IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

On the Periodic Structure of the Business Cycle

  • Ghysels, Eric

This article tests whether an economic recovery is equally likely to occur in any month of the year. I test this hypothesis with a homogeneous Markov switching-regime model and use the turning-point dates for business cycles marked by the National Bureau of Economic Research and Romer. I tend to find equal probabilities to switch from recession to expansions. In particular, the spring and the month of December appear to have higher incidence of economic recovery. My results also imply that recessions and expansions are, on average, longer or shorter, depending on what time of the year they start. This suggests the presence of a seasonal pattern in business-cycle durations, though such a notion of seasonality is quite different from the common one based on unobserved component linear time series models. I investigate issues that go beyond linear dependence between seasonality and business cycles.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 12 (1994)
Issue (Month): 3 (July)
Pages: 289-98

as
in new window

Handle: RePEc:bes:jnlbes:v:12:y:1994:i:3:p:289-98
Contact details of provider: Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main

Order Information: Web: http://www.amstat.org/publications/index.html

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.:

as in new window
  1. Watson, Mark W, 1994. "Business-Cycle Durations and Postwar Stabilization of the U.S. Economy," American Economic Review, American Economic Association, vol. 84(1), pages 24-46, March.
  2. Diebold, Francis X & Rudebusch, Glenn D, 1992. "Have Postwar Economic Fluctuations Been Stabilized?," American Economic Review, American Economic Association, vol. 82(4), pages 993-1005, September.
  3. Lars Peter Hansen & Thomas J. Sargent, 1990. "Recursive Linear Models of Dynamic Economies," NBER Working Papers 3479, National Bureau of Economic Research, Inc.
  4. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  5. Osborn, Denise R & Smith, Jeremy P, 1989. "The Performance of Periodic Autoregressive Models in Forecasting Seasonal U. K. Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 117-27, January.
  6. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  7. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
  8. Victor Zarnowitz, 1963. "Cloos on Reference Dates and Leading Indicators: A Comment," The Journal of Business, University of Chicago Press, vol. 36, pages 461.
  9. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
  10. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  11. Francis X. Diebold & Glenn D. Rudebusch, 1987. "Scoring the leading indicators," Special Studies Papers 206, Board of Governors of the Federal Reserve System (U.S.).
  12. McCulloch, J Hutson, 1975. "The Monte Carlo Cycle in Business Activity," Economic Inquiry, Western Economic Association International, vol. 13(3), pages 303-21, September.
  13. Savin, N Eugene, 1977. "A Test of the Monte Carlo Hypothesis: Comment," Economic Inquiry, Western Economic Association International, vol. 15(4), pages 613-17, October.
  14. 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.
  15. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
  16. Osborn, Denise R, 1988. "Seasonality and Habit Persistence in a Life Cycle Model of Consumptio n," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 255-66, October-D.
  17. Wecker, William E, 1979. "Predicting the Turning Points of a Time Series," The Journal of Business, University of Chicago Press, vol. 52(1), pages 35-50, January.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:12:y:1994:i:3:p:289-98. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.