This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series Author info | Abstract | Publisher info | Download info | Related research | Statistics Matas-Mir, Antoni (University of Manchester)
Denise R Osborn
Additional information is available for the following
registered author(s):
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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2002 with number
139.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 29 Aug 2002Date of revision:
Handle: RePEc:ecj:ac2002:139Contact details of provider: Web page: http://www.res.org.uk/society/annualconf.asp More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Other versions of this item:
This paper has been announced in the following NEP Reports :
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.: Jeffrey A. Miron & J. Joseph Beaulieu, 1995.
"What Have Macroeconomists Learned about Business Cycles from the Study of Seasonal Cycles? ,"
NBER Working Papers
5258, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: S. Krane & W. Wascher, 1999.
"The cyclical sensitivity of seasonality in US employment ,"
BIS Working Papers
67, Bank for International Settlements.
[Downloadable!]
Other versions:
Spencer D. Krane & William L. Wascher, 1995.
"The cyclical sensitivity of seasonality in U.S. employment ,"
Finance and Economics Discussion Series
95-43, Board of Governors of the Federal Reserve System (U.S.).
Krane, Spencer & Wascher, William, 1999.
"The cyclical sensitivity of seasonality in U.S. employment ,"
Journal of Monetary Economics ,
Elsevier, vol. 44(3), pages 523-553, December.
[Downloadable!] (restricted) Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis ,"
Econometrica ,
Econometric Society, vol. 64(2), pages 413-30, March.
[Downloadable!] (restricted)
Other versions: Diebold, Francis X. & Chen, Celia, 1996.
"Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures ,"
Journal of Econometrics ,
Elsevier, vol. 70(1), pages 221-241, January.
[Downloadable!] (restricted)
Other versions: Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series ,"
The Review of Economics and Statistics ,
MIT Press, vol. 81(4), pages 575-593, November.
[Downloadable!] (restricted)
Other versions: Stephen G. Cecchetti & Anil K Kashyap, 1996.
"International Cycles ,"
NBER Working Papers
5310, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Cecchetti, Stephen G & Kashyap, Anil K & Wilcox, David W, 1997.
"Interactions between the Seasonal and Business Cycles in Production and Inventories ,"
American Economic Review ,
American Economic Association, vol. 87(5), pages 884-92, December.
[Downloadable!] (restricted)
Other versions: Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999.
"Seasonal unit roots and forecasts of two-digit European industrial production ,"
International Journal of Forecasting ,
Elsevier, vol. 15(1), pages 27-47, February.
[Downloadable!] (restricted)
Carpenter, Robert E & Levy, Daniel, 1998.
"Seasonal Cycles, Business Cycles, and the Comovement of Inventory Investment and Output ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 30(3), pages 331-46, August.
Hall, Alastair R, 1994.
"Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(4), pages 461-70, October.
Canova, Fabio & Ghysels, Eric, 1994.
"Changes in seasonal patterns : Are they cyclical? ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 18(6), pages 1143-1171, November.
[Downloadable!] (restricted)
Other versions:
Canova, F. & Ghysels, E., 1992.
"Changes in Seasonal Patters: Are They Cyclical ,"
Cahiers de recherche
9216, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Canova, F. & Ghysels, E., 1992.
"Changes in Seasonal Patters: Are They Cyclical ,"
Cahiers de recherche
9216, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, Eric, 1994.
"On the Periodic Structure of the Business Cycle ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(3), pages 289-98, July.
Other versions: Ghysels, E., 1991.
"On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts ,"
Cahiers de recherche
9130, Universite de Montreal, Departement de sciences economiques.
Other versions: Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data ,"
Journal of Econometrics ,
Elsevier, vol. 55(1-2), pages 305-328.
[Downloadable!] (restricted)
Other versions: Potter, Simon M, 1995.
"A Nonlinear Approach to US GNP ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
[Downloadable!] (restricted)
Other versions:
Full
references 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.)
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.
[Downloadable!]
Other versions: 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.
[Downloadable!]
Marcus Scheiblecker, 2004.
"The Working-Day Effect in the Austrian Economy ,"
Austrian Economic Quarterly ,
WIFO, vol. 9(1), pages 14-23, February.
[Downloadable!] (restricted)
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.
[Downloadable!]
Siem Jan Koopman & Kai Ming Lee, 2008.
"Seasonality with Trend and Cycle Interactions in Unobserved Components Models ,"
Tinbergen Institute Discussion Papers
08-028/4, Tinbergen Institute.
[Downloadable!]
Other versions: 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.
[Downloadable!]
Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005.
"The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes ,"
Econometrics Working Papers Archive
wp2005_15, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti".
[Downloadable!]
Other versions:
Access and
download statistics Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .