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On the Change in the Austrian Business Cycle

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  • Sandra Bilek-Steindl

    (WIFO)

Abstract

This paper analyses the change in the Austrian business cycle over time using data back to 1954. The change in the cyclical pattern is captured using a nonlinear univariate structural time series model where the time of the break point is estimated. Results for GDP series suggest a break in the frequency of the cycle and in the parameter covering the variance of the disturbances of the cycle taking place in the mid 1970s and early 1980s, respectively. Using data for GDP components a break in these variables is found, too, but the timing of the break differs among the series. In a further step the paper assesses the relevance of these findings for forecasting purposes. It is shown that during certain periods the out-of-sample forecasting performance of GDP does improve when a break in one of the two parameters is explicitly modelled.

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Bibliographic Info

Paper provided by WIFO in its series WIFO Working Papers with number 384.

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Length: 21 pages
Date of creation: 12 Jan 2011
Date of revision:
Handle: RePEc:wfo:wpaper:y:2011:i:384

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Keywords: Structural time series models; Business cycles; Forecasting performance;

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References

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  1. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
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  3. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February.
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  11. Thomas Dalsgaard & Jørgen Elmeskov & Cyn-Young Park, 2002. "Ongoing Changes in the Business Cycle – Evidence and Causes," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
  12. Franz R. Hahn, 2008. "A Primer on Financial System Meltdown. The Economists' View," WIFO Working Papers 333, WIFO.
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  14. Buch, Claudia M. & Doepke, Joerg & Pierdzioch, Christian, 2005. "Financial openness and business cycle volatility," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 744-765, September.
  15. Nigel Pain, 1996. "Continental Drift: European Integration and the Location of UK Foreign Direct Investment," NIESR Discussion Papers 230, National Institute of Economic and Social Research.
  16. Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November.
  17. Marco Malgarini, 2007. "Inventories and Business Cycle Volatility: An Analysis Based on ISAE Survey Data," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(2), pages 175-197.
  18. Irvine, F. Owen & Schuh, Scott, 2005. "Inventory investment and output volatility," International Journal of Production Economics, Elsevier, vol. 93(1), pages 75-86, January.
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Cited by:
  1. Susanne Bärenthaler-Sieber & Sandra Bilek-Steindl & Christian Glocker, 2013. "Trade Synchronisation During Major Economic Crises," WIFO Working Papers 449, WIFO.

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