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The European Business Cycle

Michael Artis, Hans-Martin Krolzig () and Juan Toro ()
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Juan Toro: Centro de Estudios Andaluces

No E2002/19, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: This paper deals with the existence and identification of a common European growth cycle. Univariate Markov switching autoregressions (MS-AR) are used for individual countries in order to detect changes in the mean growth rate of industrial production. A Markov switching vector autoregression model (MS-VAR) is then used to identify a common cycle in Europe. Three important results are obtained. First, we find a common unobserved component governing the business cycle dynamics in Europe, suggesting the existence of a common business cycle. Second, we propose a dating of the business cycle in Europe, both for an index of industrial production (IIP) and gross domestic product (GDP); both chronologies appear to be consistent. Third, we retrieve an important set of stylized facts and relate these with those reported for the US economy (see, among others, French (1993), Warnock y Warnock (2000) and Sichel (1994)).

Keywords: International business cycles; European Union; Markov switching; Structural breaks; Time series analysis. (search for similar items in EconPapers)
JEL-codes: E32 F43 F47 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
Date: 2002
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Related works:
Journal Article: The European business cycle (2004)
Working Paper: The European Business Cycle (1999) Downloads
Working Paper: The European Business Cycle (1999)
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