Article

 

Business Cycles in Greece (1960-2008): An Econometric Investigation  (p.71-106)

by

Angelos Vouldis, University of Athens, Greece

John Milios, National Technical University of Athens, Greece

Panayotis Michaelides, National Technical University of Athens, Greece

Spyros Lapatsioras, University of Crete, Greece

Keywords : Macroeconomic variables, trends, filters, frequency, business cycles, Greece

JEL classification : E32, O11, C10

Abstract

Business cycle theory has fascinated economists ever since the beginning of economics as a science. The analysis of empirical facts has often been used as basis for the testing and formulation of theoretical models of the business cycle. The purpose of this paper is to analyze the principal macroeconomic series of business cycle in Greece using relevant econometric techniques over the time period 1960-2008. We adopt a definition according to which business cycles are regarded as fluctuations around a trend, i.e. deviation cycles. The type of trend has serious implications considering it determines the propagation of shocks. We investigate the stationarity properties of time series for basic macroeconomic variables and their first differences using the augmented Dickey-Fuller test. Next, we use five different de-trending methods to decompose the original series into a trend and a cyclical component. Furthermore, we use spectral analysis to extract periodograms which indicate, approximately, the length of the cycle. Finally, we examine whether the various de-trended macroeconomic variables follow a cyclical pattern or if their evolution in time is white noise. The empirical results suggest that strong cyclical regularities are present. In fact our findings, regarding the cyclical patterns of the macroeconomic variables under survey and the periodization of the phases of development of the Greek economy are consistent with the findings by other researchers.