Business cycle non-linearities in UK consumption and production

Revisiting consumption and income relationship: a vector logistic smooth transition regression modelling

“…Alan et al (2018) highlighted significant heterogeneity and nonlinearity in the reaction of consumption to income shocks. This result is consistent with early findings of Öcal and Osborn (2000), who analysed consumption behaviour in the UK by estimating a univariate smooth transition autoregressive (STAR) model. Öcal and Osborn (2000) confirmed the nonlinear behaviour of consumption by identifying two business cycle regimes and showing that the consumption dynamics vary with the regime under consideration.…”

“…This result is consistent with early findings of Öcal and Osborn (2000), who analysed consumption behaviour in the UK by estimating a univariate smooth transition autoregressive (STAR) model. Öcal and Osborn (2000) confirmed the nonlinear behaviour of consumption by identifying two business cycle regimes and showing that the consumption dynamics vary with the regime under consideration. Similarly, Lardic and Mignon (2003) investigated the relationship between consumption and income in the US, Germany, France, the UK, and Canada.…”

Resource Windfalls, Macroeconomic Stability and Growth: The Role of Political Institutions

“…investigating data-generating processes of inherently asymmetric realisations, has long been of interest to applied economists. More recently, a number of empirical works have found evidence of nonlinear evolution in observed economic series (see examples, van Dijk and Franses, 1999, Öcal and Osborn, 2000, Skalin and Teräsvirta 2002, and Sensier et al, 2002. In this vein, this is the focus of the next stage of the current investigation.…”

Smooth transition patterns in the realized stock–bond correlation

“…Artis et al (2007) and Stock and Watson (1999). Also, Öcal and Osborn (2000) use the success ratio in STR models. The results are shown in Table 5.…”