, i.e. they are asymmetric. The results of business cycles asymmetry testing are rather divergent: some support business cycles asymmetry while others contradict it. The existence of a possible business cycles asymmetry has major implications in economic stabilization policies modeling, forecasting and application. There are rather few studies on business cycles stylized facts in Romania and they fai l to tackle business cycles asymmetry. Therefore, the purpose of our research is to test the possible business cycles asymmetry in several Romanian macroeconomic variables. We estimated the business cycles of the variables under survey using the Hodrick– Prescott filter, whereas for the tests conducted on the business cycles asymmetry recorded we preferred Sichel's (1993) methodology. We checked the robustness of the results recorded by business cycles estimation using the Beveridge Nelson decomposition. The results of the business cycles analysis carried out on Romanian macroeconomic variables do not support the existence of any business cycles asymmetry.