The Extent of Seasonal/Business Cycle Interactions in European Industrial Production
AbstractRecent literature has uncovered evidence that the seasonal pattern in industrial production changes over the business cycle, with seasonality being less pronounced in periods of high growth than in the low growth (or recession) business cycle phase. Matas-Mir and Osborn (2002) examine this effect using monthly data for various OECD countries, showing that the change in the seasonal pattern is typically concentrated in the summer months. The present paper extends this analysis in a specifically European context, by presenting measures of the extent of seasonal/business cycle interactions for industrial production series from European countries. The analysis is undertaken using a nonlinear threshold model that allows the overall mean and seasonal characteristics to change with the regime. The extent of seasonality in each regime is represented as the average absolute deviation of the steady state growth in each month from the overall steady state mean growth in that regime, with seasonality considered both over twelve months and over the summer months only. Seasonal/business cycle interaction is then measured in two ways, namely as the difference and the ratio of the regime- dependent seasonality, again separately for all months and for the summer. The results reinforce previous findings of reduced seasonality in higher growth periods, with the seasonal pattern being moderated by around 20 percent (both over the year and in the summer months) in some European countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 38.
Length: 27 pages
Date of creation: 2003
Date of revision:
Contact details of provider:
Postal: Manchester M13 9PL
Phone: (0)161 275 4868
Fax: (0)161 275 4812
Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/our-research/centre-for-growth-and-business-cycle-research/
More information through EDIRC
business cycles; seasonality; TAR models; industrial production;
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marianne Sensier).
If references are entirely missing, you can add them using this form.