The Austrian Business Cycle in the European Context.
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| Superior document: | Forschungsergebnisse der Wirtschaftsuniversitaet Wien Series ; v.25 |
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| Place / Publishing House: | Frankfurt a.M. : : Peter Lang GmbH, Internationaler Verlag der Wissenschaften,, 2008. ©2008. |
| Year of Publication: | 2008 |
| Edition: | 1st ed. |
| Language: | English |
| Series: | Forschungsergebnisse der Wirtschaftsuniversitaet Wien Series
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| Online Access: | |
| Physical Description: | 1 online resource (234 pages) |
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Table of Contents:
- Cover
- Zusammenfassung
- Abstract
- List of figures and tables
- List of abbreviations
- List of variables
- 1. Research motivation and overview
- 2. The data
- 3. Methods of extracting business cycle characteristics
- 3.1 Defining the business cycle
- 3.1.1 The classical business cycle definition
- 3.1.2 The deviation cycle definition
- 3.2 Isolation of business cycle frequencies
- 3.2.1 Outliers
- 3.2.2 Calendar effects
- 3.2.3 Seasonal variations
- 3.2.4 The trend
- 4. Identifying the business cycle
- 4.1 Construction of composite economic indices
- 4.1.1 The empirical NBER approach
- 4.1.2 Index models
- 4.2 Univariate determination of the business cycle
- 5. Analysing cyclical comovements
- 5.1 Time domain statistics for analysing comovements
- 5.2 Frequency domain statistics for analysing comovements
- 5.2.1 Coherence
- 5.2.2 Phase spectra and mean delay
- 5.2.3 Dynamic correlation
- 5.2.4 Cohesion
- 6. Dating the business cycle
- 6.1 The expert approaches
- 6.2 The Bry-Boschan routine
- 6.3 Hidden Markovian-switching processes
- 6.4 Threshold autoregressive models
- 7. Analysis of turning points
- 7.1 Mean and average leads and lags
- 7.2 Contingency tables for turning points
- 7.3 The intrinsic lead and lag classification of dynamic factor models
- 7.4 Concordance indicator
- 7.5 Standard deviation of the cycle
- 7.6 Mean absolute deviation
- 7.7 Triangle approximation
- 8. Results
- 8.1 Isolation of business cycle frequencies
- 8.1.1 First-order differences
- 8.1.2 The HP filter
- 8.1.3 The BK filter
- 8.2 Determination of the reference business cycle
- 8.2.1 Ad-hoc selection of the business cycle reference series
- 8.2.2 Determination of the business cycle by a dynamic factor model approach
- 8.3 Dating the business cycle.
- 8.3.1 Dating the business cycle in the ad-hoc selection framework
- 8.3.2 Dating the business cycle in the dynamic factor model framework
- 9. Comparing results with earlier studies on the Austrian business cycle
- 9.1 Comparing the results with the study by Altissimo et al. (2001)
- 9.2 Comparing the results with the study by Mönch - Uhlig (2004)
- 9.3 Comparing the results with the study by Cheung - Westermann (1999)
- 9.4 Comparing the results with the study by Brandner - Neusser (1992)
- 9.5 Comparing the results with the study by Forni - Hallin - Lippi - Reichlin (2000)
- 9.6 Comparing the results with the study by Breitung - Eickmeier (2005)
- 9.7 Comparing the results with the study by Artis - Marcellino - Proietti (2004)
- 9.8 Comparing the results with the study by Vijselaar - Albers (2001)
- 9.9 Comparing the results with the study by Artis - Zhang (1999)
- 9.10 Comparing the results with the study by Dickerson - Gibson - Tsakalotos (1998)
- 9.11 Comparing the results with the study by Artis - Krolzig - Toro (2004)
- 9.12 Comparing the results with the dating calendar of the CEPR
- 9.13 Comparing the results with the study by Breuss (1984)
- 9.14 Comparing the results with the study by Hahn - Walterskirchen (1992)
- 9.15 Comparison of the results of different dating procedures
- 9.15.1 Turning point dates of the Austrian business cycle
- 9.15.2 Turning point dates of the euro area business cycle
- 10. Concluding remarks
- References
- Annex.