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European Business Cycles: New Indices and Their Synchronicity

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Author Info
Michael Dueker () (Federal Reserve Bank of St. Louis, P.O. Box 442, St. Louis, MO 63166.)
Katrin Wesche () (Institute for International Economics, University of Bonn, LennÈstrasse 37, Bonn D-53113, Germany.)

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Abstract

This article presents a new business cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business cycle correlation, and simple aggregation to arrive at a measure of a European business cycle. The data augmentation implied by Gibbs sampling generates posterior distributions for a latent coincident business cycle index. Subsample correlations between an aggregated "Europe" index and the national business cycle indices from France, Germany, and Italy are consistent with the claim that the European economies are becoming more harmonized. Copyright 2003, Oxford University Press.

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Publisher Info
Article provided by Oxford University Press in its journal Economic Inquiry.

Volume (Year): 41 (2003)
Issue (Month): 1 (January)
Pages: 116-131
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Handle: RePEc:oup:ecinqu:v:41:y:2003:i:1:p:116-131

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  1. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics. [Downloadable!]
  2. U. Bergman, 2008. "Finnish and Swedish business cycles in a global context," International Economics and Economic Policy, Springer, vol. 5(1), pages 49-69, July. [Downloadable!] (restricted)
  3. George Monokroussos, 2006. "Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy," Discussion Papers 06-02, University at Albany, SUNY, Department of Economics. [Downloadable!]
  4. George Monokroussos, 2006. "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006 390, Society for Computational Economics. [Downloadable!]
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This page was last updated on 2009-12-15.

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