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

Author

Listed:
  • Maximo Camacho

    (Universidad de Murcia)

  • Gabriel Perez-Quiros

    (Prime Minister's economic bureau)

  • Lorena Saiz

    () (Research department Banco de España)

  • Universidad de Murcia

Abstract

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.

Suggested Citation

  • Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:175
    as

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    File URL: http://repec.org/sce2006/up.11504.1140190011.pdf
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    References listed on IDEAS

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    1. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
    2. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006. "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
    3. Agresti, Anna Maria & Mojon, Benoît, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 0095, European Central Bank.
    4. 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.
    5. 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.
    6. 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.
    7. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
    8. M. Dueker & K. Wesche, 1999. "European Business Cycles: New Indices and Analysis of their Synchronicity," Discussion Paper Serie B 448, University of Bonn, Germany.
    9. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
    10. 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 269-277, July.
    11. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    12. Hans-Martin Krolzig & Juan Toro, 2004. "Classical and modern business cycle measurement: The European case," Spanish Economic Review, Springer;Spanish Economic Association, pages 1-21.
    13. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
    14. 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, September.
    15. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
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    Cited by:

    1. Crowley, Patrick M., 2008. "One money, several cycles? : evaluation of European business cycles using model-based cluster analysis," Research Discussion Papers 3/2008, Bank of Finland.
    2. Jesús Rodríguez López & José L. Torres, "undated". "Following the yellow brick road? The Euro, the Czech Republic, Hungary and Poland," Working Papers on International Economics and Finance 06-03, FEDEA.
    3. Mark Mink & Jan P.A.M. Jacobs & Jakob de Haan, 2012. "Measuring coherence of output gaps with an application to the euro area," Oxford Economic Papers, Oxford University Press, vol. 64(2), pages 217-236, April.
    4. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
    5. Balázs Égert & Douglas Sutherland, 2014. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 98-117, February.
    6. Beyaert, Arielle & García-Solanes, José, 2014. "Output gap and non-linear economic convergence," Journal of Policy Modeling, Elsevier, vol. 36(1), pages 121-135.

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