The European business cycle

Michael Artis, Mike Artis, Hans Martin Krolzig, Juan Toro

Research output: Contribution to journalArticlepeer-review


This paper deals with the existence and identification of are used for individual countries in order to detect changes in the mean growth rate of industrial production. A Markov switching vector autoregression model is then used to identify a common cycle in Europe. Three important results are obtained: we find a common unobserved component governing European business cycle dynamics, suggesting the existence of a common business cycle; we propose a dating of the business cycle, both for an index of industrial protection and GDP, and both chronologies appear to be consistent; and finally we retrieve an important set of stylized facts and relate these with those reported for the US. Finally two further issues are investigated: first, the contribution of the European business cycle to the individual country cycles; and second, we undertake an impulse response analysis to investigate the response of each individual country to European expansions and recessions.
Original languageEnglish
Pages (from-to)1-44
Number of pages43
JournalOxford Economic Papers
Issue number1
Publication statusPublished - Jan 2004


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