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Christmas, Spring and the Dawning of Economic Recovery

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Eric Ghysels (Cowles Foundation, Yale University)

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Abstract

Six months of the year, which for convenience we call the spring and Christmas seasons, have a statistically higher number of troughs than the other six months of the year. In contrast, peaks do not exhibit any clustering. These results are drawn from the NBER chronology as well as alternative chronologies. As peaks are evenly distributed and troughs are not, it also appears that contraction lengths following peaks in the off-season are longer which is also an indication of the uneven propensity to switch regime throughout the year. This paper deliberately takes a "model-free" and "distribution-free" approach to test and document these phenomena. Markov chain models, their stochastic process theory and spectral representation appear in Ghysels (1991, 1992). Such models reveal more information and do not even require the use of the NBER chronology; yet, they require a fair number of auxiliary assumptions which are not imposed in the paper.

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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1027.

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Length: 25 pages
Date of creation: May 1992
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Handle: RePEc:cwl:cwldpp:1027

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Keywords: Turning points; periodicity; business cycles; seasonality;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Canova, Fabio, 1991. "The Sources of Financial Crisis: Pre- and Post-Fed Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(3), pages 689-713, August. [Downloadable!] (restricted)
  2. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
  3. R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Working Paper Series, Macroeconomic Issues 91-23, Federal Reserve Bank of Chicago.
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  4. Francis X. Diebold & Glenn D. Rudebusch, 1990. "Have postwar economic fluctuations been stabilized?," Discussion Paper / Institute for Empirical Macroeconomics 33, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  6. Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.
  7. Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1990. "International evidence on business cycle duration dependence," Discussion Paper / Institute for Empirical Macroeconomics 31, Federal Reserve Bank of Minneapolis. [Downloadable!]
  8. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 596-616, June. [Downloadable!] (restricted)
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  9. Kenneth F. Wallis, 1978. "Seasonal Adjustment and Multiple Time Series Analysis," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 347-364 National Bureau of Economic Research, Inc. [Downloadable!]
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  10. Chatterjee, Satyajit & Ravikumar, B., 1992. "A neoclassical model of seasonal fluctuations," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 59-86, February. [Downloadable!] (restricted)
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  11. Lars Peter Hansen & Thomas J. Sargent, 1990. "Recursive Linear Models of Dynamic Economies," NBER Working Papers 3479, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 9-19. [Downloadable!] (restricted)
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  13. Robert B. Barsky & Jeffrey A. Miron, 1989. "The Seasonal Cycle and the Business Cycle," NBER Working Papers 2688, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc. [Downloadable!]
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  15. Ghysels, E., 1990. "On the Economic and Econometrics of Seasonality," Cahiers de recherche 9028, Universite de Montreal, Departement de sciences economiques.
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  16. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  17. Victor Zarnowitz, 1963. "Cloos on Reference Dates and Leading Indicators: A Comment," Journal of Business, University of Chicago Press, vol. 36, pages 461. [Downloadable!]
  18. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55. [Downloadable!] (restricted)
  19. Miron, Jeffrey A, 1986. "Financial Panics, the Seasonality of the Nominal Interest Rate, and theFounding of the Fed," American Economic Review, American Economic Association, vol. 76(1), pages 125-40, March. [Downloadable!] (restricted)
  20. Singleton, Kenneth J., 1988. "Econometric issues in the analysis of equilibrium business cycle models," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 361-386. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation, Yale University. [Downloadable!]
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