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Measuring Synchronicity And Co-Movement Of Business Cycles With An Application To The Euro Area

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  • Mark Mink
  • Jan P.A.M. Jacobs
  • Jakob de Haan

    ()

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.

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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2007-19.

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Length: 27 pages
Date of creation: Sep 2007
Date of revision:
Handle: RePEc:een:camaaa:2007-19

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  1. Marianne Baxter & Michael Kouparitsas, 2004. "Determinants of business cycle comovement: a robust analysis," Working Paper Series, Federal Reserve Bank of Chicago WP-04-14, Federal Reserve Bank of Chicago.
  2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
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  7. Frankel, Jeffrey A & Rose, Andrew K, 1996. "The Endogeneity of the Optimum Currency Area Criteria," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1473, C.E.P.R. Discussion Papers.
  8. Croux, Christophe & Forni, Mario & Reichlin, Lucrezia, 1999. "A Measure of Comovement for Economic Variables: Theory and Empirics," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2339, C.E.P.R. Discussion Papers.
  9. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers, ZEI - Center for European Integration Studies, University of Bonn B 05-2003, ZEI - Center for European Integration Studies, University of Bonn.
  10. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1164, Econometric Society.
  11. Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004, Society for Computational Economics 16, Society for Computational Economics.
  12. C. John McDermott & Alasdair Scott, 2000. "Concordance in Business Cycles," IMF Working Papers, International Monetary Fund 00/37, International Monetary Fund.
  13. Carlo Altavilla, 2004. "Do EMU Members Share the Same Business Cycle?," Journal of Common Market Studies, Wiley Blackwell, Wiley Blackwell, vol. 42(5), pages 869-896, December.
  14. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
  15. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2008. "Do European business cycles look like one?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(7), pages 2165-2190, July.
  16. Haan, Jakob de & Inklaar, Robert & Jong-A-Pin, Richard, 2005. "Will business cycles in the Euro Area converge : a critical survey of empirical research," CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research 200508, University of Groningen, CCSO Centre for Economic Research.
  17. Robert Inklaar & Richard Jong-A-Pin & Jakob de Haan, 2005. "Trade and Business Cycle Synchronization in OECD Countries - a Re-examination," CESifo Working Paper Series 1546, CESifo Group Munich.
  18. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006, Society for Computational Economics 175, Society for Computational Economics.
  19. Wynne, Mark A & Koo, Jahyeong, 2000. "Business Cycles under Monetary Union: A Comparison of the EU and US," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 67(267), pages 347-74, August.
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