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9 .6 Comparing the results with the study by Breitung -
Eickmeier (2005)
A further application of a dynamic factor model for extracting the
business cycle of the European Monetary Union members (and
several CEE countries) is the study conducted by Breitung - Eick-
meier (2005). They processed a data set of 208 time series sepa-
rated by blocks comprising the core EMU countries (Austria, Bel-
gium, France, Germany, Italy, The Netherlands and Spain), the re-
maining EMU countries (Finland, Greece, Ireland, Luxembourg and
Portugal) and eight CEECs (Czech Republic, Estonia, Hungary,
Lithuania, Latvia, Poland, Slovenia and the Slovak Republic), as
well as some global variables. This sample covers only ten years
ranging from the first quarter of 1993 till the end of 2003. Non-
stationary variables were transformed into first-order differences.
Contrary to our approach, the authors applied a static factor
component analysis and extracted 3 factors in order to capture
the business cycle which represented 32 percent of the total varia-
tion of the data set.
Similar to the study by Forni et al. (2000), these three factors were
able to explain 60 percent of the variation of German GDP and
around 40 percent of Austrian GDP. As the aim of the study was to
explore how strong these common factors were reflected by the
CEEC's GDP, no lead and lag structure or a dating calendar was
given.
9.7 Comparing the results with the study by Artis -
Marcellino - Proietti (2004)
Artis - Marcellino - Proietti (2004) analysed the classical as well as
the deviation business cycle of the countries that acceded to the
EU in 2004 (excluding Estonia and Lithuania), 10 "old" EU Member
States (including Austria) and the euro area as a whole. They used
monthly series of industrial production starting 1980 at the earliest
and ending in 2002 which they cleared for seasonal variations by
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
- Zusammenfassung V
- Abstract IX
- List of figures and tables XV
- List of abbreviations XVII
- List of variables XIX
- 1. Research motivation and overview 1
- 2. The data 7
- 3. Methods of extracting business cycle characteristics 13
- 4. Identifying the business cycle 41
- 5. Analysing cyclical comovements
- 6. Dating the business cycle 61
- 7. Analysis of turning points 71
- 8. Results 79
- 9. Comparing results with earlier studies on the Austrian business cycle 125
- 9.1 Comparing the results with the study by Altissimo et al. (2001) 126
- 9.2 Comparing the results with the study by Monch -Uhlig (2004) 128
- 9.3 Comparing the results with the study by Cheung -Westermann (1999) 130
- 9.4 Comparing the results with the study by Brandner -Neusser (1992) 131
- 9.5 Comparing the results with the study by Forni - Hallin -Lippi -Reich/in (2000) 132
- 9.6 Comparing the results with the study by Breitung -Eickmeier (2005) 134
- 9.7 Comparing the results with the study by Artis - Marcellino - Proietti (2004) 134
- 9.8 Comparing the results with the study by Vijselaar -Albers (2001) 140
- 9.9 Comparing the results with the study by Artis - Zhang (1999) 142
- 9.10 Comparing the results with the study by Dickerson -Gibson -Tsakalotos (1998) 142
- 9.11 Comparing the results with the study by Artis - Krolzig - Toro (2004) 143
- 9.12 Comparing the results with the dating calendar of the CEPR 146
- 9.13 Comparing the results with the study by Breuss ( 1984) 151
- 9.14 Comparing the results with the study by Hahn - Walterskirchen ( 1992) 153
- 9.15 Comparison of the results of different dating procedures 154
- 9 .15.1 Turning point dates of the Austrian business cycle 155
- 9 .15.2 Turning point dates of the euro area business cycle 156
- 10. Concludlng remarks 161
- References 169
- Annex 177