National and Supranational Business Cycles (1960-2000): A Multivariate Description of Central G7 and Euro15 Nipa Aggregates
45 Pages Posted: 28 Feb 2002
Date Written: January 2002
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: Suggested Citation