Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913
We use a Bayesian dynamic factor model to measure Germany’s pre World War I economic activity. The procedure makes better use of existing time series data than historical national accounting. To investigate industrialization we propose to look at comovement between sectors. We find that Germany’s industrial sector developed earlier than stated in the literature, since after the 1860s agricultural time series do not comove with the business cycle anymore. Also, the bulk of comovement between 1820 and 1913 can be traced back to five out of 18 series representing industrial production, investment and demand for industrial inputs. Our factor is impressingly confirmed by a stock price index, leading the factor by 1-2 years. We also find evidence for early market integration in the 1820s and 1830s. Our business cycle dating aims to resolve the debate on German business cycle history. Given the often unsatisfactory quality of national accounting data for the 19th century we show the advantage of dynamic factor models in making efficient use of rare historical time series.
|Date of creation:||Jun 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
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.:
- Thomas J. Sargent & Christopher A. Sims, 1977.
"Business cycle modeling without pretending to have too much a priori economic theory,"
55, Federal Reserve Bank of Minneapolis.
- Tom Doan, . "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
- Otrok, C. & Whiteman, C.H., 1996.
"Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa,"
96-14, University of Iowa, Department of Economics.
- Otrok, Christopher & Whiteman, Charles H, 1998. "Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 997-1014, November.
- Rajan, Raghuram G. & Zingales, Luigi, 2003. "The great reversals: the politics of financial development in the twentieth century," Journal of Financial Economics, Elsevier, vol. 69(1), pages 5-50, July.
- A'Hearn, Brian & Woitek, Ulrich, 2001. "More international evidence on the historical properties of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 321-346, April.
- Uebele, Martin & Ritschl, Albrecht, 2009.
"Stock markets and business cycle comovement in Germany before World War I: Evidence from spectral analysis,"
Journal of Macroeconomics,
Elsevier, vol. 31(1), pages 35-57, March.
- Ritschl, Albrecht & Uebele, Martin, 2005. "Stock Markets and Business Cycle Comovement in Germany Before World War I: Evidence from Spectral Analysis," CEPR Discussion Papers 5370, C.E.P.R. Discussion Papers.
- Albrecht Ritschl & Martin Uebele, 2005. "Stock Markets and Business Cycle Comovement in Germany before World War I: Evidence from Spectral Analysis," SFB 649 Discussion Papers SFB649DP2005-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Berger, Helge & Spoerer, Mark, 2001. "Economic Crises And The European Revolutions Of 1848," The Journal of Economic History, Cambridge University Press, vol. 61(02), pages 293-326, June.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Uhlig, H.F.H.V.S. & Ravn, M., 1997.
"On Adjusting the H-P Filter for the Frequency of Observations,"
1997-50, Tilburg University, Center for Economic Research.
- Morten O. Ravn & Harald Uhlig, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series 479, CESifo Group Munich.
- Ravn, Morten O & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
- Helling Gertrud, 1965. "Berechnung eines Index der Agrarproduktion in Deutschland im 19. Jahrhundert," Jahrbuch für Wirtschaftsgeschichte / Economic History Yearbook, De Gruyter, vol. 6(4), pages 125-151, April.
- Calomiris, Charles W. & Schweikart, Larry, 1991. "The Panic of 1857: Origins, Transmission, and Containment," The Journal of Economic History, Cambridge University Press, vol. 51(04), pages 807-834, December.
- Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
- Stock, J.H. & Watson, M.W., 1989.
"New Indexes Of Coincident And Leading Economic Indicators,"
178d, Harvard - J.F. Kennedy School of Government.
- James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band pass filter,"
9906, Federal Reserve Bank of Cleveland.
- Ulrich Woitek, 1998. "A Note on the Baxter-King Filter," Working Papers 9813, Business School - Economics, University of Glasgow.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2007-039. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team)
If references are entirely missing, you can add them using this form.