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Seasonality and equilibrium business cycle theories

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  • R. Anton Braun
  • Charles L. Evans

Abstract

Barksy-Miron [1989] find that the postwar U.S. economy exhibits a regular seasonal cycle, as well as the business cycle phenomenon. Are these findings consistent with current equilibrium business cycle theories as surveyed by Prescott [1986]? We consider a dynamic, stochastic equilibrium business cycle model which includes deterministic seasonals and nontime-separable preferences. We show how to compute a perfect foresight seasonal equilibrium path for this economy. An approximation to the stochastic equilibrium is calculated. Using postwar U.S. data, GMM estimates of the structural parameters are employed in the perfect foresight and simulation analyses. As in Constantinides and Ferson [1990], the estimates of consumption preferences exhibit habit-persistence, but a local optimum also exists which exhibits local durability. ; The nontime-separable model predicts most of the seasonal patterns found in aggregate quantity time series; notable exceptions are the seasonal patterns in investment and the fourth quarter seasonal in labor hours. An evaluation of the models predictions for deseasonalized second moments finds strong support for the parameterization with local durability in consumption. This model broadly displays a seasonal cycle as well as the business cycle phenomenon.

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  • R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Discussion Paper / Institute for Empirical Macroeconomics 45, Federal Reserve Bank of Minneapolis.
  • Handle: RePEc:fip:fedmem:45
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    Cited by:

    1. Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-327, July.
    2. Braun, R. Anton & Evans, Charles L., 1995. "Seasonality and equilibrium business cycle theories," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 503-531, April.
    3. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
    4. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Universite de Montreal, Departement de sciences economiques.
    5. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
    6. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    7. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    8. Liu, Zheng, 2000. "Seasonal cycles, business cycles, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 441-464, October.
    9. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, April.
    10. Braun, R Anton & Evans, Charles L, 1998. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 306-330, August.
    11. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May-June.
    12. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    13. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.
    14. Saijo, Hikaru, 2013. "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, vol. 173(1), pages 22-35.
    15. Linsenmeier, Manuel, 2024. "Seasonal temperature variability and economic cycles," Journal of Macroeconomics, Elsevier, vol. 79(C).
    16. Linsenmeier, Manuel, 2021. "Seasonal temperature variability and economic cycles," LSE Research Online Documents on Economics 115526, London School of Economics and Political Science, LSE Library.
    17. Mr. Federico Mini & Mr. Guido De Blasio, 2000. "Seasonality and Capacity: An Application to Italy," IMF Working Papers 2000/080, International Monetary Fund.
    18. Barros, Carlos P. & Gil-Alana, Luis A. & Wanke, Peter, 2016. "Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks," Energy Economics, Elsevier, vol. 54(C), pages 88-95.
    19. Wen, Yi, 2002. "The business cycle effects of Christmas," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1289-1314, September.
    20. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
    21. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
    22. Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
    23. Linsenmeier, Manuel, 2024. "Seasonal temperature variability and economic cycles," LSE Research Online Documents on Economics 120640, London School of Economics and Political Science, LSE Library.

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