Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86061
Authors: 
Koopman, Siem Jan
e Azevedo, Joao Valle
Year of Publication: 
2003
Series/Report no.: 
Tinbergen Institute Discussion Paper 03-052/4
Abstract: 
This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different cycles. Standard Kalman filter techniques are used toestimate the parameters simultaneously by maximum likelihood. The empirical illustrationsare based on gross domestic product (GDP) series of seven European countries which are comparedwith the GDP series of the Euro Area and that of the United States. The original integratedtime series are band-pass filtered. We find that there is an increasing resemblance between thebusiness cycle fluctuations of the European countries analysed and those of the Euro area,although with varying patterns.
Subjects: 
Band-pass filter
Cyclical convergence
Kalman filter
Unobserved components time series models
Phase shifts.
JEL: 
C13
C32
E32
Document Type: 
Working Paper

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