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The Austrian Business Cycle in the European Context
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132 9 .5 Comparing the results with the study by Forni - Hallin - Lippi - Reichlin (2000) The study by Forni et al. (2000) is similar to the present one in that both use a dynamic factor model approach in order to identify the business cycle. The authors use a panel of 10 euro area coun- tries, each represented by 21 macro-economic series like GDP, in- vestment, consumption, unemployment, share prices, various monetary aggregates and price indicators, starting in 1986 and ending in 1999. Out of this data set they extracted three common factors in order to explain at least 50 percent of the total variance of the data set. As all financial and monetary variables contrib- uted only very little to the explanation of total variance, the au- thors excluded them as a first step from their further analysis. They found that the common component is strongly reflected by GDP, labour market variables and incoming orders of euro area core countries (including Austria). Forni et al. (2000) found that German GDP is not leading the euro area business cycle, represented by the common component in- cluded in euro area GDP. This result is quite in line with our findings. Apart from the just HP-filtered series in our study, this result is robust across all filtering methods and approaches to identify the cycle according the highest cross-correlation criteria, as can be seen in Tables A 1 a to c and Tables A 7 a to c. As the authors use a very large data set, they added a lot of vari- ance to the data set. Therefore it is clear that the common com- ponent included in the Austrian GDP explains not as much (44 percent) of the total variance of the data set as in our study (83 percent). According to their study, Austria is less influenced by the euro area business cycle than most other countries (like France, Germany, Belgium, Finland, Spain and Italy) but more than the Netherlands. Probably, this can be explained by stronger eco- nomic policy reactions in Austria in the past. Nevertheless, the Aus- trian business cycle is found to be coincident with the euro area cycle, like with most of the core countries.
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The Austrian Business Cycle in the European Context
Forschungsergebnisse der Wirtschaftsuniversitat Wien
Titel
The Austrian Business Cycle in the European Context
Autor
Marcus Scheiblecker
Verlag
PETER LANG - lnternationaler Verlag der Wissenschaften
Ort
Frankfurt
Datum
2008
Sprache
englisch
Lizenz
CC BY 4.0
ISBN
978-3-631-75458-0
Abmessungen
14.8 x 21.0 cm
Seiten
236
Schlagwörter
Economy, Wirtschaft, WIFO, Vienna
Kategorien
International
Recht und Politik

Inhaltsverzeichnis

  1. Zusammenfassung V
  2. Abstract IX
  3. List of figures and tables XV
  4. List of abbreviations XVII
  5. List of variables XIX
  6. 1. Research motivation and overview 1
  7. 2. The data 7
  8. 3. Methods of extracting business cycle characteristics 13
    1. 3. 1 Defining the business cycle 13
      1. 3. 1 . 1 The classical business cycle definition 13
      2. 3.1.2 The deviation cycle definition 15
    2. 3.2 Isolation of business cycle frequencies 16
      1. 3.2. l Outliers 18
      2. 3.2.2 Calendar effects 20
      3. 3.2.3 Seasonal variations 21
      4. 3.2.4 The trend 23
  9. 4. Identifying the business cycle 41
    1. 4.1 Construction of composite economic indices 42
      1. 4. l . l The empirical NBER approach 42
      2. 4.1 .2 Index models 44
    2. 4.2 Univariate determination of the business cycle 52
  10. 5. Analysing cyclical comovements
    1. 5. 1 Time domain statistics for analysing comovements 55
    2. 5.2 Frequency domain statistics for analysing comovements 56
      1. 5.2.1 Coherence 57
      2. 5.2.2 Phase spectra and mean delay 58
      3. 5.2.3 Dynamic correlation 58
      4. 5.2.4 Cohesion 59
  11. 6. Dating the business cycle 61
    1. 6.1 The expert approaches 63
    2. 6.2 The Bry-Boschan routine 65
    3. 6.3 Hidden Markovian-switching processes 67
    4. 6.4 Threshold autoregressive models 69
  12. 7. Analysis of turning points 71
    1. 7.1 Mean and average leads and lags 71
    2. 7.2 Contingency tab/es for turning points 72
    3. 7.3 The intrinsic lead and lag classification of dynamic factor models 74
    4. 7.4 Concordance indicator 74
    5. 7.5 Standard deviation of the cycle 75
    6. 7.6 Mean absolute deviation 76
    7. 7.7 Triangle approximation 76
  13. 8. Results 79
    1. 8.1 Isolation of business cycle frequencies 79
      1. 8.1.1 First-order differences 79
      2. 8.1.2 The HP filter 80
      3. 8.1.3 The BK filter 80
    2. 8.2 Determination of the reference business cycle 85
      1. 8.2.1 Ad-hoc selection of the business cycle reference series 86
      2. 8.2.2 Determination of the business cycle by a dynamic factor model approach 97
    3. 8.3 Dating the business cycle 104
      1. 8.3.1 Dating the business cycle in the ad-hoc selection framework 104
      2. 8.3.2 Dating the business cycle in the dynamic factor model framework 115
  14. 9. Comparing results with earlier studies on the Austrian business cycle 125
    1. 9.1 Comparing the results with the study by Altissimo et al. (2001) 126
    2. 9.2 Comparing the results with the study by Monch -Uhlig (2004) 128
    3. 9.3 Comparing the results with the study by Cheung -Westermann (1999) 130
    4. 9.4 Comparing the results with the study by Brandner -Neusser (1992) 131
    5. 9.5 Comparing the results with the study by Forni - Hallin -Lippi -Reich/in (2000) 132
    6. 9.6 Comparing the results with the study by Breitung -Eickmeier (2005) 134
    7. 9.7 Comparing the results with the study by Artis - Marcellino - Proietti (2004) 134
    8. 9.8 Comparing the results with the study by Vijselaar -Albers (2001) 140
    9. 9.9 Comparing the results with the study by Artis - Zhang (1999) 142
    10. 9.10 Comparing the results with the study by Dickerson -Gibson -Tsakalotos (1998) 142
    11. 9.11 Comparing the results with the study by Artis - Krolzig - Toro (2004) 143
    12. 9.12 Comparing the results with the dating calendar of the CEPR 146
    13. 9.13 Comparing the results with the study by Breuss ( 1984) 151
    14. 9.14 Comparing the results with the study by Hahn - Walterskirchen ( 1992) 153
    15. 9.15 Comparison of the results of different dating procedures 154
    16. 9 .15.1 Turning point dates of the Austrian business cycle 155
    17. 9 .15.2 Turning point dates of the euro area business cycle 156
  15. 10. Concludlng remarks 161
  16. References 169
  17. Annex 177
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