Introduction

There is a long tradition of describing the main regularities in the economic fluctuations by reporting the standard deviations and cross-correlations of de-trended macroeconomic time series. Economists, originally mostly contributors to the Real Business Cycle (RBC) research programme, have then used these cyclical properties as benchmarks to discriminate across competing theoretical models. Against this background, the cyclical properties of the US economy (Stock and Watson, 1999) and other OECD countries (Baxter, 1995) are well documented. On the contrary, no study has yet described systematically the cyclical properties of the euro area.

This chapter fills this gap by compiling the moments of de-trended euro area macroeconomic time series. For comparison, we also report similar statistics for the USA and for euro area countries.

We find that the cyclical properties of the euro area and the USA are surprisingly similar in mainly three respects: the magnitude of the fluctuations in consumption, investment, prices, inflation, interest rate and monetary aggregates relative to the fluctuations of GDP; the patterns of cross-correlation of GDP components, prices and interest rates with respect to GDP; and the persistence of GDP and of prices.

We also describe the high synchronicity of national cycles and the euro area aggregate cycle. This synchronicity is observed for the main GDP components as well as for the short-term interest rate. It is particularly high for the largest countries of the euro area and for Austria, Belgium and the Netherlands, which belonged to the core ERM.