Page - 131 - in The Austrian Business Cycle in the European Context

131 9 .4 Comparing the results with the study by Brandner - Neusser (1992) Brandner - Neusser ( 1992) focused on the method of HP-filtering several macro-economic series of Austria, Germany and the US. They compared their results with other filtering methods for trend extraction, like first-order differences and exponential smoothing. Their study did not provide a dating calendar, but only cross- correlations are presented for a large set of series. Contrary to our study, Brandner - Neusser (1992) deduct the business cycle from quarterly GDP. Apart from the different vintages of time series in both studies, this could be a reason why cross-correlations calcu- lated by them are somewhat lower than in the present study. Whereas they found a cross-correlation of 0.61 for HP-filtered GDP of Austria and Germany, our study gives 0.65 for just HP-filtered GV Aex series. This result improves further to 0.72 if the BK filter is applied. Obviously, the frequencies above the business cycle range, included in HP-filtered series, seem to distort the true inter- ference of the business cycle of both countries. Concerning the leading or lagging properties of both countries' output, the authors found the highest cross-correlations for coinci- dent series. This is quite in line with the present study and this result seems to be robust across several filtering methods 117 and is largely confirmed when looking at common components only118• 117 It has to be mentioned that for BK-filtered data, the German GDP lags Austrian gross value added by one period, but this deviation does not correspond to the business cycle definition here which concentrates on gross value added only. 118 Only some results suggest a small lead of the Austrian cycle vis-a-vis the Ger- man. As Brandner - Neusser found that cross-correlations supporting also a small lead are not far away from their maximum for co-incident series, they favoured a leading property of Austria in their text version.