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A Non-Stationary Perspective on the Euro Area Business Cycle

Author

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  • Louise Holm

Abstract

Business cycles, the ups and downs observed somewhat simultaneously in numerous macroeconomic variables in an economy and often measured using real GDP, are important and, despite much economic research, still incompletely understood. A method for ex-post dating of the business cycle in the Euro area is proposed. The business cycle is defined as the common dynamic of some macroeconomic time series. A non-stationary, non-parametric setup is used for business cycle dating. The recession periods found closely match those defined by the Centre for Economic Policy Research (CEPR) Dating Committee.

Suggested Citation

  • Louise Holm, 2011. "A Non-Stationary Perspective on the Euro Area Business Cycle," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 57(3), pages 177-200.
    • Handle: RePEc:aeq:aeqaeq:v57_y2011_i3_q3_p177-200
    DOI: 10.3790/aeq.57.3.177
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    Cited by:

    1. Louise Holm, 2016. "The Swedish business cycle, 1969-2013," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-22.

    More about this item

    Keywords

    Business cycle; non-parametric smoothing; non-stationarity;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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