The Austrian Business Cycle in the European Context.

By: Scheiblecker, MarcusMaterial type: TextTextSeries: Forschungsergebnisse der Wirtschaftsuniversitaet Wien SeriesPublisher: Frankfurt a.M. : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2008Copyright date: �2008Edition: 1st edDescription: 1 online resource (234 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9783631754580Genre/Form: Electronic books.Additional physical formats: Print version:: The Austrian Business Cycle in the European ContextOnline resources: Click to View
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 M�onch - 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.
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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 M�onch - 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.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2023. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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