The business cycle of European countries. Bayesian clustering of country-individual IP growth series
AbstractIn the present paper, time series on industrial production growth of individual countries are used to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a "European" and an "overseas" cycle? (iv) Which countries follow the "overseas" rather than the "European" cycle? To obtain the inference, I use an autoregressive panel data framework whereby the groups of co-moving countries are estimated adaptively along with the model parameters using Bayesian simulation methods. JEL classification: C15, C33, E32
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Bibliographic InfoPaper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 83.
Length: 37 pages
Date of creation: 14 Jul 2003
Date of revision:
Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-EEC-2003-10-20 (European Economics)
- NEP-MAC-2003-10-20 (Macroeconomics)
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