000			01825nas a2200217Ia 4500
008			241128c99999999xx |||||||||||| ||und||
022			_a2364-1045
100			_aTrofimov, Ivan D. _9123950
245		2	_aA Time Series Analysis of Corporate Profit Rates in Selected Developed Economies: Asymmetries, Non-linearity and Mean Reversion
260			_bJournal of Quantitative Economics
260			_c2024
300			_a303-338
520			_aThis study examines the dynamic behaviour of corporate profits in selected developed economies using the quarterly data. Firstly, the non-linear and asymmetric behaviour is considered: the presence of general form of nonlinearity (based on linear autoregressive model, third order moments and Brock–Dechert–Scheinkman test), of steepness and deepness asymmetry (using the ‘triples test’), and of the cycle-specific asymmetry (using asymmetry in mean and variance models with cycle dummies). Secondly, we examined the possibility of mean-reversion in the series, using a battery of recently developed unit root tests that account for the presence of structural breaks and nonlinearities. The findings indicate mean reversion and trend-stationarity of the profits for most of the economies, thus suggesting impossibility of sustained growth in profits in times of sluggish economic growth and productivity slowdown. The profits were also found to contain non-Gaussian characteristics, to exhibit asymmetric fluctuation in mean (but not variance), and to demonstrate deepness asymmetry.
650			_a Asymmetry _9123951
650			_a Corporate Profit Rates _9123952
650			_a Nonlinearity _9123953
650			_a Profit _95118
650			_a Unit Root _9123954
650			_aBusiness Cycle _9608
856			_uhttps://doi.org/10.1007/s40953-024-00392-z
999			_c134638 _d134638