2002年-ECB欧洲央行_Characteristics_of_the_euro_area_business_cycle_in_the_1990s_11页_248kb

报告摘要

Summary of the Euro Area Business Cycle in the 1990s

Core Content

This article provides an analysis of the euro area business cycle during the 1990s, focusing on the statistical properties of key economic indicators. It highlights both the general patterns and specific features of cyclical developments across different sub-periods.

Main Characteristics of the Euro Area Business Cycle in the 1990s

Real GDP is used as the primary indicator of overall economic activity.
The article employs the band-pass filter to estimate cyclical components and assess their relationship with GDP and other variables.
The analysis identifies coincident, leading, and lagging relationships between various economic indicators and the business cycle.

Key Indicators and Their Relationships

Variable	Contemporaneous Correlation	Maximum Correlation	Lead/Lag	Standard Deviation Ratio	Autocorrelation (1Q)	Autocorrelation (2Q)	Autocorrelation (3Q)
Real GDP	-	-	-	-	0.88	0.65	0.35
Domestic demand	0.94	0.94	coincident	1.4	0.91	0.72	0.46
Private consumption	0.83	0.86	lagging (1)	1.1	0.93	0.79	0.59
Government consumption	0.02	0.87	lagging (7)	0.7	0.92	0.74	0.52
Gross fixed capital formation	0.94	0.94	coincident	3.0	0.91	0.72	0.46
Inventory changes	0.57	0.60	leading (1)	39.5	0.87	0.59	0.26
Total exports	0.81	0.81	coincident	3.2	0.89	0.61	0.25
Total imports	0.96	0.96	coincident	4.0	0.90	0.67	0.38
Employment	0.82	0.89	lagging (1)	0.9	0.91	0.78	0.61
Unemployment rate	-0.47	-0.69	lagging (2)	1.1	0.87	0.72	0.57
Labour productivity	0.21	0.32	leading (1)	0.9	0.69	0.37	0.10
Industrial production (excluding construction)	0.92	0.92	coincident	2.9	0.89	0.63	0.30
Extra-euro area exports of goods	0.19	0.23	leading (1)	3.9	0.88	0.60	0.28

Main Findings

Private consumption and government consumption are both lagging the cycle, but government consumption lags significantly more, which suggests it is less responsive to short-term economic fluctuations.
Inventory changes are the most volatile component, showing a very high standard deviation and a leading pattern relative to GDP.
Gross fixed capital formation and total trade variables (imports and exports) exhibit high co-movement with GDP and are coincident with it.
Labour productivity is the only variable that leads GDP, indicating that productivity changes can signal future economic activity.
Industrial production (excluding construction) is a significant contributor to the business cycle, showing a high degree of co-movement with GDP and a similar persistence.

Sub-Period Analysis

Early 1990s (1992–1995)

The cycle was mainly driven by domestic demand, with extra-euro area exports showing a longer lead than usual.
The decline in exports preceded GDP, influenced by German unification, which boosted domestic demand and offset earlier export downturns.
The subsequent recovery in GDP was supported by external developments starting in 1993, but domestic demand recovery was delayed until the second half of 1993.

Mid-1990s (1995–1998)

The cycle was characterized by lower GDP variability compared to the 1990s average.
The downturn was longer than in previous cycles.
Exports and investment were the main drivers, with exports leading GDP by more quarters than usual.
Domestic demand lagged GDP, especially during the upturn, which was not in line with the average pattern.
The consumption and employment cycles peaked later than GDP, indicating a longer lag.

Late 1990s (1998–2000)

Cyclical developments in GDP were primarily driven by the external sector, particularly extra-euro area exports.
The decline in exports was more severe than in previous cycles, with a deviation from trend of around 8 percentage points.
Domestic activity remained stable, showing a slower expansion compared to the previous cycles.
The upturn was supported by external improvements and a decline in interest rates, which stimulated investment and consumption.

Key Insights

While the average characteristics of the euro area business cycle in the 1990s are useful for analysis, individual sub-periods showed distinct patterns.
External factors (such as exchange rates and trade dynamics) played a significant role in shaping the business cycle.
Domestic demand and investment were important drivers, especially in the early and mid-1990s.
Labour productivity and inventory changes are particularly useful for forecasting due to their leading nature.
The integration of the euro area and external shocks influenced the cyclical behavior of the economy, highlighting the importance of considering both domestic and international factors in business cycle analysis.