Does domestic cooperation lead to business-cycle convergence and financial linkages?

We test for convergence – à la Massmann and Mitchell [Massmann, M., & Mitchell, J. (2004). Reconsidering the evidence: Are Euro area business cycles converging? Journal of Business Cycle Measurement and Analysis, 1(3), 275–307] – among the industrial sectors of some APEC members—Japan, South Korea, Malaysia, Mexico, the U.S. and Canada for January 1971–March 2004; and, Australia, Japan and South Korea for 1957:01–2003:04. We conclude that business-cycle convergence is far from complete. We also reject convergence in the stock and exchange rate markets. A less stringent definition of co-movement, due to Vahid and Engle [Vahid, F., & Engle, R. (1993). Common trends and common cycles. Journal of Applied Econometrics, 8(4), 341–360], provides evidence of common cycles in the industrial sectors of Australia, Japan and South Korea, and in the stock and exchange rate markets of developed and growth-competitive economies belonging to APEC.