Concordance in Business Cycles

McDermott, C. John; Scott, Alasdair M.

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Concordance in Business Cycles

IMF Working Paper No. 00/37

32 Pages Posted: 29 Jan 2006

See all articles by C. John McDermott

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: 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