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Concordance in Business Cycles

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 tes...

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Bibliographic Details
Main Author: McDermott, C.
Other Authors: Scott, Alasdair
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2000
Series:IMF Working Papers
Subjects:
Business Cycles
Public Expenditure Review
Public Finance & Taxation
Semiparametric And Nonparametric Methods
National Government Expenditures And Related Policies: General
Expenditure
Cycles
Economic Growth
Expenditures, Public
Macroeconomics
Business Fluctuations
Prices, Business Fluctuations, And Cycles: General (includes Measurement And Data)
Public Finance
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
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
Physical Description:31 pages
ISBN:9781451845563

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