حقایق و رفتار موجودی سبک خاصی طراحی شده چرخه کسب و کار : شواهد جدید برای منطقه یورو

The purpose of this paper is for the first time to use Business Tendency Survey data, first, to identify new facts that are useful for the interpretation of the decline in the volatility of real activity in the Euro area, and, second, to test the inventory management hypothesis as an explanation for the Great Moderation in Europe. We present stylized facts from the Business Tendency data on series for inventories, current production, current orders, and expected production for the Euro area, emphasizing the decline in the volatility of the series. Further, we investigate whether the decline in inventory volatility can be attributed to an endogenous change in the persistence of shocks to the accumulation dynamics of inventories or to an exogenous change in the shocks hitting the inventory optimisation process. Our results at Euro level generally indicate that there is no evidence of a break in the inventory accumulation process. On the contrary, the impact of exogenous shocks on inventory volatility appears to be steadily declining over time, beginning from the mid-1980s.

In recent years a number of studies—see, for example, McConnell and Perez-Quiros (2000), Blanchard and Simon (2001), and Stock and Watson (2003)—have reported stylized facts concerning the most important US macroeconomic time series. The main findings concern the decline in volatility observed in US macroeconomic data since the mid-1980s. Despite the large amount of literature on this topic and efforts to explain the evidence, the debate on the causes of the “Great Moderation” is still open. Blanchard and Simon (2001) attribute it to improvements in monetary and fiscal policy. Stock and Watson (2003) argue that the reduction in US output volatility should be attributed not only to better monetary policy but also to a decrease in the volatility of productivity shocks—the so-called “Good Luck” hypothesis. McConnell and Perez-Quiros (2000) propose an explanation for the reduction in US production volatility based on better inventory management practices within durable goods. More recent explanations – for example, Dynan et al. (2006) – focus on the role of financial markets in the propagation mechanism of the shocks. Work has also proceeded to uncover stylized facts for the European Business cycle. A substantial literature has focused on topics such as the synchronicity of national cycles with respect to the Euro area business cycle – Camacho et al. (2008) and Stock and Watson (2005), convergence – Carvalho and Harvey (2005) and Canova et al. (2007), the time varying nature of international business cycles – Artis et al. (2006), the dating of cyclical chronology – Simpson et al. (2001), Artis et al. (2004), and Giannone and Reichlin (2005), changes in the volatility of output growth and other characteristics of business cycles among European and G-7 countries – Agresti and Mojon (2001), Artis et al. (2004), Stock and Watson (2005), and Giannone et al. (2008), among the others. The purpose of this paper is for the first time to use Business Tendency Survey data, first, to identify new facts that are useful for the interpretation of the decline in the volatility of real activity in the Euro area, and, second, to test the inventory management hypothesis as an explanation for the Great Moderation in Europe. In fact, unlike in the US, inventory data in Europe are not directly derived from specific quantitative surveys among firms, but are obtained as a residual in the form of inventory investment from the National Accounts. Hence, quantitative data exist on inventory investment, but not on inventory stocks. Studies that have explored the relationship between inventory investment and GDP in the Euro area include Dimelis (2001) and Chikan and Tatrai (2003). However, to investigate issues such as the behaviour of inventories over the business cycle and whether advances in inventory management techniques can explain the Great Moderation, inventory stock data are needed. To fill this gap, in this paper we make use of inventory stock data from the Business Tendency Surveys (BTS).1 These data are qualitative in the sense that firms are not asked to provide quantitative information about a variable of interest (say, the level of production), but rather to state whether this variable has increased, stayed the same, or decreased with respect to the previous month. On inventories, the qualitative nature of the data means that firms are asked to state whether inventory levels are above or below “normal” levels generally interpreted as desired levels of stocks. In the first part of the paper, we provide new stylized facts on business cycles for the Euro area – specifically, Italy, France, and Germany – and the United Kingdom in comparison with the US. We discuss the business cycle properties of the Business Tendency Survey data for the Euro area in order to provide evidence of their suitability to be used to interpret business cycle stylized facts. Since inventories are associated with the production of goods, we perform our analysis using Industrial Production as a reference for business cycle movements. Our results indicate that the BTS data are strongly correlated with Industrial Production and that the findings of a decline in volatility hold for these data as well. This evidence allows us to make use of Business Tendency Survey data on inventories to draw inferences regarding the role of inventories at the aggregate level. Next, the paper provides new evidence on the causes of the decline in output volatility in the Euro area, investigating in particular the inventory management hypothesis. Whereas the hypothesis that better inventory management techniques brought about by computerization has been widely investigated as an explanation for the Great Moderation in the US,2 few attempts have been made in this direction for Europe, essentially due to lack of reliable data on inventory stocks. To this end, we attempt to determine whether the decline in the volatility of Euro area economic activity can be attributed mainly to an endogenous change in the persistence of shocks to the accumulation dynamics of inventory movements, or rather to a change in the shocks hitting the inventory optimisation process, such as, sales, interpreting the latter as exogenous. Rather than undertaking a search for the best empirical model of the inventory accumulation process, we use a standard specification based on an AR process also used by Stock and Watson (2005), allowing for a discrete break in 1984, in order to evaluate changes in inventory accumulation over time. The results indicate that the inventory accumulation process at the European level, excluding the case of Italy, did not experience a break in 1984. Rather, the impact of external, exogenous shocks seems to have been declining over time, starting in the mid-1980s, which has caused a decline in the volatility of the inventory accumulation process. In sum, it appears that inventories did not play a major role in causing the Great Moderation in Europe. Rather, the decline in the volatility of the inventory accumulation process seems to be due a decline in the volatility of exogenous shocks due to other forces, such as better monetary policy, “Good Luck”, or changes in the role of financial markets. The paper is structured as follows: Section 2 reports business cycle characteristics for Industrial Production for the Euro area. Section 3 describes the data set and reports the main stylized facts for key series in the Business Tendency Surveys. Section 4 explores the possible role of inventory accumulation in explaining the Great Moderation using the Business Tendency Survey data. Section 5 concludes.

The analysis in the first part of the paper presents stylized facts on business cycles using for the first time Business Tendency Survey data as well as data on Industrial Production. The analysis confirms that fluctuations in Industrial Production have been on average longer, more ample and steeper in the US and the UK with respect to the main countries of the Euro Area (Germany, France, and Italy). Nevertheless, the US, the UK, as well as the main countries of the Eurozone, all display a remarkable reduction of business cycle volatility from the mid-1980s onwards. Most importantly, the presentation of the stylized facts for the Business Tendency Survey data reveal a number of interesting observations. First, current production assessments from the BTS data are highly correlated with Industrial Production for the sample period, so that the survey data are able to match movements for the industrial sectors of the Euro Core and for individual countries. This is important for subsequent empirical work with the BTS data. Second, inventory balances tend to move counter-cyclically with current production assessments. Third, rolling standard deviations of all the series in the BTS data reveal a decline in volatility in real activity since the mid-1980s. The second part of the paper has been devoted to the investigation of one of the possible explanations for the Great Moderation, namely the explanation associated with better inventory management methods made possible by the use of more advanced technologies. This issue has been often addressed in the literature with reference to the US, but it has been seldom considered for Europe, mainly because of a lack of official and reliable data on inventory stocks. In this regard, our contribution has been that of introducing into this kind of literature the use of qualitative data drawn from Business Tendency Surveys harmonised at the European level by the European Commission. In particular, a possible interpretation of BTS data on inventories is that they represent the divergence between the actual and the desired level of stocks. The latter is usually found to depend upon the level of sales and the technology used to adjust stocks to their desired level. Hence, the volatility of inventories is influenced by both exogenous and endogenous factors: the former are mainly linked to the volatility of sales, and therefore to factors that may influence volatility on the demand side of the economy; the latter are instead linked to technology used in the inventory accumulation process, including those which enable the better forecasting of sales (with the consequent adjustment of the desired level of stocks to that of sales) and the better adjustment of the actual to the desired level of stocks. In this regard, our analysis has shown that there is no evidence of a break in the inventory accumulation process at the European level; rather, there is evidence that the impact of external, exogenous shocks has gradually declined over time, starting since the mid-1980s. Consequently, our results do not support the view that inventories have played a role in explaining the Great Moderation in the Euro area. Rather, an explanation for the Great Moderation in the Euro area appears to lie with other forces, such as, better monetary policy, “Good Luck”, or changes in the role of financial markets, an analysis of which is left for future work. In summary, the main contribution of this paper is to demonstrate that the Business Tendency Survey data can be extremely useful both to present stylized facts on business cycle activity in the Euro area and to test interesting hypotheses, such as, whether inventory management advances were responsible for the Great Moderation. Further research is clearly advisable, making more thorough use of BTS data, including those on the expectations of economic agents concerning such key variables as orders, demand and production. In particular, such data are potentially valuable for the econometric estimation of optimisation models of inventory behaviour and to test interesting hypotheses regarding movements in inventories, demand and production. In fact, in the Euro area, information that is available in the BTS data, such as on inventory stocks and expected production, is not available elsewhere and can be derived only by means of public opinion surveys such as the one carried out in Europe by the European Commission.