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Title:Measuring synchronicity and co-movement of business cycles with an application to the euro area PDF Logo
Authors:Mink, Mark
Jacobs, Jan P.A.M.
de Haan, Jakob
Issue Date:2007
Series/Report no.:CESifo working paper 2112
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.
Subjects:business cycles
synchronisation
concordance
co-movement
cycle amplitudes
euro area
JEL:E32
F02
F42
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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