Concordance in Business Cycles

Reserve Bank of New Zealand Working Paper No. G99/7

28 Pages Posted: 24 Nov 2002

See all articles by C. John McDermott

C. John McDermott

National Bank of New Zealand

Alasdair M. Scott

International Monetary Fund (IMF)

Date Written: 1999

Abstract

We study the properties of a test of that determines whether two time series co-move. The test computes a simple non-parametric 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.

JEL Classification: C14, E32

Suggested Citation

McDermott, C. John and Scott, Alasdair M., Concordance in Business Cycles (1999). Reserve Bank of New Zealand Working Paper No. G99/7, Available at SSRN: https://ssrn.com/abstract=321383 or http://dx.doi.org/10.2139/ssrn.321383

C. John McDermott (Contact Author)

National Bank of New Zealand ( email )

P.O. Box 540
Wellington
New Zealand

Alasdair M. Scott

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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