Working Papers

Working Paper 83
The business cycle of European countries Bayesian clustering of country-individual IP growth series

Sylvia Kaufmann

July 14, 2003

 

The opinions are strictly those of the authors and in no way commit the OeNB.


Editorial

In the present paper, Sylvia Kaufmann uses time series on industrial production growth of individual countries to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a “European” and an “overseas” cycle? (iv) Which countries follow the “overseas” rather than the “European” cycle? To obtain the inference, the author uses an autoregressive panel data framework whereby the groups of co-moving countries are estimated adaptively along with the model parameters using Bayesian simulation methods.



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    The business cycle of European countries Bayesian clustering of country- individual IP growthseries Sylvia Kaufmann

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