Concordance in Business Cycles

32 Pages Posted: 29 Jan 2006

See all articles by C. John McDermott

C. John McDermott

Reserve Bank of New Zealand

Alasdair M. Scott

International Monetary Fund (IMF)

Date Written: March 2000

Abstract

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric 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.

Keywords: Concordance, phase, business cycles

JEL Classification: C14, E32

Suggested Citation

McDermott, C. John and Scott, Alasdair M., Concordance in Business Cycles (March 2000). IMF Working Paper No. 00/37, Available at SSRN: https://ssrn.com/abstract=879409

C. John McDermott (Contact Author)

Reserve Bank of New Zealand ( email )

2 The Terrace
P.O. Box 2498
Wellington, 6011
New Zealand

Alasdair M. Scott

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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