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Do european business cycles look like one $\_?$

  • Maximo Camacho

    (Universidad de Murcia)

  • Gabriel Perez-Quiros

    (Prime Minister's economic bureau)

  • Lorena Saiz

    ()

    (Research department Banco de España)

  • Universidad de Murcia

This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a robust methodology for dating and characterizing business cycles and their phases and adopt the model-based cluster analysis to test the existence of an unique cluster (a common cycle) against more than one. We nd evidence against a common cycle. Finally, we nd no clear relation between similarities in business cycle appearance and synchronization across countries.

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File URL: http://repec.org/sce2006/up.11504.1140190011.pdf
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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 175.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:175
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  1. Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
  2. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Agresti, Anna Maria & Mojon, Benoît, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 0095, European Central Bank.
  4. Hans-Martin Krolzig & Juan Toro, 2004. "Classical and modern business cycle measurement: The European case," Spanish Economic Review, Springer, vol. 7(1), pages 1-21, January.
  5. Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
  6. Croux, Christophe & Forni, Mario & Reichlin, Lucrezia, 1999. "A Measure of Comovement for Economic Variables: Theory and Empirics," CEPR Discussion Papers 2339, C.E.P.R. Discussion Papers.
  7. Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-77, July.
  8. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  9. Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, C.E.P.R. Discussion Papers.
  10. 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.
  11. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
  12. Michael Dueker & Katrin Wesche, 2001. "European business cycles: new indices and analysis of their synchronicity," Working Papers 1999-019, Federal Reserve Bank of St. Louis.
  13. Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183.
  14. Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise, 1995. "Classical Business Cycles for G7 and European Countries," CEPR Discussion Papers 1137, C.E.P.R. Discussion Papers.
  15. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  16. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 537-565, 09.
  17. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  18. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
  19. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
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