Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach
AbstractThis paper provides a descriptive analysis of the business cycles of the European Union countries and of the two main industrialised countries outside the Union, the United States and Japan. We use the spectral analysis to identify three main features of the business cycles: ��1- The duration of the business cycle. ��2- The degree of correlation, in the frequency domain, of the business cycles. ��3- The identification of leading and lagging countries with respect to the business cycles of a reference series. We conclude that the United States, Italy and Greece have the shortest cycles, with an average duration around eight years. Japan, Spain and Austria have the longest cycles, lasting more than ten years. All the other countries lie in between with an average duration ranging from eight to nine years. By comparing the business cycles of the various countries with the Euro Area business cycle we conclude that Sweden, Finland, Great Britain and the United States lead the Euro Area by more than one year. The Netherlands, Italy, Japan and Spain are also leading countries but with a lead of no more than one year. There is evidence of counter-cyclical behaviour for Denmark in a sub-period of the sample and no reliable conclusions can be stated for Greece and Ireland. The remaining countries exhibit a high degree of correlation with the Euro Area business cycles and with a lag of no more than three-quarters, with the exception of Austria.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200205.
Date of creation: 2002
Date of revision:
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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.:
- 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.
- Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
- Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A measure of co-movement for economic variables: theory and empirics," ULB Institutional Repository 2013/10139, ULB -- Universite Libre de Bruxelles.
- Timothy Cogley & James M. Nason, 1991. "Effects of the Hodrick-Prescott filter on integrated time series," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Diebold & Rudebusch, .
"Measuring Business Cycle: A Modern Perspective,"
_061, University of Pennsylvania.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary, University of London, School of Economics and Finance.
- Raul Filipe C. Guerreiro & Paulo C. Rodrigues & Jorge M. L. G. Andraz, 2011. "A comparison of the cyclical evolution of various geographic areas of reference with Portugal," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEE-NTDD).
If references are entirely missing, you can add them using this form.