آزمون عدم تقارن دوره ای در اطلاعات اقتصاد کلان رومانیایی

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.

In economic theory, Mitchell (1927), Keynes (1936), Burns and Mitchell (1946) and Hicks (1950) are acknowledged to be the first to indicate the idea of business cycles asymmetry. In a broad sense, business cycles asymmetry means that in periods of economic growth business cycles are not the identical mirror-image of the business cycles in periods of economic recession. Sichel (1993) proposes and tests two notions related to business cycles asymmetry, which may exist either independently or simultaneously: cycle steepness and cycle deepness asymmetry. Cycle steepness asymmetry means that the economic decreasing slopes are steeper than the economic increasing slopes. Cycle deepness appears when troughs in absolute value are higher than the values identified as peaks.The existence of asymmetry implies the necessity of embedding in the theoretical patterns of business cycles the asymmetric behavior, the identification of the policies of economic stabilization which should be establishedaccording to the stages of the business cycles and the fact that in order to forecast the future of economy one cannot use the linear economic models which ignore the stages of business cycles. Likewise, the existence of the two types of asymmetry has a major importance: steepness asymmetry can be determined by the patterns of asymmetric costs (production of industry firms may decrease very quickly, but it may extend less quickly), and deepness asymmetry may be determined by a model with asymmetric adjustment of prices (the negative shocks upon demand will have a bigger effect than the positive shocks upon demand). Business cycles asymmetry testing is relatively recent and it is due to the search of new empirical characteristics of business cycles because the most used linear modeling is not able to reflect the asymmetric behaviour of business cycle.Sichel (1993) studied unemployment, real GNP, and industrial production with quarterly frequency recorded after the war for the U.S. and found the evidence of asymmetry for unemployment and industrial production. Narayan S. and Narayan, P.K. (2007) found steepness asymmetry for the unemployment rate and deepness asymmetry for the consumer price index and unemployment for Singapore.Olekalns, N. (2001) studies the asymmetry of business cycles of the macroeconomic variables in Australia, and his results fail to confirm asymmetry. In this paper we want to test the possible asymmetries of business cycles in the macroeconomic data at the level of Romania country. We shall continue to present the methodology, on the one hand in order to test asymmetry, and on the other hand for detrending time series, then we shall present the results obtained and the conclusions.

The existence of business cycles asymmetry of macroeconomic variables has implications in business cycles modeling, in identifying the policies of stabilizing the economy, and in economic forecast. The results of testing the cyclical asymmetry of the macroeconomic data in Romania show that they do not support the existence of any business cycles asymmetry.