Concordance in Business Cycles

Author: Mr. C. John McDermott and Mr. Alasdair Scott

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric 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.

Volume/Issue: Volume 2000 Issue 037

Publication date: March 2000

ISBN: 9781451845563

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Topics covered in this book

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Business and Economics , Economics- Macroeconomics , Public Finance , WP , concordance statistic , bar code , random walk , standard error , Concordance , phase , business cycles , correlation statistic , sample covariance statistic , Kiefer-salmon statistics , summary statistics , business cycle date , time series , brain-Shapiro statistic , Public expenditure review , Global

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Summary

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric 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.