European Business Cycles: New Indices and Analysis of Their Synchronicity

SFB 303 Working Paper No. B - 448

30 Pages Posted: 21 Mar 2000

See all articles by Michael Dueker

Michael Dueker

Federal Reserve Banks - Federal Reserve Bank of St. Louis

Katrin Assenmacher

Swiss National Bank

Date Written: February 1999

Abstract

This article presents a new type of business-cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business-cycle correlation and simple aggregation to arrive at a measure of a European business cycle. The paper examines probit-type specifications of binary recession/expansion variables in a Gibbs-sampling framework, wherein it is possible to incorporate time-series features to the model, such as serial correlation, heteroscedasticity and regime switching. The data-augmentation implied by Gibbs sampling generates posterior distributions for a latent coincident business-cycle index and extracts information from indicator variables, such as the slope of the yield curve. Sub-sample correlations between an aggregated "Europe" index and the national business-cycle indices from France, Germany, Italy are consistent with the claim that the European economies are becoming more harmonized over time, but there is no guarantee that this pattern will hold in the future.

JEL Classification: F42, C25, C22

Suggested Citation

Dueker, Michael and Assenmacher, Katrin, European Business Cycles: New Indices and Analysis of Their Synchronicity (February 1999). SFB 303 Working Paper No. B - 448, Available at SSRN: https://ssrn.com/abstract=182770 or http://dx.doi.org/10.2139/ssrn.182770

Michael Dueker (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

Katrin Assenmacher

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
225
Abstract Views
1,186
rank
170,795
PlumX Metrics