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Towards a Monthly Business Cycle Chronology for the Euro Area

  • Emanuel Mönch

    ()

  • Harald Uhlig

    ()

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and Euro area data, we are able to replicate approximately the dating decisions of the National Bureau of Economic Research (NBER) and the Centre for Economic Policy Research (CEPR).

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File URL: http://dx.doi.org/10.1787/jbcma-2005-5km7v183t48r
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Article provided by OECD Publishing,Centre for International Research on Economic Tendency Surveys in its journal Journal of Business Cycle Measurement and Analysis.

Volume (Year): 2005 (2005)
Issue (Month): 1 ()
Pages: 43-69

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Handle: RePEc:oec:stdkaa:5km7v183t48r
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  1. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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  13. Ben S. Bernanke & Mark Gertler & Mark Watson, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
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  17. Jacques Anas & Laurent Ferrara, 2004. "Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2004(2), pages 193-225.
  18. Hans-Martin Krolzig, 2001. "Markov-Switching Procedures for Dating the Euro-Zone Business Cycle," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 339-351.
  19. Hans-Martin Krolzig & Juan Toro, 2001. "Classical and Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 60, University of Oxford, Department of Economics.
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  23. Paul Schreyer, 2001. "Some Observations on International Area Aggregates," OECD Statistics Working Papers 2001/1, OECD Publishing.
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