Business cycle co-movement: Evidence from the Great Depression

► We study the determinants of output co-movement around the Great Depression. ► The data are for a new panel of country pairs between 1920 and 1938. ► Fixed exchange rates and trade are significant determinants of output co-movement. ► The resurgence of fixed exchange rates and trade after 1930 raises co-movement. ► In the 1930s there is also evidence of lower co-movement between blocs.