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The course of the great depression: a consistent business cycle dating approach

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  • Heinemeyer, Hans Christian

Abstract

This study dates business cycles in 10 European countries, the United States, and Japan between 1925 and 1936. The aim is to establish a consistent dating of the world economic crisis, which is a precondition for understanding the sharp economic decline in many countries during the interwar period. Three approaches were applied that are common in business cycle dating. First, a deskriptive analysis infers on recessions based on the two-consecutive quarters approach often associated with the US National Bureau of Economic Research. Second, the time series is decomposed into trend and cycle using the Hodrick-Prescott (1980) filter. The third approach is to use Markov-regime switching models, which was proposed by Hamilton (1989) for such purposes. The results of confirm that the Great Depression was a global phenomenon, not limited to the US or Germany. Business cycle comovement in the interwar period is at a level comparable to the post-WWII period. This finding points at the contribution of international business cycle integration to the course of the decline in single countries. --

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Bibliographic Info

Paper provided by Free University Berlin, School of Business & Economics in its series Discussion Papers with number 2007/14.

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Date of creation: 2007
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Handle: RePEc:zbw:fubsbe:200714

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  1. Peter Temin, 1998. "Causes of American business cycles: an essay in economic historiography," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, vol. 42(Jun), pages 37-64.
  2. U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998. "Historical evidence on business cycles: the international experience," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
  3. Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2242, C.E.P.R. Discussion Papers.
  4. Kirsten Wandschneider, 2005. "The Stability of the Inter-war Gold Exchange Standard. Did Politics Matter?," Middlebury College Working Paper Series, Middlebury College, Department of Economics 0518, Middlebury College, Department of Economics.
  5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  6. Mattesini, Fabrizio & Quintieri, Beniamino, 1997. "Italy and the Great Depression: An Analysis of the Italian Economy, 1929-1936," Explorations in Economic History, Elsevier, Elsevier, vol. 34(3), pages 265-294, July.
  7. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, Biometrika Trust, vol. 89(2), pages 484-489, June.
  8. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 13(2), pages 45-68, Spring.
  9. Barry Eichengreen, 2004. "Viewpoint: Understanding the Great Depression," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 37(1), pages 1-27, February.
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