Seminar 2 December, 2013
A Monthly International Dataset for the Interwar Period: Taking the Debate to the Next Level
Recent research on the Great Depression has increased the demand for detailed data on business activity. This paper presents a novel dataset that expands the data in three dimensions: (i) a larger cross-section with 28 countries, (ii) a higher (monthly) frequency of real economy data, and (iii) disaggregated data ensuring representativeness. We aggregate in total 415 single series using Principal Component Analysis to construct a business activity indicator for individual countries for the years 1925–1936. We date business cycle peaks and troughs during the Great Depression, and find that while pre-Depression peaks occurred in almost all countries in 1929, some countries were severely hit by the crisis as late as 1930 and 1931. Furthermore, we analyse business cycle comovement during the interwar period and find that exchange controls made countries more independent from the global economy, while the gold standard induced comovement.
Keywords: Great Depression, time series analysis, gold standard, business cycle comovement, exchange controls
JEL codes: C38, E32, E58, N14