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Is There a Common European Business Cycle?: New Insights from a Frequency Domain Analysis

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Author Info
Jörg Breitung
Bertrand Candelon

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Abstract

To assess the synchronization of business cycles in Europe we extract the cyclical component of industrial production in five European countries using the filter of Baxter and King (1999). The hypothesis of a joint business cycle is tested by using the frequency domain common cycle test suggested by Breitung and Candelon (2000). The common cycle hypothesis is clearly rejected for U.K. data whereas some weak evidence for a joint cyclical pattern is found for France, The Netherlands, Austria and Germany.

Um die Synchronität der Konjunkturzyklen in Europa zu bewerten, wird die Zykluskomponente der Industrieproduktion in fünf europäischen Ländern identifiziert, indem der Baxter-King-Filter (1999) angewendet wird. Die Hypothese eines gemeinsamen Konjunkturzyklus wird durch einen Test auf einen gemeinsamen Zyklus im Frequenzbereich nach Breitung und Candelon (2000) überprüft. Ein gemeinsamer Konjunkturzyklus muss demnach für Großbritannien klar zurückgewiesen werden, wohingegen einige schwache Anzeichen für ein gemeinsames Konjunkturmuster für Frankreich, die Niederlande, Österreich und Deutschland gefunden werden konnten.

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Publisher Info
Article provided by DIW Berlin, German Institute for Economic Research in its journal Vierteljahrshefte zur Wirtschaftsforschung.

Volume (Year): 70 (2001)
Issue (Month): 3 ()
Pages: 331-338
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Handle: RePEc:diw:diwvjh:70-30-3

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Krolzig, Hans-Martin, 2001. "Business cycle measurement in the presence of structural change: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 349-368. [Downloadable!] (restricted)
  2. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
    Other versions:
  3. Helg, Rodolfo & Manasse, Paolo & Monacelli, Tommaso & Rovelli, Riccardo, 1995. "How much (a)symmetry in Europe? Evidence from industrial sectors," European Economic Review, Elsevier, vol. 39(5), pages 1017-1041, May. [Downloadable!] (restricted)
  4. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
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  5. Andrew J. Filardo, 1994. "International co-movements of business cycles," Research Working Paper 94-11, Federal Reserve Bank of Kansas City.
  6. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  7. Lafrance, Robert & St-Amant, Pierre, 1999. "Optimal Currency Areas: A Review of the Recent Literature," Working Papers 99-16, Bank of Canada. [Downloadable!]
  8. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Fritz Breuss, 2002. "Was ECB's monetary policy optimal?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(3), pages 298-319, September. [Downloadable!] (restricted)
  2. Leon, Costas, 2006. "The European and the Greek Business Cycles: Are they synchronized?," MPRA Paper 1312, University Library of Munich, Germany. [Downloadable!]
  3. Fritz Breuss, 0002. "Was ECB's Monetary Policy Optimal?," WIFO Working Papers 173, WIFO. [Downloadable!]
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