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Seasonality, Productivity Shocks, And Sectoral Comovements In A Real Business Cycle Model For Italy

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  • Cubadda, Gianluca
  • Savio, Giovanni
  • Zelli, Roberto

Abstract

This paper investigates the degree of comovements in quarterly Italian time series of sectoral output. A recently developed multivariate technique for the empirical analysis of long-run, cyclical and seasonal comovements is used in the context of a multisectoral real-business-cycle model augmented with persistent seasonal shocks in productivity. Our empirical results emphasize the role of input–output relations in the propagation mechanism and indicate that sectoral outputs have a relatively low number of common stochastic trends, in conflict with the hypothesis of independent productivity shocks. In contrast, stochastic seasonals seem to move idiosyncratically. Furthermore, our findings suggest that the theoretical model should be extended to allow for deterministic seasonal shifts in preferences.

Suggested Citation

  • Cubadda, Gianluca & Savio, Giovanni & Zelli, Roberto, 2002. "Seasonality, Productivity Shocks, And Sectoral Comovements In A Real Business Cycle Model For Italy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(3), pages 337-356, June.
    • Handle: RePEc:cup:macdyn:v:6:y:2002:i:03:p:337-356_00
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    Cited by:

    1. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    2. Linsenmeier, Manuel, 2021. "Seasonal temperature variability and economic cycles," LSE Research Online Documents on Economics 115526, London School of Economics and Political Science, LSE Library.
    3. Linsenmeier, Manuel, 2024. "Seasonal temperature variability and economic cycles," LSE Research Online Documents on Economics 120640, London School of Economics and Political Science, LSE Library.

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