Concordance in business cycles

Release date
01/06/1999
Reference
G99/7
Authors
Dr John McDermott; Alasdair Scott
Main file
We study the properties of a test of that determines whether two time series co-move. The test computes a simple non-parametric 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.