Dating the Euro Area Business Cycle
Author : Michael J. Artis
Publisher :
Page : 68 pages
File Size : 26,2 MB
Release : 2003
Category : Business cycles
ISBN :
Author : Michael J. Artis
Publisher :
Page : 68 pages
File Size : 26,2 MB
Release : 2003
Category : Business cycles
ISBN :
Author : Massimiliano Giuseppe Marcellino
Publisher :
Page : 0 pages
File Size : 21,51 MB
Release : 2014
Category :
ISBN :
In this paper we compare alternative approaches for dating the Euro area business cycle and analyzing its characteristics. First, we extend a commonly used dating procedure to allow for length, size and amplitude restrictions, and to compute the probability of a phase change. Second, we apply the modified algorithm for dating both the classical Euro area cycle and the deviation cycle, where the latter is obtained by a variety of methods, including a modified HP filter that reproduces the features of the BK filter but avoids end-point problems, and a production function based approach. Third, we repeat the dating exercise for the main Euro area countries, evaluate the degree of syncronization, and compare the results with the UK and the US. Fourth, we construct indices of business cycle diffusion, and assess how spread are cyclical movements throughout the economy. Finally, we repeat the dating exercise using monthly industrial production data, to evaluate whether the higher sampling frequency can compensate the higher variability of the series and produce a more accurate dating.
Author : Lucrezia Reichlin
Publisher : Centre for Economic Policy Research
Page : 103 pages
File Size : 22,6 MB
Release : 2004
Category : Business cycles
ISBN : 1898128839
Author : Emanuel Moench
Publisher :
Page : 0 pages
File Size : 10,97 MB
Release : 2008
Category :
ISBN :
This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and European data, we are able to replicate approximately the dating decisions of the NBER and the CEPR.
Author : Marcus Scheiblecker
Publisher : Peter Lang
Page : 236 pages
File Size : 50,17 MB
Release : 2008
Category : Business & Economics
ISBN : 9783631576076
Dating business cycle turning points is still an important task for economic policy decisions. This study does this for the Austrian economy for the period between 1976 and 2005, using only quarterly national accounts data of Austria, Germany and the euro area. Three different filtering methods are applied: first-order differences, the Hodrick-Prescott filter, and the Baxter-King filter. To all of them, two different methods of determining the business cycle are applied: the ad-hoc determination of the business cycle and a dynamic factor model, taking into account the common variations of Austria, the euro area and the German business cycle movements. The results of both methods are dated by the Bry-Boschan algorithm in order to locate peaks and troughs of the cycle. The results are interpreted and compared to already exiting studies on the euro area and the Austrian business cycle.
Author :
Publisher :
Page : pages
File Size : 12,3 MB
Release : 2003
Category :
ISBN : 9789289468312
This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non-parametric dating methodology, allows to assess the uncertainty of the estimated turning points due to filtering and can be used to construct indices of business cycle diffusion, aiming at assessing how spread are cyclical movements throughout the economy. Its adaptation to the notion of a deviation cycle and the imposition of depth constraints are also discussed. We illustrate the algorithm with reference to the issue of dating the Euro area business cycle and analyzing its characteristics, both from the classical and the growth cycle perspectives.
Author : Claudia PACELLA
Publisher :
Page : 0 pages
File Size : 47,6 MB
Release : 2021
Category :
ISBN :
Author :
Publisher :
Page : pages
File Size : 47,24 MB
Release : 2003
Category :
ISBN : 9789289468596
In this study a set of basic stylised facts characterising euro area macroeconomic fluctuations are computed with reference to two concepts of the business cycle (classical business cycles and deviation or growth cycles) from 1960 to 2002. These stylised facts, computed on the basis of alternative turning point dating methods and alternative reference measures of the cycle, are discussed and compared to the corresponding ones for the US business cycle. Overall, the study suggests that: i) significant variation of characteristics can be detected across cycles for both fluctuation concepts ; ii) classical business cycles are much less frequent than deviation cycles; iii) the phases of classical cycles tend to be asymmetric, both in terms of duration and amplitude, while regimes of deviation cycles appear to be relatively symmetric; iv) very similar regularities characterise euro area and US fluctuations, one main exception being that the US economy experienced more frequent classical cycles, with a somewhat shorter average duration; v) there is no clear evidence that the duration or amplitude of phases has gradually declined over time, apart from US classical cycle recessions.
Author : Marcelle Chauvet
Publisher : DIANE Publishing
Page : 12 pages
File Size : 39,76 MB
Release : 2009-05
Category : Business & Economics
ISBN : 1437900453
The globalization of markets has sparked a worldwide interest in using economic indicators to analyze cyclical fluctuations. Governments and the private sector could benefit from internat. indicators that serve as a warning system to detect recessions in major economic partners and in industrialized countries as whole. This article constructs just such a warning system. The authors construct business cycle indicators for G7 countries and for an aggregate measure of output by 29 member countries of the OECD. The model yields probabilities of the current bus. cycle phase for each G7 country and for the aggregate OECD and G7 output measures and reveals a common cycle underlying the OECD countries that characterizes an internat. bus. cycle.
Author : Carlo Altavilla
Publisher :
Page : 0 pages
File Size : 24,40 MB
Release : 2004
Category :
ISBN :
The article analyses alternative approaches for dating the business cycles of a set of European monetary union (EMU) member states. First, the framework for analysing cyclical behaviour in economic activity is presented. Second, the dating algorithm is applied to both the classical cycle and the growth cycle in order to recover stylized facts of the business cycle in Europe. Third, the article utilizes different econometric techniques to evaluate the synchronicity of national cycles and the euro area aggregate cycle, and compare the results with that of the USA. A convergence analysis is also employed. Finally, a multivariate extension of the Hamilton-Markov switching model is constructed to analyse the euro area business cycle. The results suggest that, although during the main recessionary periods the euro area economies shared a similar output dynamic, some differences still remain in the size and timing of the business cycle features. The results also suggest that adhesion to the new currency area is likely to lead to stronger synchronization of EMU members' business cycles.