Measuring Synchronicity and Co-movement of Business Cycles with an Application to the Euro Area

We develop multivariate measures of synchronicity and co-movement of busi-ness cycles. In addition to synchronicity, the co-movement measure takes dif-ferences between cycle amplitudes into account that have been overlooked in most previous studies. We apply the new measures to classical and deviation cycles in 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-à-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