This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960 2005 We categorize the 106 countries in our sample into three groups industrial countries emerging markets and other developing economies Using a dynamic factor model we then decompose macroeconomic fluctuations in key macroeconomic aggregates output consumption and investment into different factors These are i a global factor which picks up fluctuations that are common across all variables and countries ii three group specific factors which capture fluctuations that are common to all variables and all countries within each group of countries iii country factors which are common across all aggregates in a given country and iv idiosyncratic factors specific to each time series Our main result is that during the period of globalization 1985 2005 there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies Surprisingly there has been a concomitant decline in the relative importance of the global factor In other words there is evidence of business cycle convergence within each of these two groups of countries but divergence or decoupling between them