Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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DOES SEASONALITY CHANGE OVER THE BUSINESS CYCLE? AN INVESTIGATION USING MONTHLY INDUSTRIAL PRODUCTION SERIES


Category: Econometrics
BUSINESS CYCLES: EMPIRICAL
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.5
Session Chair(s): Thomas Lubik, Johns Hopkins University, UNITED STATES

Presenter(s): Matas-Mir, Antoni

Co-Author(s): Osborn, Denise

Keyword(s): business cycles, industrial production, nonlinear models, seasonality, TAR models

JEL(s): C22, E32

Abstract:

This paper examines the proposition that the business cycle affects seasonality in industrial production, with output being switched to the traditionally low production summer months when recent (annual) growth has been strong. This is investigated through the use of a restricted threshold autoregressive model for the monthly growth rate in a total of 74 industries from 16 OECD countries. Approximately one third of the series exhibit significant nonlinearity, with this nonlinearity predominantly associated with changes in the seasonal pattern. Estimates show that the summer slowdown in many European countries is substantially reduced when recent growth has been high.


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Paper Reference Number: 991

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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