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9. 9 Comparing the results with the study by Artis - Zhang
(1999)
Artis - Zhang ( 1999) studied the synchronisation of business cycles
on the basis of OECD business cycle indicators available on a
monthly basis. They used a sample of 19 countries. covering all
euro area members. the USA and some other OECD countries.
and ranging from 196 l to 1995. The series of Germany and the US
were used as benchmark reference cycles.
The authors calculated cross-correlations separately for the pre-
Exchange Rate Mechanism period of the European Monetary Sys-
tem (1961-1979) and the post-ERM period (after April 1979). They
found that next to the Netherlands the Austrian economy showed
the strongest synchronised cross-correlation with the German busi-
ness cycle. Their result is robust across both periods observed.
Compared with our cross-correlation results. their results for the
post-ERM period are most similar to those reflected by our BK-
filtered values for gross value added without agriculture and for-
estry, which act as references in our study. The authors obtained a
simultaneous cross-correlation of 0.78 for that period. which is
rather close to our BK-filtered data (0.72). If we control for idiosyn-
cratic cycles. as done with our dynamic factor model approach.
the values surpass this cross-correlation substantially (apart from
the first-order-differenced series).
9
.10 Comparf ng the results with the study by Dickerson -
Gibson - Tsakalotos (1998)
A further study about the closeness of correspondence of the
business cycle within Europe is the one by Dickerson - Gibson -
Tsakalotos ( 1998). The authors analysed HP-filtered GDP series of
euro area countries as well as some others. Their data set starts in
1960 and ends in 1993 and covers GDP as well as some demand
side aggregates like consumption and investment.
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