Seite - 143 - in The Austrian Business Cycle in the European Context

143 Based on the calculation of pair-wise cross-correlations of HP- filtered series, they conducted a cluster analysis which suggested that Belgium, France, Germany, the Netherlands, Austria, Portugal and Greece have corresponding business cycle fluctuations. For GDP, their study shows a synchronised cross-correlation between Austria and Germany of 0.7 4, which is somewhat above the 0.65 found for our only HP-filtered series. It is more in line with our results for BK-transformed data. 9 .11 Comparing the results with the study by Artis - Krolzig - Toro (2004) The study carried out by Artis -Krolzig - Toro (2004) is rather exten- sive and provides explicit dates of turning points for different EU countries. To this end, the authors used a panel of industrial pro- duction and GDP figures starting with the beginning of 1970 and ending 1996. The business cycle was identified by means of a ba- sic structure model based on first-order-differenced data, as a unit root was found in the series. Nevertheless, the authors concen- trated on the classical definition of the business cycle. In this model, there are two states of the economy incorporated. One is called "recession" and the other "expansion". Alternating between both states, with transition probabilities modelled by a Markovian- switching model, the economy is either in the strong-growth re- gime (expansion") or otherwise in a recession122• In order to cap- ture the comovements of the business cycle states between Euro- pean countries, Artis - Krolzig - Toro (2004) calculated a contin- gency table which shows the frequencies of two series being in the same state. In contrast to the vast majority of other studies, they found the highest comovement between France and Austria and Belgium and France. The simultaneous cross-correlation be- tween Austria and Germany of the smoothed probabilities of be- 122 For some countries, the authors modelled a third state in order to capture a structural break in the series.