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Synchronization of cycles

Listed author(s):
  • Harding, Don
  • Pagan, Adrian

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.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 132 (2006)
Issue (Month): 1 (May)
Pages: 59-79

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Handle: RePEc:eee:econom:v:132:y:2006:i:1:p:59-79
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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