National and supranational business cycles (1960-2000) : a multivariate description of central G7 and Euro 15 NIPA aggregates

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the salient business cycle characteristics of central NIPA aggregates for the G7. Their role in contributing to the supranational G7- and Euro15- (area wide) product's dynamics is investigated, respectively. Several refinements of conventional methods are suggested. In contrast to recent studies, and with the notable exception of the US economy, the volatility analysis finds no indications for automatic stabilizers on the national and supranational level for the investigated period. The spectral analysis reveals evidence of significant classical business cycles with frequencies corresponding to about two to four and about seven to ten years period lengths that are both reflected also in the spectra of the two supranational economies. Throughout the study the findings for the US and German economy stand out.