This paper provides a comprehensive examination of asymmetry in US state-level business cycles. We consider two different types of asymmetry in the adjustment process of a stationary time series: deepness and steepness. The data used in the study are a comparable set of state-level coincident indexes (SCIs) developed by the Federal Reserve Bank of Philadelphia. Specifically, results from using the momentum-threshold autoregressive model provide evidence of asymmetry in the growth rate of 23 SCIs as well as the equivalent national coincident index.
- Business cycles
- US states