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Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach

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  • João Valle e Azevedo
Abstract
This paper provides a descriptive analysis of the business cycles of the European Union countries and of the two main industrialised countries outside the Union, the United States and Japan. We use the spectral analysis to identify three main features of the business cycles: 1- The duration of the business cycle. 2- The degree of correlation, in the frequency domain, of the business cycles. 3- The identification of leading and lagging countries with respect to the business cycles of a reference series. We conclude that the United States, Italy and Greece have the shortest cycles, with an average duration around eight years. Japan, Spain and Austria have the longest cycles, lasting more than ten years. All the other countries lie in between with an average duration ranging from eight to nine years. By comparing the business cycles of the various countries with the Euro Area business cycle we conclude that Sweden, Finland, Great Britain and the United States lead the Euro Area by more than one year. The Netherlands, Italy, Japan and Spain are also leading countries but with a lead of no more than one year. There is evidence of counter-cyclical behaviour for Denmark in a sub-period of the sample and no reliable conclusions can be stated for Greece and Ireland. The remaining countries exhibit a high degree of correlation with the Euro Area business cycles and with a lag of no more than three-quarters, with the exception of Austria.

Suggested Citation

  • João Valle e Azevedo, 2002. "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers w200205, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w200205
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    References listed on IDEAS

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    Cited by:

    1. Stavros Degiannakis & David Duffy & George Filis, 2014. "Business Cycle Synchronization in EU: A Time-Varying Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(4), pages 348-370, September.
    2. Jakob De Haan & Robert Inklaar & Richard Jong‐A‐Pin, 2008. "Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, April.
    3. Hasan Engin Duran & Alexandra Ferreira-Lopes, 2017. "Determinants of co-movement and of lead and lag behavior of business cycles in the Eurozone," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(2), pages 255-282, March.
    4. Rozite, Kristiana & Bezemer, Dirk J. & Jacobs, Jan P.A.M., 2019. "Towards a financial cycle for the U.S., 1973–2014," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Esser, Andreas, 2014. "A Wavelet Approach to Synchronization of Output Cycles," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100545, Verein für Socialpolitik / German Economic Association.
    6. Degiannakis, Stavros & Duffy, David & Filis, George, 2013. "Time-varying Business Cycles Synchronisation in Europe," MPRA Paper 52925, University Library of Munich, Germany.
    7. Ladislava Issever Grochová & Petr Rozmahel, 2015. "On the Ideality of Filtering Techniques in the Business Cycle Analysis Under Conditions of European Economy," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(3), pages 915-926.
    8. Paulo M.M. Rodrigues & Raul Filipe C. Guerreiro & Jorge M. L. G. Andraz, 2011. "A comparison of the cyclical evolution of various geographic areas of reference with Portugal," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    9. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    10. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    11. Schleer, Frauke & Sachs, Andreas, 2009. "Labour Market Institutions and Structural Reforms: A Source for Business Cycle Synchronisation?," ZEW Discussion Papers 09-008, ZEW - Leibniz Centre for European Economic Research.

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