Measuring Synchronicity and Co-Movement of Business Cycles with an Application to the Euro Area

31 Pages Posted: 10 Oct 2007

See all articles by Mark Mink

Mark Mink

University of Groningen - Faculty of Economics and Business

Jan P. A. M. Jacobs

University of Groningen - Faculty of Economics and Business

Jakob de Haan

University of Groningen - Faculty of Economics and Business; De Nederlandsche Bank; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: October 2007

Abstract

We develop multivariate measures of synchronicity and co-movement of business cycles. In addition to synchronicity, the co-movement measure takes differences between cycle amplitudes into account that have been overlooked in most previous studies. We apply the new measures to the euro area. Synchronicity and co-movement for the region as a whole do not exhibit a clear upward tendency. Although several countries saw the similarity of their business cycle vis-a-vis the euro area reference cycle increase, national business cycles remain fairly diverse. Changes in business cycle amplitudes cause most of the observed change in cycle co-movement.

Keywords: business cycles, synchronisation, concordance, co-movement, cycle amplitudes, euro area

JEL Classification: E32, F02, F42

Suggested Citation

Mink, Mark and Jacobs, Jan P.A.M. and de Haan, Jakob, Measuring Synchronicity and Co-Movement of Business Cycles with an Application to the Euro Area (October 2007). CESifo Working Paper Series No. 2112. Available at SSRN: https://ssrn.com/abstract=1020557

Mark Mink

University of Groningen - Faculty of Economics and Business

Postbus 72
9700 AB Groningen
Netherlands

Jan P.A.M. Jacobs

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Jakob de Haan (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

PO Box 800
Groningen, 9700 AV
Netherlands
+31 0 50 3633706 (Fax)

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB
Netherlands

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

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