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Traditional and Alternative Business Cycle Dating Procedures: Evidence for the Euro Area and the Czech Economy

Ľubica Štiblárová ()
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Ľubica Štiblárová: Department of Finance, Faculty of Economics, Technical University of Košice, Letná 9, 040 01 Košice, Slovak Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2020, vol. 68, issue 1, 263-274

Abstract: This paper examines to which extent the results of multivariate principal component analysis based on a set of macroeconomic indicators used by one of the leading economic research organizations – the Centre for Economic Policy Research (CEPR), mimics traditional, univariate Bry and Boschan (1971) business cycle procedure. Using almost 20 years of observations, we estimate the euro area aggregate and the Czech business cycles by classical, as well as alternative multivariate method. Comparison of the euro area aggregate classical business cycle with that of the CEPR reveals minor discrepancies. The estimation of the Czech business cycle using principal component analysis suffers from volatile time series, potentially resulting from a smaller character of the economy. On the contrary, the estimate of the euro area aggregate business cycle reflects quite well Bry and Boschan (1971) procedure, showing rather lagging behavior.

Keywords: business cycle; Bry and Boschan procedure; Centre for Economic Policy Research; principal component analysis; euro area aggregate; Czechia (search for similar items in EconPapers)
Date: 2020
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DOI: 10.11118/actaun202068010263

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