Dating the Euro Area Business Cycle
Title: Dating the Euro Area Business Cycle
Citation: Lucrezia REICHLIN (ed.), The Euro Area Business Cycle: stylized facts and measurement issues, 2004, Brussels, CEPR, pp. 7-34
Proposes a number of improvements to standard techniques to detect the peaks and troughs of business cycles that allow them to isolate major fluctuations in economic activity. For the US economy their model produces a good approximation of the turning points in the business cycle that have been identified by the National Bureau of Economic Research. When their model is applied to quarterly output "cleaned" of high-frequency variations, the authors are able to reproduce the dates identified for the euro area business cycle by the CEPR Euro Area Business Cycle Dating Committee. Also, applying their model to GDP growth that has been filtered to extract cycles that are longer than five quarters roughly produces the dates identified by EuroCOIN, CEPRs monthly indicator of euro area GDP growth.
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