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

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

    ()

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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File URL: http://cbe.anu.edu.au/research/papers/camawpapers/Papers/2007/Mink_Jacobs_deHaan_192007.pdf
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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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