IDEAS home Printed from https://ideas.repec.org/a/jns/jbstat/v228y2008i1p84-109.html
   My bibliography  Save this article

Zur Evolution des deutschen Konjunkturzyklus 1958-2004 / On the Evolution of German Business Cycles 1958-2004: Ergebnisse einer dynamischen Diskriminanzanalyse / Results of a Dynamic Linear Discriminant Analysis

Author

Listed:
  • Heilemann Ullrich

    (Institut für Empirische Wirtschaftsforschung (IEW), Universität Leipzig, Marschnerstraße 31, 04109 Leipzig, Germany)

  • Schuhr Roland

    (Institut für Empirische Wirtschaftsforschung (IEW), Universität Leipzig, Marschnerstraße 31, 04109 Leipzig, Germany)

Abstract

This paper examines changes of the (West) German business cycle from 1958 to 2004. It starts with a multivariate linear discriminant analysis (LDA) based decomposition of the cycle into 4 phases (upswing, upper turning point, downswing, lower turning point). After examining inter-cyclical changes of the cycle, i.e. changes of the weights of the 12 macroeconomic variables employed for classification, the question of intra-cyclical changes is addressed. This is done by using DLDA, a new dynamic variant of LDA which exploits the time series character of the data used to analyse changes of the multivariate structure of the cycle. The DLDA results exemplify that the transition from one to the next phase is much smoother and more continuous than might be expected. Within the sample examined these movements vary as well as the weights attributed to the classifying variables. In a methodological perspective DLDA turns out to be a promising broadening of classification methods.

Suggested Citation

  • Heilemann Ullrich & Schuhr Roland, 2008. "Zur Evolution des deutschen Konjunkturzyklus 1958-2004 / On the Evolution of German Business Cycles 1958-2004: Ergebnisse einer dynamischen Diskriminanzanalyse / Results of a Dynamic Linear Discrimina," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(1), pages 84-109, February.
    • Handle: RePEc:jns:jbstat:v:228:y:2008:i:1:p:84-109
    DOI: 10.1515/jbnst-2008-0107
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/jbnst-2008-0107
    Download Restriction: no
    File URL: https://libkey.io/10.1515/jbnst-2008-0107?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1.
    2. Michael T. Belongia & Michelle R. Garfinkel, 1992. "The Business Cycle: Theories and Evidence: Proceedings of the Sixteenth Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (held October 17-18 1991)," Proceedings, Federal Reserve Bank of St. Louis.
    3. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
    4. John R. Meyer & Daniel H. Weinberg, 1976. "On the Classification of Economic Fluctuations: An Update," NBER Chapters, in: Explorations in Economic Research, Volume 3, number 4, pages 140-141, National Bureau of Economic Research, Inc.
    5. John R. Meyer & Daniel H. Weinberg, 1975. "On the Classification of Economic Fluctuations," NBER Chapters, in: Explorations in Economic Research, Volume 2, number 2, pages 167-202, National Bureau of Economic Research, Inc.
    6. James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Heilemann, Ullrich & Münch, Heinz Josef, 1999. "Classification of west german business cycles," Technical Reports 1999,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Heilemann, Ullrich & Münch, Heinz Josef, 2005. "The Clinton era and the U.S. business cycle : what did change?," Technical Reports 2005,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Heilemann, Ullrich & Münch, Heinz Josef, 2002. "Classifying US business cycles 1948 to 1997: Meyer/Weinberg revisited," Technical Reports 2002,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Dagum, Estela Bee, 2010. "Business Cycles and Current Economic Analysis/Los ciclos económicos y el análisis económico actual," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 577-594, Diciembre.
    5. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2009. "What happens during recessions, crunches and busts? [Business cycles for G-7 and European countries]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 24(60), pages 653-700.
    6. Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011. "Business cycle stylized facts and inventory behaviour: New evidence for the Euro area," International Journal of Production Economics, Elsevier, vol. 133(1), pages 12-24, September.
    7. Selgin, George & Lastrapes, William D. & White, Lawrence H., 2012. "Has the Fed been a failure?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 569-596.
    8. Marinko Škare & Saša Stjepanović, 2016. "Measuring Business Cycles: A Review," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
    9. Hasan Engin Duran, 2019. "Structural change and output volatility reduction in OECD countries: evidence of the Second Great Moderation," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 8(1), pages 1-14, December.
    10. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
    11. Ray C. Fair, 1986. "Sources of Output and Price Variability in a Macroeconometric Model," NBER Working Papers 2112, National Bureau of Economic Research, Inc.
    12. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
    13. Zsolt Darvas, 2013. "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(2), pages 363-390, May.
    14. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
    15. Bordo, Michael D & Choudhri, Ehsan U & Schwartz, Anna J, 1995. "Could Stable Money Have Averted the Great Contraction?," Economic Inquiry, Western Economic Association International, vol. 33(3), pages 484-505, July.
    16. Gary Koop & Dimitris Korobilis, 2019. "Forecasting with High‐Dimensional Panel VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
    17. Michael Funke, 2000. "Macroeconomic Shocks in Euroland vs. the UK: Supply, Demand, or Nominal?," EUI-RSCAS Working Papers 37, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
    18. repec:hal:wpspec:info:hdl:2441/2525 is not listed on IDEAS
    19. Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, University Library of Munich, Germany.
    20. Larrain, Borja, 2011. "World betas, consumption growth, and financial integration," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 999-1018, October.
    21. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:228:y:2008:i:1:p:84-109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.