This study dates business cycles in 10 European countries, the United States,
and Japan between 1925 and 1936. The aim is to establish a consistent dating
of the world economic crisis, which is a precondition for understanding the
sharp economic decline in many countries during the interwar period. Three
approaches were applied that are common in business cycle dating. First, a
deskriptive analysis infers on recessions based on the two-consecutive
quarters approach often associated with the US National Bureau of Economic
Research. Second, the time series is decomposed into trend and cycle using the
Hodrick-Prescott (1980) filter. The third approach is to use Markov-regime
switching models, which was proposed by Hamilton (1989) for such purposes. The
results of confirm that the Great Depression was a global phenomenon, not
limited to the US or Germany. Business cycle comovement in the interwar period
is at a level comparable to the post- WWII period. This finding points at the
contribution of international business cycle integration to the course of the
decline in single countries
