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Synchronization of cycles

Harding, Don & Pagan, Adrian (2006) Synchronization of cycles. Journal of Econometrics, 132(1), pp. 59-79.

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Abstract

Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States. An algorithm is developed to extract a common cycle. It is used to extract the reference cycle for the United States and common cycles in stock prices and European industrial production.

Impact and interest:

64 citations in Scopus
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52 citations in Web of Science®

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ID Code: 8043
Item Type: Journal Article
Additional Information: For more information or for a copy of this article see the publisher URL above or contact the author at a.pagan@qut.edu.au
Keywords: Business cycles, Common cycles, Synchronization, Turning points, Factor models
DOI: 10.1016/j.jeconom.2005.01.023
ISSN: 0304-4076
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2005 Elsevier
Deposited On: 06 Jun 2007
Last Modified: 29 Feb 2012 23:22

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