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Do European business cycles look like one?

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  • Camacho, Maximo
  • Perez-Quiros, Gabriel
  • Saiz, Lorena

Abstract

This paper provides a comprehensive framework to analyze business cycle features other than synchronization. We use stationary bootstrap and model-based clustering methods to analyze similarities and differences among the European cycles. We find evidence that the length, deep and shape of cycles differ across European countries and that these differences are not decreasing over time. Finally, even though we find some correlation between business cycle synchronization and characteristics, there is important information in the characteristics that is not captured by the synchronization measures.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 7 (July)
Pages: 2165-2190

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Handle: RePEc:eee:dyncon:v:32:y:2008:i:7:p:2165-2190

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  3. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
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  5. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  6. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006. "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
  7. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
  8. Hans-Martin Krolzig & Juan Toro, 2002. "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces E2002/20, Centro de Estudios Andaluces.
  9. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 537-565, 09.
  10. Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
  11. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
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  15. Maximo Camacho & Gabriel Perez-Quiros, 2002. "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
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  18. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de Espa�a Working Papers 0518, Banco de Espa�a.
  19. Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
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  22. Fraley C. & Raftery A.E., 2002. "Model-Based Clustering, Discriminant Analysis, and Density Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 611-631, June.
  23. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2005. "Business Cycles in the New EU Member Countries and their Conformity with the Euro Area," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(1), pages 7-41.
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