A Non-Stationary Perspective on the Euro Area Business Cycle

Business cycles, the ups and downs observed somewhat simultaneously in numerous macroeconomic variables in an economy and often measured using real GDP, are important and, despite much economic research, still incompletely understood. A method for ex-post dating of the business cycle in the Euro area is proposed. The business cycle is defined as the common dynamic of some macroeconomic time series. A non-stationary, non-parametric setup is used for business cycle dating. The recession periods found closely match those defined by the Centre for Economic Policy Research (CEPR) Dating Committee.