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The Extent of Seasonal/Business Cycle Interactions in European Industrial Production

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  • D R Osborn
  • A Matas-Mir

Abstract

Recent 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.

Suggested Citation

  • 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.
  • Handle: RePEc:man:cgbcrp:38
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    File URL: http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr38.pdf
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    References listed on IDEAS

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    1. Matas-Mir, Antonio & Osborn, Denise R., 2004. "Does seasonality change over the business cycle? An investigation using monthly industrial production series," European Economic Review, Elsevier, vol. 48(6), pages 1309-1332, December.
    2. 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 884-892, December.
    3. Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
    4. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    5. 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.
    6. A Matas-Mir & D R Osborn, 2003. "Seasonal Adjustment and the Detection of Business Cycle Phases," Centre for Growth and Business Cycle Research Discussion Paper Series 26, Economics, The Univeristy of Manchester.
    7. 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.
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    Cited by:

    1. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    2. Bruno, Giancarlo, 2009. "Non-linear relation between industrial production and business surveys data," MPRA Paper 42337, University Library of Munich, Germany.

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