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Common factors in South-East Europe’s business cycles 1899 - 1989

Author

Listed:
  • Matthias Morys

    (University of York)

  • Martin Ivanov

    (Bulgarian Academy of Sciences)

Abstract

This paper constructs business cycle indices for the South-East European (SEE) countries from 1899 to 1989 in order to address two questions: to what extent has there been a common SEE business cycle, and to what extent has there been synchronisation of business cycles with England, France and Germany? We first explain why a construction of business cycle indices based on Common Dynamic Factor Analysis (CDFA) is preferable to one based on historical national accounts. In our estimations, we then find that business cycle integration, both within SEE and vis-?-vis the core economies, did not occur pre-World War I but did happen in the interwar period. Business cycle integration continued during the Cold War period even though the SEE countries found themselves on opposite sides of the iron curtain.

Suggested Citation

  • Matthias Morys & Martin Ivanov, 2009. "Common factors in South-East Europe’s business cycles 1899 - 1989," SEEMHN papers 1, National Bank of Serbia.
    • Handle: RePEc:nsb:seemhn:1
    Note: The paper was presented at the Fourth Annual SEEMHN Conference hosted by the National Bank of Serbia, 27 March 2009 in Belgrade.
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    More about this item

    Keywords

    South-East European Business cycle; National historical accounts; Common dynamic factor analysis;
    All these keywords.

    JEL classification:

    • N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913
    • N14 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: 1913-
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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