Towards a Monthly Business Cycle Chronology for the Euro Area

Posted: 20 Jun 2005

See all articles by Emanuel Moench

Emanuel Moench

Deutsche Bundesbank; Goethe University Frankfurt - Department of Money and Macroeconomics

Harald Uhlig

University of Chicago - Department of Economics

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Abstract

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and European data, we are able to replicate approximately the dating decisions of the NBER and the CEPR.

Keywords: Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

JEL Classification: B41, C22, C82, E32, E58

Suggested Citation

Moench, Emanuel and Uhlig, Harald, Towards a Monthly Business Cycle Chronology for the Euro Area. Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, 2004, Available at SSRN: https://ssrn.com/abstract=742268

Emanuel Moench (Contact Author)

Deutsche Bundesbank ( email )

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Frankfurt/Main, 60431
Germany
+49 69 95662312 (Phone)

HOME PAGE: http://https://www.bundesbank.de/en/emanuel-moench

Goethe University Frankfurt - Department of Money and Macroeconomics ( email )

Germany

Harald Uhlig

University of Chicago - Department of Economics ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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