Page - 141 - in The Austrian Business Cycle in the European Context

141 the sample into two parts, one covering the period from 1979 to 1986, the other from 1987 to 1996. For the whole sample, Vijselaar - Albers (2001) found that euro area individual countries' manufac- turing production shows a high synchronised comovement with the euro area as a whole. With regard to the size of coincident cross-correlations, Austria ranges third after France and the Neth- erlands. In the first period, Austria ranges second after France. The authors further examined whether time-shifting of the data yields higher cross-correlations. With regard to manufacturing pro- duction, Austria shows a one period lag vis-a-vis the euro area, while Germany leads it by one period. This result is consistent with ours only for just BK-filtered euro area GDP excluding Germany and Austria. Our results mainly show a lag of the German econ- omy to the euro area business cycle of one quarter, whereas total euro area GDP eurGDP (including the lagging German cycle) is coincident with the Austrian cycle. Better comparable with our results are the ones given by Vijselaar -Albers (2001) for GDP series instead of industrial production. Over the whole sample period, Austrian BK-filtered GDP shows the high- est simultaneous comovement with that of the euro area of all countries examined by the reference study. The comovement is especially strong in their second sub-sample covering the period between 1987 and 1996. Focussing on Austrian GDP over the whole sample period, no lead or lag can be observed, so that the Austrian business cycle shows a coincident behaviour with that of the euro area. This result is robust across both sub-samples. For the German business cycle, represented by BK-filtered GDP, the au- thors found again a lead of one quarter. The lag of one quarter in the first period has changed to a two-period lead in the second period. Again, this property is not supported by our findings irre- spective of the filtering method and whether we look at just fil- tered series or their common component.