National and Supranational Business Cycles (1960-2000): A Multivariate Description of Central G7 and EURO15 NIPA Aggregates

45 Pages Posted: 28 Feb 2002  

Bernd Süssmuth

University of Leipzig; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: January 2002

Abstract

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the salient business cycle characteristics of central NIPA aggregates for the G7. Furthermore, their role in contributing to the supranational G7 and EURO15 cyclic dynamics is investigated. Several refinements of conventional methods are suggested. Three different detrending filters are used, including ones that tend to distort the spectrum in opposite directions. As advocated in the literature, features of the spectra which survive these different detrending procedures are considered to be robust. The study reveals evidence of significant classical business cycles with frequencies corresponding to about two to four and about seven to ten-year period lengths that are both also reflected in the spectra of the two supranational economies.The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility charateristics, (ii) explained variance and prominence of the cyclicalities contained in the different macro-aggregates and (iii) lead-lag and coherence relationships with national and supranational product cycles.

Keywords: Business Cycle Dynamics, Spectral Analysis, Volatility

JEL Classification: E32

Suggested Citation

Süssmuth, Bernd, National and Supranational Business Cycles (1960-2000): A Multivariate Description of Central G7 and EURO15 NIPA Aggregates (January 2002). CESifo Working Paper Series No. 658. Available at SSRN: https://ssrn.com/abstract=301262

Bernd Süssmuth (Contact Author)

University of Leipzig ( email )

IEW Institute for Empirical Research in Economics
Grimmaische Str. 12
Leipzig, D-04109
Germany
+49 341 97 33782 (Phone)
+49 341 97 33789 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/iew/professur-oekonometrie/team/prof-dr-bernd-suessmuth.html

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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