Concordance in Business Cycles

Author/Editor:

C. John McDermott ; Alasdair Scott

Publication Date:

March 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 2000/037

Subject:

Business cycles Economic growth Expenditure Public expenditure review

English

Publication Date:

March 1, 2000

ISBN/ISSN:

9781451845563/1018-5941

Stock No:

WPIEA0372000

Pages:

31

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