Faculty of Economics and Business Administration Publications Database

Towards a Monthly Business Cycle Chronology for the Euro Area

Uhlig, Harald
Volume: 2
Number: 1
Pages: 43 - 69
Month: June
Link External Source: Online Version
Year: 2005
Keywords: Euro area; European business cycle; Bry-Boschan; NBER methodology; Business cycle

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and Euro area data, we are able to replicate approximately the dating decisions of the National Bureau of Economic Research (NBER) and the Centre for Economic Policy Research (CEPR).