Page - 127 - in The Austrian Business Cycle in the European Context

127 criterion of our study114• In our study too, the ad-hoc method as well as the dynamic-factor-model approach show their highest correlation at zero lag for the gerGVAex as well as for eurGDPex when compared with the reference series ( autG V Aex). But if one looks at our leading and lagging properties after dating the series by the Bry-Boschan algorithm, the picture is not so clear. Only for our band-pass-filtered series in the ad-hoc scenario, both the German as well as the euro area business cycle show approxi- mately the same lead (Table A 3 c) with respect to the Austrian cycle. This leads to the conclusion that both series are coincident with each other. In the dynamic factor model approach, the same can be observed only for first-order-differenced data (Ta- ble A 9 a), where both series show a lag vis-a-vis the reference se- ries. For HP- and BK-filtered data, the euro area business cycle leads the Austrian cycle, but is coincident with the German cycle (Table A 8 band c). For the euro area as a whole, Altissimo et al. (2001) found that in- dustrial production is pro-cyclical with regard to the euro area business cycle. This is in line with the results found here for the manufacturing sector of Austria and Germany, represented by the variables autCDE and gerCDE. The cross-correlations presented in Tables A 1 a to c show - especially in the case of HP-filtered data - a coincident behaviour to the reference series autGVAex, while using just first-order-differences yields a lag and for BK-filtered data some small lead. Also the phase and cycle lengths shown in Ta- bles A 4 a to c suggest that for all three filtering methods there ex- ists a very high degree of comovement with the reference series. As Altissimo et al. (2001) used a method quite similar to the dy- namic factor model approach in our study, it is more appropriate to compare their results with our dynamic factor model outcome. 11• As German GDP is included in the euro area with its heavy weight, this finding by Altissimo et al. (200 I) can be regarded as being somewhat biased towards a coincident behaviour between Germany and the euro area.