Page - 133 - in The Austrian Business Cycle in the European Context

133 The limited length of the data set used by Forni et al. (2000) led to the detection of only a few turning points. The authors did not ap- ply a mechanical identification procedure for turning points, but dated the cycle rather by visual inspection. They found an upper turning point (start of a contraction) in the first quarter of 1990. Compared with our results for the dynamic factor model ap- proach, this is only weakly reflected in our BK-filtered data. For this cycle, the euro area shows a lead of 5 quarters vis-a-vis the Aus- trian peak, dated in the fourth quarter of 1991 . Our date for the start of the euro area contraction would thus be one quarter ear- lier than in Forni et al. (2000) in the fourth quarter of 1989. In the case of our just filtered series, both the HP and the BK filter dated a peak at exactly the same quarter in 1990. The following lower turning point in the study by Forni et al. (2000) is found for the first quarter of 1994. Again, we found a correspond- ing turning point in the dynamic factor model case only for BK- filtered data, but dated two quarters earlier in 3Q 1993. Interest- ingly, again only the HP- and BK-filtered series show a correspond- ing pattern. The HP-filtered series shows a trough in 3Q 1993, and the BK-filtered one in 4Q 1993. The second cycle discovered by Forni et al. (2000) is of rather small amplitude and starts with a peak in 1Q1995. This turning point is confirmed by our study across nearly all filtering methods and ap- proaches to determine the business cycle. The BK-filtered data show for both approaches exactly the same date for this peak. The authors date the end of this cycle by the second quarter of 1996. Our HP- and BK-filtered data date it three quarters later, first- order differenced series just filtered as well as for the dynamic fac- tor model locate this turning point in the first quarter of 1997.