Page - 130 - in The Austrian Business Cycle in the European Context

130 9 .3 Comparing the results with the study by Cheung - Westermann (1999) Cheung - Westermann ( 1999) have studied the long- and short- run relations between the Austrian and the German monthly indus- trial production. The long-run relation was modelled as a co- integrated vector and the short-run dynamics as deviations from long-run comovements. The authors did not give a dating calendar from which a lead or lag relation could be deducted but instead interpret their esti- mated error-correction model for doing so. They found that Ger- man short-run variations (not only the ones in the business cycle frequency spectrum) lead the ones in Austria by up to two month. It is difficult to compare these findings with the ones presented here. First of all, some results of our study define the business cycle as a special range of frequencies and not only by non-trend components116; second, the use of monthly data does not make clear how a leading effect on a monthly basis should show up in quarterly data. If a monthly series leads the other one perfectly by one month and all turning points are located in the same respec- tive quarter, no lead on a quarterly basis emerges. But if all turning points of the leading monthly series are located in the last month of every quarter, this leading property can also be observed on a quarterly basis. Thus, our finding of no leading property of the German business cycle or the industrial production may well be compatible with the findings of Cheung - Westermann ( 1999). 116 Fenz - Schneider (2006) observed the comovement between Austrian and German GDP, too. Again, high- frequency variations were not filtered out hence it is difficult to compare it with the present business cycle study. Such high-frequency comovements can also be due to common events not related to the business cy- cle like weather conditions, etc.