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Concordance in Business Cycles

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  • Mr. C. John McDermott
  • Mr. Alasdair Scott

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.

Suggested Citation

  • Mr. C. John McDermott & Mr. Alasdair Scott, 2000. "Concordance in Business Cycles," IMF Working Papers 2000/037, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2000/037
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    References listed on IDEAS

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    More about this item

    Keywords

    WP; concordance statistic; bar code; random walk; standard error; Concordance; phase; business cycles; correlation statistic; sample covariance statistic; Kiefer-salmon statistics; summary statistics; business cycle date; time series; brain-Shapiro statistic; Public expenditure review; Global;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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