Measuring Synchronicity and Co-movement of Business Cycles with an Application to the Euro Area

Jakob de Haan, Jan Jacobs, Mark Mink and Jakob de Haan
Authors registered in the RePEc Author Service: Jakob de Haan

No 2112, CESifo Working Paper Series from CESifo

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.

Keywords: business cycles; synchronisation; concordance; co-movement; cycle amplitudes; euro area (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (47)

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Working Paper: MEASURING SYNCHRONICITY AND CO-MOVEMENT OF BUSINESS CYCLES WITH AN APPLICATION TO THE EURO AREA (2007)
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