The European Business Cycle
نویسندگان
چکیده
This paper deals with the existence of a common European growth cycle and its identification. Based on the analysis of some descriptive statistics in the time and frequency domain there is clear evidence of comovement in output growth among European countries. Univariate Markov switching autoregressions (MS-AR) are used for individual countries in order to detect changes in the mean growth rate of industrial production. The smoothed probabilities obtained from these models give support to the previous descriptive statistics regarding the possibility of inferring a common European cycle from modelling jointly the industrial production indices of the nine countries under study. An MS-VAR model is used to identify the common cycle in Europe and the results confirm the existence of such a cycle. The European business cycle is dated on the basis of the regime probabilities, and the contribution of the European business cycle to the individual country cycles is investigated.An appendix includes a similar analysis for GDP. JEL Classification: E32, F43, F47, C32.
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