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Sectoral and Industrial Business Cycles

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  • Everts, Martin

Abstract

This article calculates the sectoral and industrial business cycles by means of the band-pass filters by Baxter and King (1999) and Christiano and Fitzgerald (2003), to subsequently analyze the correlations between the sectors and industries and the overall economy. It can be shown that the correlations between the business cycles of the sectors and industries and the overall economy differ strongly. The agriculture sector and the industries mining and quarrying, electricity and education for example exhibit almost no correlation with the overall economy; The wholesale and retail as well as the transport industry on the other hand have a high correlation. By means of an analysis of the leading and lagging correlations it can be shown that the wholesale and retail industry leads the overall economy by two quarters. Thus, the wholesale and retail industry can be used as an indicator for the development of the overall economy.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1176.

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Date of creation: Jun 2006
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Handle: RePEc:pra:mprapa:1176

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Related research

Keywords: Business Cycle; Correlation; Band-Pass Filter; Sectoral Cycles; Industrial Cycles; Cross-Country Correlation; Monetary Policy; Forecasting;

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  1. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
  2. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, May.
  3. Artis, Michael J & Zhang, Wenda, 1995. "International Business Cycles and the ERM: Is there a European Business Cycle?," CEPR Discussion Papers 1191, C.E.P.R. Discussion Papers.
  4. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  5. Christodoulakis, Nicos & Dimelis, Sophia P & Kollintzas, Tryphon, 1995. "Comparisons of Business Cycles in the EC: Idiosyncracies and Regularities," Economica, London School of Economics and Political Science, vol. 62(245), pages 1-27, February.
  6. David K. Backus & Patrick J. Kehoe, 1991. "International evidence on the historical properties of business cycles," Staff Report 145, Federal Reserve Bank of Minneapolis.
  7. Wynne, Mark A & Koo, Jahyeong, 2000. "Business Cycles under Monetary Union: A Comparison of the EU and US," Economica, London School of Economics and Political Science, vol. 67(267), pages 347-74, August.
  8. Bergman, U. Michael & Bordo, Michael D. & Jonung, Lars, 1998. "Historical Evidence on Business Cycles: The International Experience," Working Paper Series in Economics and Finance 255, Stockholm School of Economics.
  9. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  10. Angeloni, Ignazio & Dedola, Luca, 1999. "From the ERM to the euro: new evidence on economic and policy convergence among EU countries," Working Paper Series 0004, European Central Bank.
  11. James H. Stock, 2004. "Structural Stability and Models of the Business Cycle," De Economist, Springer, vol. 152(2), pages 197-209, 06.
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