Page - 40 - in The Austrian Business Cycle in the European Context

Table of contents

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