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Measuring Synchronicity and Co-movement of Business Cycles with an Application to the Euro Area

Author

Listed:
  • Jakob de Haan
  • Jan Jacobs
  • Mark Mink

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.

Suggested Citation

  • Jakob de Haan & Jan Jacobs & Mark Mink, 2007. "Measuring Synchronicity and Co-movement of Business Cycles with an Application to the Euro Area," CESifo Working Paper Series 2112, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_2112
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    business cycles; synchronisation; concordance; co-movement; cycle amplitudes; euro area;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F02 - International Economics - - General - - - International Economic Order and Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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