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Charistmas, Spring and the Dawning of Economic Recovery

  • Ghysels, E.

Six months of the year, which for convenience we call the spring and Christmas seasons, have a statistically higher number of troughs than the other six months of the year. In contrast, peaks do not exhibit any clustering. These results are drawn from the NBER chronology as well as alternative chronologies. As peaks are evenly distributed and troughs are not, it also appears that contraction lengths following peaks in the off-season are longer which is also an indication of the uneven propensity to switch regime throughout the year. This paper deliberately takes a "model-free" and "distribution-free" approach to test and document these phenomena. Markov chain models, their stochastic process theory and spectral representation appear in Ghysels (1991, 1992). Such models reveal more information and do not even require the use of the NBER chronology; yet, they require a fair number of auxiliary assumptions which are not imposed in the paper.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9215.

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Length: 24 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:mtl:montec:9215
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  1. 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.
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  13. Canova, Fabio, 1991. "The Sources of Financial Crisis: Pre- and Post-Fed Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(3), pages 689-713, August.
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  16. Victor Zarnowitz, 1963. "Cloos on Reference Dates and Leading Indicators: A Comment," The Journal of Business, University of Chicago Press, vol. 36, pages 461.
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  18. Kenneth F. Wallis, 1978. "Seasonal Adjustment and Multiple Time Series Analysis," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 347-364 National Bureau of Economic Research, Inc.
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  20. Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.
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