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CROSS-CORRELATION OF BUSINESS CYCLES

Statistics Directorate    
Definition:
A measure of how closely aligned the timing of movements in activity are for two countries over their business cycles. The cross-correlation statistic for two economic time series can range from -1 to 1.

In general, the closer the cross-correlation is to value of 1 the more in phase and synchronised the business cycles will be. A value of -1 would indicate that the two series move perfectly in a counter-cyclical direction. A value near zero indicates that there is no statistical relationship between the series.

Source Publication:
OECD Economic Outlook Glossary + mme2012.opf.slu.cz/.

Hyperlink:
http://mme2012.opf.slu.cz/proceedings/pdf/041_Grochova.pdf

Statistical Theme: Financial statistics

Created on Friday, March 21, 2003

Last updated on Thursday, June 13, 2013