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Seasonality in Variance Is Common in Macro Time Series

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  • Jaditz, Ted

Abstract

While it is widely appreciated that financial time series exhibit seasonality in variance, it is less widely known that many macroeconomic time series exhibit significant seasonality in variance as well. We look at nine common macro time series, including measures of prices, money, and interest rates. All have significant seasonality in variance. This feature has implications for time-series practice generally, for seasonal adjustment, and for policymakers. Copyright 2000 by University of Chicago Press.

Suggested Citation

  • Jaditz, Ted, 2000. "Seasonality in Variance Is Common in Macro Time Series," The Journal of Business, University of Chicago Press, vol. 73(2), pages 245-254, April.
    • Handle: RePEc:ucp:jnlbus:v:73:y:2000:i:2:p:245-54
    DOI: 10.1086/209641
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    Cited by:

    1. Siem Jan Koopman & Philip Hans Franses, 2002. "Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
    2. Ching-Chih Chang & Tin-Chia Lai, 2011. "The nonlinear dynamic process of macroeconomic development by modelling dry bulk shipping market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1655-1663.
    3. Gebhard Flaig, 2003. "Time Series Properties of the German Monthly Production Index," CESifo Working Paper Series 833, CESifo.

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