Can oil shocks explain asymmetries in the US Business Cycle?

We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni and Ratti (1995), based on a linear analysis of the relationship between output growth and the oil price employing PcGets. We find overwhelming evidence against the conventional wisdom that recessions are more violent that expansions: while some of violence of economic downturns can be attributed to dramatic changes in the price of oil, post-War US economic growth is characterized by the steepness of expansions.