Some Stylised Facts on the Euro Area Business Cycle

By Benoît Mojon, A. Agresti. Social Science Research Network, 2001

181 citations recorded by the source corpus.

This paper presents stylised facts about the business cycle of the euro area. The results suggest that the stylised facts for the euro area economy and the US are very similar. The magnitude of the fluctuations in consumption, investment, prices, inflation, interest rate, monetary aggregates relative to the fluctuations of GDP are very similar in the two monetary unions. There is also high synchronicity of the national cycles and the euro area aggregate cycle. This synchronicity is observed for the main GDP components as well as for interest rates and it is particularly high for the largest countries of the euro area and for countries of the core ERM. These results are not sensitive to a different aggregation method chosen to build euro area aggregates. However, we do find differences between the euro area and the member countries when looking at what variables are predicting inflation or GDP JEL Classification: E42, E50

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/88850b17da220d5f6a858c0cc903d0496d4c2d2f

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Citations in the corpus

Do EMU Members Share the Same Business Cycle (2004, unknown): “(1992) and Agresti and Mojon (2001) using different econometric techniques conclude that the monetary integration process results in fewer cross-country divergences.”
Dating the Euro Area Business Cycle (2003, methodology): “Previous formal work documenting the cyclical experience of the Euro Area economy is quite sparse, being limited essentially to the paper by Agresti and Mojon (2001), which applies the notion of a growth or deviation cycle based on the use of the bandpass filter, and work by Harding and Pagan (Hardi”
The Stabilizing Role of Government Size (2008, unknown): “These values have been chosen in order to produce GDP cycles that mimic the volatility of output observed in European countries in our baseline model (see Agresti and Mojon (2001)).”
Do european business cycles look like one (2008, background): “Among others, examples are the studies of Agresti and Mojon (2001), Artis, Krolzig, and Toro (2002), Artis, Kontolemis, and Osborn (1997), Bergman (2004), Camacho, Perez-Quiros, and Saiz (2004), Croux, Forni, and Reichlin (2001), Dueker and Wesche (2003), Guha and Banerji (1998), and Harding and…”
The Output Composition Puzzle: A Difference in the Monetary Transmission Mechanism in the Euro Area and U.S. (2003, unknown): “Table 1, reproduced from Agresti and Mojon (2003), presents a set of descriptive statistics for the (de-trended) euro area data along with similar statistics for the U.S., which serves as a benchmark.”