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Detecting turning points with the Bry-Boschan procedure seems to
be an arbitrary procedure in the case of remaining high-
frequency components. Therefore, the results based on BK-filtered
data are most convincing, and some of them are mirrored in HP-
filtered data. This is especially the case for German gross value
added (without agriculture and forestry). Focussing on these re-
sults, the most important time series show the same number of cy-
cles as the reference series, if we discard the last turning point of
the reference series which is not reflected in other series. This rein-
forces the perception of a common business cycle driving the
largest part of economic time series. Thus, seven cycles have been
detected in the Austrian reference series, with a length of ap-
proximately 15 to 16 quarters. Phase lengths are reported to be
symmetric. Mean and average distances of turning points suggest
for the euro area business cycle anything between a small lead
and coincident behaviour with respect to the Austrian cycle. The
German business cycle, represented by business cycle variations
contained in its gross value added (excluding agriculture and for-
estry), has been confirmed as leading by half a quarter according
to mean and median distances. Industrial production of Germany
shows the longest lead by one quarter, whereas Austrian industrial
production leads by only half a quarter. Further robust results are a
lead of the Austrian construction industry and a lag of Austrian fi-
nancial intermediation, real estate, renting and business services.
8.3.2 Dating the business cycle in the dynamic factor
model framework
Results are conveyed by the dates of the turning points in Ta-
ble A 8. There, the dates are calculated by the Bry-Boschan rou-
tine, using the same settings and restrictions concerning phase,
cycle length and the length of the Bartlett smoothing window as
for the just cleaned series. For first-order differences, dates of turn-
ing points are the same for these two approaches till the first quar-
ter 1980. However, the subsequent cycle is dated differently.
The Austrian Business Cycle in the European Context
Forschungsergebnisse der Wirtschaftsuniversitat Wien
- Title
- The Austrian Business Cycle in the European Context
- Author
- Marcus Scheiblecker
- Publisher
- PETER LANG - lnternationaler Verlag der Wissenschaften
- Location
- Frankfurt
- Date
- 2008
- Language
- English
- License
- CC BY 4.0
- ISBN
- 978-3-631-75458-0
- Size
- 14.8 x 21.0 cm
- Pages
- 236
- Keywords
- Economy, Wirtschaft, WIFO, Vienna
- Categories
- International
- Recht und Politik
Table of contents
- 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