Page - 90 - in The Austrian Business Cycle in the European Context

90 forestry), for instance, exceeds 0.95 for all methods, being lowest with first-order differences (0.95) and highest with BK-filtered data (0.99). Also GDP, which is very similarly defined as the reference se- ries, shows a high coincident correlation, again with the lowest value of 0.77 in the first-order- difference case and the highest with BK-filtered data (0.87). Gross value added as well as GDP show a coincident cyclical pattern in all cases (indicated by tmax = OJ, which leads to the conclusion that the two series either exhibit the same cyclical pattern, or that the difference in definitions is not big enough to shift cross-correlations. Considering the results for the first-order differences and the HP filter, the largest part of the series is coincident with the Austrian reference series. This also holds for the production aggregates, euro area GDP, whether including Germany and Austria (eurGDP) or not (eurGDPex), and for German GDP and gross value added (with or without agriculture and net taxes on production). Only gerGHI, the German service sector covering trade, hotels, trans- port and telecommunication, and gerJK comprising German fi- nancial intermediation services and real estate, renting and busi- ness activities are lagging the Austrian cycle. But it should be noted that these cross-correlations are quite low and therefore their lagging property should not be over-emphasised. Whereas the results of the HP and the first-order difference filter are quite similar, the BK filter gives a different picture. While euro area GDP including Austria and Germany is coincident with the Austrian cycle, the series excluding both countries shows a lead of one quarter. Obviously, the large weight of the German and Austrian economies taken together seems to bias the result in the direction of a comovement. Therefore, the focus should be only on the euro area GDP without both countries. Looking at the cross-correlation of this series, it is highest at a lead of one quarter (tmax = 1) but the coincident cross-correlation is at 0.63, which is only marginally lower than the one with a one-quarter lead of 0.65. Thus, over the whole time span, it cannot be firmly decided whether the euro area cycle leads the Austrian cycle or coincides with it.