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Do european business cycles look like one?

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Author Info
Máximo Camacho () (Universidad de Murcia)
Gabriel Pérez-Quirós () (Economic Bureau of the President)
Lorena Saiz () (Banco de España)

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Abstract

This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a robust methodology for dating and characterizing business cycles and their phases and adopt the model-based cluster analysis to test the existence of an unique cluster (a common cycle) against more than one. We find evidence against a common cycle. Finally, we find no clear relation between similarities in business cycle appearance and synchronization across countries.

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File URL: http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/05/Fic/dt0518e.pdf
File Format: application/pdf
File Function: First version, August 2005
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Publisher Info
Paper provided by Banco de España in its series Banco de España Working Papers with number 0518.

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Length: 43 pages
Date of creation: Aug 2005
Date of revision:
Handle: RePEc:bde:wpaper:0518

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Related research
Keywords: business cycle characteristics; economic integration; european union enlargement; stationary bootstrap; model based cluster analysis;

Other versions of this item:

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
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. 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. [Downloadable!]
    Other versions:
  2. Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183. [Downloadable!] (restricted)
  3. U. Michael Bergman, 2004. "How Similar Are European Business Cycles?," EPRU Working Paper Series 04-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2004. [Downloadable!]
  4. Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-77, July.
  5. Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004 16, Society for Computational Economics. [Downloadable!]
    Other versions:
  6. Croux, Christophe & Forni, Mario & Reichlin, Lucrezia, 1999. "A Measure of Comovement for Economic Variables: Theory and Empirics," CEPR Discussion Papers 2339, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Maximo Camacho & Gabriel Perez-Quiros, 2000. "This is what the US leading indicators lead," Working Paper Series 27, European Central Bank. [Downloadable!]
  8. Michael Dueker & Katrin Wesche, 2001. "European business cycles: new indices and analysis of their synchronicity," Working Papers 1999-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  9. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May. [Downloadable!] (restricted)
  10. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
    Other versions:
  11. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  12. Margaret M. McConnell & Gabriel Perez-Quiros, 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. [Downloadable!] (restricted)
    Other versions:
  13. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2004. "Characterizing the Business Cycle for Accession Countries," CEPR Discussion Papers 4457, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  14. 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. [Downloadable!] (restricted)
  15. 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. [Downloadable!] (restricted)
  16. Anna Maria Agresti & Benoit Mojon, 2001. "Some stylised facts on the Euro area business cycle," Working Paper Series 095, European Central Bank. [Downloadable!]
  17. Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise, 1995. "Classical Business Cycles for G7 and European Countries," CEPR Discussion Papers 1137, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  18. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
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  19. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics. [Downloadable!]
Full references

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. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]
  2. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  3. Michael Artis & Toshihiro Okubo, 2008. "Globalization and Business Cycle Transmission," Discussion Paper Series 232, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    Other versions:
  4. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memoranda 019, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  5. Jesús Rodríguez López & José Luis Torres Chacón, 2006. "Following the yellow brick road? The Euro, the Czech Republic, Hungary and Poland," Economic Working Papers at Centro de Estudios Andaluces E2006/02, Centro de Estudios Andaluces. [Downloadable!]
    Other versions:
  6. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  7. João Loureiro & Manuel M. F. Martins & Ana Paula Ribeiro, 2009. "Cape Verde: The Case for Euroization," FEP Working Papers 317, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  8. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
    Other versions:
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