The business cycle of European countries Bayesian clustering of country - individual IP growth series

Sylvia Kaufmann

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: In the present paper, time series on industrial production growth of individual countries are used to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a "European" and an "overseas" cycle? (iv) Which countries follow the "overseas" rather than the "European" cycle? To obtain the inference, I use an autoregressive panel data framework whereby the groups of co-moving countries are estimated adaptively along with the model parameters using Bayesian simulation methods.

Keywords: Business cycle; Bayesian clustering; Markov switching; Markov chain Monte Carlo; panel data. (search for similar items in EconPapers)
JEL-codes: C15 C33 E32 (search for similar items in EconPapers)
Pages: 45
Date: 2003-07-14
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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