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Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series

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  • Matas-Mir, Antoni

    (University of Manchester)

  • Denise R Osborn

Abstract

This paper examines the proposition that the business cycle affects seasonality in industrial production, with output being switched to the traditionally low production summer months when recent (annual) growth has been strong. This is investigated through the use of a restricted threshold autoregressive model for the monthly growth rate in a total of 74 industries from 16 OECD countries. Approximately one third of the series exhibit significant nonlinearity, with this nonlinearity predominantly associated with changes in the seasonal pattern. Estimates show that the summer slowdown in many European countries is substantially reduced when recent growth has been high.

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Bibliographic Info

Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2002 with number 139.

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Date of creation: 29 Aug 2002
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Handle: RePEc:ecj:ac2002:139

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Citations

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Cited by:
  1. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
  2. Siem Jan Koopman & Kai Ming Lee, 0000. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.
  3. repec:dgr:uvatin:0000028 is not listed on IDEAS
  4. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester.
  5. Denise Osborn & Marianne Sensier, 2007. "UK inflation: persistance, seasonality and monetary policy," The School of Economics Discussion Paper Series 0716, Economics, The University of Manchester.
  6. Casey B. Mulligan, 2010. "Does Labor Supply Matter During a Recession? Evidence from the Seasonal Cycle," NBER Working Papers 16357, National Bureau of Economic Research, Inc.
  7. Irma Hindrayanto & Jan Jacobs & Denise Osborn, 2014. "On trend-cycle-seasonal interactions," DNB Working Papers 417, Netherlands Central Bank, Research Department.
  8. Siem Jan Koopman & Kai Ming Lee, 0000. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.
  9. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
  10. D R Osborn & A Matas-Mir, 2003. "The Extent of Seasonal/Business Cycle Interactions in European Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 38, Economics, The Univeristy of Manchester.
  11. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
  12. Pami Dua & Lokendra Kumawat, 2007. "Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model," Working papers 162, Centre for Development Economics, Delhi School of Economics.

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