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Seasonality in Macroeconomic Time Series

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  • Hylleberg, Svend
  • Jorgensen, Clara
  • Sorensen, Nils Karl

Abstract

Recently, the seasonal characteristics of macroeconomic time series have drawn a lot of attention. It has been argued that the seasonal component of many macroeconomic time series constitutes a major part of the series measured as a proportion of the variance. In addition it has been found that the seasonal component of most macroeconomic time series is constant and best "explained" by seasonal dummies. Specifically it is often found that a Christmas boom is followed by a beginning of the year trough. Based on quarterly and monthly macroeconomic time series from a large number of countries this paper shows that many macroeconomic time series have seasonal components that are changing over time. Furthermore, the Christmas boom and especially the first quarter trough is not found nearly as often as one might expect.

Suggested Citation

  • Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-335.
  • Handle: RePEc:spr:empeco:v:18:y:1993:i:2:p:321-35
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