Section A: Computational methods in economics and financeSeasonality and equilibrium business cycle theories
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Cited by (30)
Seasonal temperature variability and economic cycles
2024, Journal of MacroeconomicsEnd-of-the-year economic growth and time-varying expected returns
2015, Journal of Financial EconomicsCitation Excerpt :Our paper is also related to the literature that models time-varying expected returns via time-varying preferences, such as Campbell and Cochrane (1999) and Bekaert, Engstrom, and Grenadier (2010), as we find expected returns to be high during bad economic times. Given that we find this to be the case at the end of the year, our paper is also related to those papers that analyze models with seasonal patterns in preferences, such as Miron (1986), Ferson and Harvey (1992), Braun and Evans (1995), and, more recently, Kamstra, Kramer, Levi, and Wang (2014). Our paper builds on the large return-predictability literature (for surveys, see Campbell, 2003; Cochrane, 2007; Lettau and Ludvigson, 2010; Rapach and Zhou, 2013) and, within this literature, more specifically on those papers that deal with the relation between time series movements in expected returns and macroeconomic variables, such as Cochrane (1991), Lamont (2000), Lettau and Ludvigson (2001), Lustig and Van Nieuwerburgh (2005), Santos and Veronesi (2006), Rangvid (2006), Cooper and Priestley (2009), and Belo and Yu (2013).
Estimating DSGE models using seasonally adjusted and unadjusted data
2013, Journal of EconometricsCitation Excerpt :The seasonal steady state is a periodic perfect foresight path that satisfies equilibrium conditions without uncertainty for each quarter. A more accurate alternative is the one used in Braun and Evans (1995). We directly solve for the seasonal steady state using a nonlinear solution method and log-linearize the equilibrium conditions around the exact seasonal steady state (BE method).
The business cycle effects of Christmas
2002, Journal of Monetary Economics
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For helpful comments, we thank Fabio Canova, Marty Eichenbaum, Eric Ghysels, Jim Hamilton. Valerie Ramey, three anonymous referees, and seminar participants at the 1990 NBER Summer Institute, Rutgers, Queens, the Federal Reserve Bank of Chicago, and the Universities of Montreal, South Carolina, and Virginia. An earlier version of this paper was presented at the 1990 Winter Econometric Society meetings. Any opinions, findings, conclusions, or recommendations expressed herein are those of the authors and not necessarily those of the Federal Reserve Banks of Minneapolis or Chicago, or the Federal Reserve System.