Synchronization of cycles

Don Harding and Adrian Pagan
Authors registered in the RePEc Author Service: Warwick Mckibbin

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Many interesting issues are posed by synchronisation of cycles. In this paper we define synchronisation and show how the degree of synchronisation can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronised or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States. An algorithm is developed to extract a common cycle. It is used to extract the reference cycle for the United States and common cycles in stock prices and European industrial production.

Keywords: Business Cycles; Common Cycles; Synchronization; Turning Points; Factor Models (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 C33 E32 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2004-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Related works:
Journal Article: Synchronization of cycles (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2004-03

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