Zur Evolution des deutschen Konjunkturzyklus 1958-2004 / On the Evolution of German Business Cycles 1958-2004: Ergebnisse einer dynamischen Diskriminanzanalyse / Results of a Dynamic Linear Discriminant Analysis
This paper examines changes of the (West) German business cycle from 1958 to 2004. It starts with a multivariate linear discriminant analysis (LDA) based decomposition of the cycle into 4 phases (upswing, upper turning point, downswing, lower turning point). After examining inter-cyclical changes of the cycle, i.e. changes of the weights of the 12 macroeconomic variables employed for classification, the question of intra-cyclical changes is addressed. This is done by using DLDA, a new dynamic variant of LDA which exploits the time series character of the data used to analyse changes of the multivariate structure of the cycle. The DLDA results exemplify that the transition from one to the next phase is much smoother and more continuous than might be expected. Within the sample examined these movements vary as well as the weights attributed to the classifying variables. In a methodological perspective DLDA turns out to be a promising broadening of classification methods.
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Volume (Year): 228 (2008)
Issue (Month): 1 (February)
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References listed on IDEAS
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- Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
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- J. MUYSKENS & C. de Neubourg, 1986. "Introduction," Discussion Papers (REL - Recherches Economiques de Louvain) 1986031, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Michael T. Belongia & Michelle R. Garfinkel (), 1992. "The business cycle: theories and evidence: proceedings of the sixteenth annual Economic Policy Conference held October 17-18, 1991," Proceedings, Federal Reserve Bank of St. Louis.
- John R. Meyer & Daniel H. Weinberg, 1975. "On the Classification of Economic Fluctuations," NBER Chapters,in: Explorations in Economic Research, Volume 2, number 2, pages 43-78 National Bureau of Economic Research, Inc. Full references (including those not matched with items on IDEAS)
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