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Sectoral and Industrial Business Cycles

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  • Everts, Martin

Abstract

This article calculates the sectoral and industrial business cycles by means of the band-pass filters by Baxter and King (1999) and Christiano and Fitzgerald (2003), to subsequently analyze the correlations between the sectors and industries and the overall economy. It can be shown that the correlations between the business cycles of the sectors and industries and the overall economy differ strongly. The agriculture sector and the industries mining and quarrying, electricity and education for example exhibit almost no correlation with the overall economy; The wholesale and retail as well as the transport industry on the other hand have a high correlation. By means of an analysis of the leading and lagging correlations it can be shown that the wholesale and retail industry leads the overall economy by two quarters. Thus, the wholesale and retail industry can be used as an indicator for the development of the overall economy.

Suggested Citation

  • Everts, Martin, 2006. "Sectoral and Industrial Business Cycles," MPRA Paper 1176, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:1176
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    File URL: https://mpra.ub.uni-muenchen.de/1176/1/MPRA_paper_1176.pdf
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    References listed on IDEAS

    as
    1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    2. Angeloni, Ignazio & Dedola, Luca, 1999. "From the ERM to the euro: new evidence on economic and policy convergence among EU countries," Working Paper Series 4, European Central Bank.
    3. U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998. "Historical evidence on business cycles: the international experience," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
    4. repec:bla:econom:v:67:y:2000:i:267:p:347-74 is not listed on IDEAS
    5. Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-888, September.
    6. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
    7. repec:bla:econom:v:62:y:1995:i:245:p:1-27 is not listed on IDEAS
    8. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    9. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    10. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    11. Artis, Michael J & Zhang, W, 1997. "International Business Cycles and the ERM: Is There a European Business Cycle?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 1-16, January.
    12. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
    13. James H. Stock, 2004. "Structural Stability and Models of the Business Cycle," De Economist, Springer, vol. 152(2), pages 197-209, June.
    14. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
    15. U. Michael Bergman, 2004. "How Similar Are European Business Cycles?," EPRU Working Paper Series 04-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2004.
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    More about this item

    Keywords

    Business Cycle; Correlation; Band-Pass Filter; Sectoral Cycles; Industrial Cycles; Cross-Country Correlation; Monetary Policy; Forecasting;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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