Page - 126 - in The Austrian Business Cycle in the European Context

126 a summary of all dating calendars (see Table 5) of the different studies is presented. 9 .1 Comparing the results with the study by Altissimo et al. (2001) A rather new important study on the euro area business cycle is the one by Altissimo et al. (2001 J. They set up a dynamic factor model of 951 monthly time series starting from 1971 to the middle of 2001 in order to construct several business cycle indexes. The euro area business cycle is represented by the common compo- nent included in euro area GDP, derived by a linear interpolation of quarterly figures in order to get a monthly series. Due to data limitations, only series for the largest euro area countries like Ger- many, France, Italy, Spain, the Netherlands, Belgium, and - if available - for the euro area as a whole, were included. In a first step, the authors extracted business cycle frequencies out of the data set by employing a multivariate version of the band-pass fil- ter as proposed by Christiano - Fitzgerald (2003). Using this filtered series, they set up a dynamic factor model, whereby the first four factors ordered by their eigen values were extracted, explaining 55 percent of the total variation within the business cycle fre- quency band. Given the high number of series used and their dif- ferent origins, this 55 percent can be regarded as a relatively high proportion. The authors did not address the question of synchronisation of the cyclical variations within the euro area, but focused instead on leading and lagging properties of several groups of series, like in- dicators of labour markets, monetary, financial and industrial con- ditions. They found that 258 variables show a leading property, 404 a coincident and 289 a lagging behaviour. Looking at specific countries, only Belgium and the Netherlands were classified as leading the euro area business cycle, whereas Spain and Italy lag the cycle. Their finding that the German cycle is coincident with the euro area has been confirmed only by the cross-correlation