Working Paper: CEPR ID: DP4377
Authors: Emanuel Mnch; Harald Uhlig
Abstract: This Paper is an exercise in dating the euro area business cycle on a monthly basis. We construct several monthly European real GDP series, and then apply the Bry-Boschan (1971) procedure. Using this method we identify four business cycles. Studying further indicators of business activity, we conclude that the euro area has experienced three business cycles since 1970. We propose a simple amplitude/phase-length criterion for the Bry-Boschan procedure ruling out expansionary phases that are short and flat. Applying the extended procedure to US and European data, we are able to replicate approximately the dating decisions of NBER and CEPR.
Keywords: Bry-Boschan; Business Cycle; Euro Area; European Business Cycle; NBER Methodology
JEL Codes: B41; C22; C82; E32; E58
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Application of the Bry-Boschan procedure (C51) | Identification of four business cycles in the euro area since 1970 (E32) |
| Application of the Bry-Boschan procedure (C51) | More precise measure of business cycle turning points compared to quarterly data (E32) |
| Methodology applied to US and euro area data (C81) | Replication of turning point decisions of the NBER and CEPR (C59) |
| Proposed amplitude-phase length criterion (C22) | Enhancement of the reliability of the business cycle chronology (E32) |
| Bry-Boschan procedure (C69) | Identification of turning points in the constructed monthly real GDP series (E32) |
| Lagging nature of employment data (J60) | Bry-Boschan procedure leads NBER dates slightly (E32) |