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 1st quarter trough is not found nearly as often as one might expect.
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The authors are grateful to Jeff Miron for kindly supplying his data and to the participants in the Warwick Macromodelling Bureau Workshop at LSE on the 30'th of November 1990. The Cambridge meeting of the Econometric Society Sept. 1991, and the EC2 meeting in Rotterdam, December 1991 for helpful comments. The research for this paper began when the first author was a discussant of Jeff Miron's invited paper “The Economics of Seasonal Cycles” at the World Meeting of the Econometric Society in Barcelona, 1990.
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Hylleberg, S., Jørgensen, C. & Sørensen, N.K. Seasonality in macroeconomic time series. Empirical Economics 18, 321–335 (1993). https://doi.org/10.1007/BF01205406
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DOI: https://doi.org/10.1007/BF01205406