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Concordance in business cycles Author info | Abstract | Publisher info | Download info | Related research | Statistics C John McDermott
Alasdair Scott (Reserve Bank of New Zealand )
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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.
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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number
G99/7.
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Length: 27p
Date of creation: Dec 1999Date of revision:
Handle: RePEc:nzb:nzbdps:1999/07Contact details of provider: Postal: P.O. Box 2498, Wellington Phone: 64 4 471-3767 Fax: 64 4 471-2270 Email: Web page: http://www.rbnz.govt.nz More information through EDIRC
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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Watson, Mark W, 1994.
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Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis ,"
Cowles Foundation Discussion Papers
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Other versions:
Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
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Other versions: Diebold, Francis X & Rudebusch, Glenn D, 1990.
"A Nonparametric Investigation of Duration Dependence in the American Business Cycle ,"
Journal of Political Economy ,
University of Chicago Press, vol. 98(3), pages 596-616, June.
[Downloadable!] (restricted)
Other versions: Paul Cashin & C John McDermott & Alasdair Scott, 1999.
"Booms and slumps in world commodity prices ,"
Reserve Bank of New Zealand Discussion Paper Series
G99/8, Reserve Bank of New Zealand.
[Downloadable!]
Other versions:
Paul Cashin & C. John McDermott & Alasdair Scott, 1999.
"Booms and Slumps in World Commodity Prices ,"
IMF Working Papers
99/155, International Monetary Fund.
Cashin, Paul & McDermott, C. John & Scott, Alasdair, 2002.
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Journal of Development Economics ,
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[Downloadable!] (restricted) King, Robert G. & Plosser, Charles I., 1994.
"Real business cycles and the test of the Adelmans ,"
Journal of Monetary Economics ,
Elsevier, vol. 33(2), pages 405-438, April.
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Other versions:
King, R.G. & Plosser, C.I., 1989.
"Real Business Cycles And The Test Of The Adelmans ,"
RCER Working Papers
204, University of Rochester - Center for Economic Research (RCER).
Robert G. King & Charles I. Plosser, 1989.
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NBER Working Papers
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"Real business cycles and the test of the Adelmans ,"
Proceedings ,
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DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992.
"The power problems of unit root test in time series with autoregressive errors ,"
Journal of Econometrics ,
Elsevier, vol. 53(1-3), pages 323-343.
[Downloadable!] (restricted)
Don Harding & Adrian Pagan, 1999.
"Knowing the Cycle ,"
Melbourne Institute Working Paper Series
wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
[Downloadable!]
Adrian Pagan, 1997.
"Towards an Understanding of Some Business Cycle Characteristics ,"
Australian Economic Review ,
The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 30(1), pages 1-15.
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Alasdair Scott, 2000.
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Iris Claus & Grant Scobie, 2001.
"Household Net Wealth: An International Comparison ,"
Treasury Working Paper Series
01/19, New Zealand Treasury.
[Downloadable!]
David Norman & Thomas Walker, 2004.
"Co-movement of Australian State Business Cycles ,"
RBA Research Discussion Papers
rdp2004-09, Reserve Bank of Australia.
[Downloadable!]
Sharon McCaw & C John McDermott, 2000.
"How New Zealand adjusts to macroeconomic shocks: implications for joining a currency area ,"
Reserve Bank of New Zealand Bulletin ,
Reserve Bank of New Zealand, vol. 63, March.
[Downloadable!]
Gonzalo Llosa & Shirley Miller, 2005.
"Using additional information in estimating the output gap in Peru: a multivariate unobserved component approach ,"
Working Papers
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Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003.
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2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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Ariño, Miguel A. & Canela, Miguel A., 2006.
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International Review of Applied Economics ,
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[Downloadable!] (restricted)
Tamim Bayoumi & Thomas Helnling, 2003.
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IMF Working Papers
03/46, International Monetary Fund.
[Downloadable!]
Paul Cashin & C John McDermott & Alasdair Scott, 1999.
"Booms and slumps in world commodity prices ,"
Reserve Bank of New Zealand Discussion Paper Series
G99/8, Reserve Bank of New Zealand.
[Downloadable!]
Other versions:
Paul Cashin & C. John McDermott & Alasdair Scott, 1999.
"Booms and Slumps in World Commodity Prices ,"
IMF Working Papers
99/155, International Monetary Fund.
Cashin, Paul & McDermott, C. John & Scott, Alasdair, 2002.
"Booms and slumps in world commodity prices ,"
Journal of Development Economics ,
Elsevier, vol. 69(1), pages 277-296, October.
[Downloadable!] (restricted) Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Lucrezia Reichlin & Giovanni Veronese, 2001.
"The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle ,"
Temi di discussione (Economic working papers)
434, Bank of Italy, Economic Research Department.
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Peter McAdam, 2003.
"US, Japan and the euro area - comparing business-cycle features ,"
Working Paper Series
283, European Central Bank.
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Stan du Plessis, 2006.
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Thomas Walker & David Norman, 2004.
"Co-movement of Australian State Business Cycles ,"
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334, Econometric Society.
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Daniel Kanda, 2008.
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Temi di discussione (Economic working papers)
436, Bank of Italy, Economic Research Department.
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Paul Cashin & C John McDermott & Alasdair Scott, 1999.
"The myth of co-moving commodity prices ,"
Reserve Bank of New Zealand Discussion Paper Series
G99/9, Reserve Bank of New Zealand.
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"Empirical investigation on the relationship between Japanese and Asian emerging equity markets ,"
Applied Financial Economics Letters ,
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Gonzalo Llosa/Shirley Miller, 2004.
"Using additional information in estimating output gap in Peru: a multivariate unobserved component approach ,"
Econometric Society 2004 Latin American Meetings
243, Econometric Society.
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"Estimating Capacity Utilization Using a SVAR Model: An Application to the US and Canadian Economies ,"
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CAMA Working Papers
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CEPR Discussion Papers
3108, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
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