Dating the Euro Area Business Cycle

IGIER Working Paper No. 237

50 Pages Posted: 13 Jun 2003

See all articles by Massimiliano Giuseppe Marcellino

Massimiliano Giuseppe Marcellino

European University Institute; European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS); Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Michael J. Artis

University of Manchester - Institute for Political & Economic Governance (IPEG)

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: May 2003

Abstract

In this paper we compare alternative approaches for dating the Euro area business cycle and analyzing its characteristics. First, we extend a commonly used dating procedure to allow for length, size and amplitude restrictions, and to compute the probability of a phase change. Second, we apply the modified algorithm for dating both the classical Euro area cycle and the deviation cycle, where the latter is obtained by a variety of methods, including a modified HP filter that reproduces the features of the BK filter but avoids end-point problems, and a production function based approach. Third, we repeat the dating exercise for the main Euro area countries, evaluate the degree of syncronization, and compare the results with the UK and the US. Fourth, we construct indices of business cycle diffusion, and assess how spread are cyclical movements throughout the economy. Finally, we repeat the dating exercise using monthly industrial production data, to evaluate whether the higher sampling frequency can compensate the higher variability of the series and produce a more accurate dating.

Keywords: Business cycle, Euro area, cycle dating, cycle synchronization

JEL Classification: E32, E39

Suggested Citation

Marcellino, Massimiliano and Artis, Michael J. and Proietti, Tommaso, Dating the Euro Area Business Cycle (May 2003). IGIER Working Paper No. 237. Available at SSRN: https://ssrn.com/abstract=408440 or http://dx.doi.org/10.2139/ssrn.408440

Massimiliano Marcellino (Contact Author)

European University Institute ( email )

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), Tuscany 50014
Italy

European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) ( email )

Villa La Fonte, via delle Fontanelle 18
50016 San Domenico di Fiesole
Florence, Florence 50014
Italy

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Michael J. Artis

University of Manchester - Institute for Political & Economic Governance (IPEG) ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

Tommaso Proietti

University of Rome II - Department of Economics and Finance ( email )

Via Columbia, 2
Rome, 00133
Italy

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