Concordance in Business Cycles
Reserve Bank of New Zealand Working Paper No. G99/7
28 Pages Posted: 24 Nov 2002
Date Written: 1999
Abstract
We study the properties of a test of that determines whether two time series co-move. The test computes a simple non-parametric statistic for 'concordance,' which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of this test. As an illustration, the procedures are applied to output series from selected major industrial countries. We find limited evidence of widespread concordance for these countries.
JEL Classification: C14, E32
Suggested Citation: Suggested Citation
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