Page - 144 - in The Austrian Business Cycle in the European Context

144 ing in a recession is 0.61 over the whole sample period, which is somewhat smaller than the cross-correlation of our filtered series. The authors reported that for Austria the average growth during a recession is -0.5 percent (compared with the previous month) and 0.11 percent for expansions. This would imply a fall in industrial production at an annualised growth rate of -5.8 percent during recessions and a rise of 1.3 percent in expansions. For Germany, an average growth rate during recessions of -0.44 percent is re- ported, which would imply that these fluctuations are lower than in Austria. The asymmetry of growth rates for expansions and reces- sions can be assigned to the authors' classical definition of the business cycle. As a consequence expansions also include trend growth biasing their growth rates downwards. Furthermore, the average time of being in a recession is rather short, with 2 quarters (7 .5 months). In order to arrive at explicit dates for the European business cycle, a multivariate Markov-switching model was set up considering in- dustrial production and GDP, based on the same set of individual countries. For both variables the authors found only three cycles over the whole time span. Again, this is a consequence of the au- thors' resorting to the classical definition of the business cycle. The first cycle they found in GDP series starts with a peak in the first quarter of 1974 and has a trough in the second quarter of 1975. As this cycle is outside our time range, it can not be compared with the present study. The next peak is dated at 1 Q 1980 and is re- flected by entire HP- and BK-filtered series: only our dynamic factor model approach dates it one quarter earlier for BK-filtered series. The following trough for the European business cycle, as reported by Artis - Krolzig - Toro (2004) is in 4Q 1982. This time, all our meth- ods - again apart from the ones based on first-order differences - date this turning point for exactly the same quarter. The next turn- ing point found by the authors is a peak in 2Q 1992. Again, our fist- order differences give a false signal, whereas the just HP- and BK- filtered series date this peak one quarter earlier in 1 Q 1992, and the same goes for the dynamic factor model results based on HP-