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The European business cycle

Michael Artis, Hans-Martin Krolzig () and Juan Toro

Oxford Economic Papers, 2004, vol. 56, issue 1, 1-44

Abstract: This paper deals with the existence and identification of a common European growth cycle. Univariate Markov switching autoregressions are used for individual countries in order to detect changes in the mean growth rate of industrial production. A Markov switching vector autoregression model is then used to identify a common cycle in Europe. Three important results are obtained: we find a common unobserved component governing European business cycle dynamics, suggesting the existence of a common business cycle; we propose a dating of the business cycle, both for an index of industrial protection and GDP, and both chronologies appear to be consistent; and finally we retrieve an important set of stylized facts and relate these with those reported for the US. Finally two further issues are investigated: first, the contribution of the European business cycle to the individual country cycles; and second, we undertake an impulse response analysis to investigate the response of each individual country to European expansions and recessions. Copyright 2004, Oxford University Press.

Date: 2004
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Working Paper: The European Business Cycle (2002) Downloads
Working Paper: The European Business Cycle (1999) Downloads
Working Paper: The European Business Cycle (1999)
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