Demand Matters: German Wheat Market Integration 1806-1855 in a European Context

This study analyzes annual wheat prices in 13 German cities in the years 1806 to 1855, together with wheat price series from 44 other European and American cities. The method used is a dynamic factor model, which allows for distinguishing common price uctuations on international and national levels. I find a significant increase of price synchronization between German cities and international markets, between the first and the second quarter of the 19th Century. This is probably mainly due to the increased demand for food imports in Britain and the disappearance of political barriers, as well as economies of scale and gradual improvements to existing transportation technology. Within Germany, I find increasing common price uctuations in Mannheim and Munich, which arguably refl ects a customs union effect. Tree ring records as indicators of general plant growth conditions indicate that comovement was not driven by exogenous shocks.market integration, 19th Century, dynamic factor analysis, wheat prices, Germany

International and National Wheat Market Integration in the 19th Century: A Comovement Analysis

This paper analyses 19th century wheat market integration using comovement analysis borrowed from international business cycle research. This allows for tracking each single city's integration into its respective national market while controlling for international developments. I nd that the biggest push to global wheat market integration happened before 1860, before the railroad could have had substantial eects. Thus, the increase of U.S. wheat supply after 1870 was not that revolutionary than the established convergence literature suggests. It seems to be fair instead to speak of a major producer accessing the world's biggest market for wheat { Western Europe. The results also call for reconsidering on how national and international markets evolved alongside as the timing turns out to be diverse across Europe. Some countries like Austria-Hungary developed national markets only at the end of the 19th century; others like England integrated nationally early in the 1800s, and later internationally.market integration; 19th century; dynamic factor analysis; wheat prices

Identifying International Business Cycles in Disaggregate Data: Germany, France and Great Britain

This article analyzes international business cycles in Europe 1862-1913 using disaggregated data and Dynamic Factor Analysis. In comparison with estimates of real national product there is more evidence for international business cycles in disaggregated data of Germany, France and Great Britain before World War I. This is because data used to construct historical national accounts are often not sufficient to date business cycles, and especially because little is known about general price fluctuations. Thus, national products in current prices show higher degrees of international correlation than deflated ones although price indices themselves are not very well correlated across countries.International Business Cycles, Historical National Accounting, Disaggregate Data, Dynamic Factor Models

Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913

We use a Bayesian dynamic factor model to measure Germany’s pre World War I economic activity. The procedure makes better use of existing time series data than historical national accounting. To investigate industrialization we propose to look at comovement between sectors. We find that Germany’s industrial sector developed earlier than stated in the literature, since after the 1860s agricultural time series do not comove with the business cycle anymore. Also, the bulk of comovement between 1820 and 1913 can be traced back to five out of 18 series representing industrial production, investment and demand for industrial inputs. Our factor is impressingly confirmed by a stock price index, leading the factor by 1-2 years. We also find evidence for early market integration in the 1820s and 1830s. Our business cycle dating aims to resolve the debate on German business cycle history. Given the often unsatisfactory quality of national accounting data for the 19th century we show the advantage of dynamic factor models in making efficient use of rare historical time series.Business Cycle Chronology; Imperial Germany; Dynamic Factor Models; Industrialization.

Stock Markets and Business Cycle Comovement in Germany before World War I: Evidence from Spectral Analysis

This paper examines the comovement of the stock market and of real activity in Germany before World War I under the effcient market hypothesis. We employ multivariate spectral analysis to compare rivaling national product estimates to stock market behavior in the frequency domain. Close comovement of one series with the stock market enables us to decide between various rivaling business cycle chronologies. We find that business cycle dates obtained from deflated national product series are severely distorted by interference with the implicit price deflator. Among the nominal series, the income estimate of Hoffmann (1965) correlates best with the stock market, while the tax based estimate of Hoffmann and Müller (1959) is too smooth especially before 1890. We find impressive comovement between the stock market and nominal wages, a sub-series of Hoffmann's income estimate. We can show that a substantial part of this nominal wage series is driven by data on real investment activity. Our findings confirm the traditional business cycle chronology for Germany of Burns and Mitchell (1946) and Spiethoff (1955), and lead us to discard later, rivaling business cycle chronologies.Business Cycle Chronology, Imperial Germany, Spectral Analysis, Effcient Market Hypothesis

The U.S. Business Cycle, 1867-1995: Dynamic Factor Analysis vs. Reconstructed National Accounts

This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation relative to pre-1914, this evidence is not robust to structural change, implemented by time-varying factor loadings. We do find evidence of moderation in the nominal series, however, and reproduce the standard result of moderation since the 1980s. Our estimates broadly confirm the NBER historical business cycle chronology as well the National Income and Product Accounts, except for World War II where they support alternative estimates of Kuznets (1952).U.S. business cycle, volatility, dynamic factor analysis

The global impact of the great depression

This paper provides monthly economic activity indicators for 30 countries on six continents for the period 1925–36 based on more than 1200 historical time series. Aggregating these to a global economic activity indicator shows that the global recovery after 1931 was slower than much-cited contemporary evidence suggests. On a disaggregated level, we find that the majority of European countries experienced recessionary tendencies already in the mid-1920s, which puts the notion of a US-originated Great Depression into perspective. Our evidence cautions against employing industrial production to assess crises and recoveries across space as manufacturing catch-up growth occurs less developed countries. In this vein we find that in contrast to established historiography Spain, albeit floating her currency, was severely affected by the crisis, and Japan was hit harder than annual industrial production suggests. Finally, mapping the Depression suggests that economic improvements of major trading partners could have served as a catalyst for a country’s recovery. As a methodological contribution, we develop a framework to aggregate non-stationary series using principal component weights, and we scale the resulting indicators to an interpretable dimension using the standard deviation of annual industrial production indices