MEASURING SYNCHRONICITY AND CO-MOVEMENT OF BUSINESS CYCLES WITH AN APPLICATION TO THE EURO AREA

Mark Mink (), Jan Jacobs () and Jakob de Haan ()

CAMA Working Papers from Australian National University, Centre for Applied Macroeconomic Analysis

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.

JEL-codes: E32 F02 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cba, nep-eec, nep-ets and nep-mac
Date: Written 2007-09
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Related works:
Working Paper: Measuring Synchronicity and Co-movement of Business Cycles with an Application to the Euro Area (2007)
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