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Trends and cycles in Euro area real GDP
[Zeitschriftenartikel]
Abstract This paper examines the time series properties of real GDP in the Euro area (EU 11), both prior to and after the adoption of the Euro in January 1999. We employ the relatively recent "optimal approximation" band pass filter developed by Christiano and Fitzgerald (2003) in order to identify a Euro-zo... mehr
This paper examines the time series properties of real GDP in the Euro area (EU 11), both prior to and after the adoption of the Euro in January 1999. We employ the relatively recent "optimal approximation" band pass filter developed by Christiano and Fitzgerald (2003) in order to identify a Euro-zone business cycle. We also utilise two alternative assumptions regarding the behaviour of the trend component of Euro area real GDP. The empirical results suggest that the single currency experiment appears to have reduced trend growth in the Euro zone, both ex-ante during the Maastricht nominal convergence phase, and also ex-post, during the period 2001Q1 to 2005Q4. With respect to cyclical behaviour, we identify a very robust measure of the Euro zone business cycle in the post 1994 period which does not appear to be sensitive to the particular assumption made regarding the trend rate of growth of real GDP. This type of result should facilitate a more accurate assessment of the extent to which individual countries and groups of countries are converged with respect to the Euro area business cycle.... weniger
Klassifikation
Volkswirtschaftslehre
Freie Schlagwörter
Euro Area; Business Cycle; Band Pass Filter
Sprache Dokument
Englisch
Publikationsjahr
2010
Seitenangabe
S. 1397-1401
Zeitschriftentitel
Applied Economics, 42 (2010) 11
DOI
https://doi.org/10.1080/00036840701721372
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)