Does seasonality change over the business cycle? An investigation using monthly industrial production series

Antonio Matas-Mir; Denise R. Osborn

doi:10.1016/j.euroecorev.2003.10.003

Does seasonality change over the business cycle? An investigation using monthly industrial production series

Antonio Matas-Mir, Denise R. Osborn

Economics

Research output: Contribution to journal › Article › peer-review

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 in 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 in the regime of higher recent growth. © 2003 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	1309-1332
Number of pages	23
Journal	European Economic Review
Volume	48
Issue number	6
DOIs	https://doi.org/10.1016/j.euroecorev.2003.10.003
Publication status	Published - Dec 2004

Keywords

Business cycles
Industrial production
Seasonality
TAR models

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10.1016/j.euroecorev.2003.10.003

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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 in 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 in the regime of higher recent growth. {\textcopyright} 2003 Elsevier B.V. All rights reserved.",

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AB - 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 in 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 in the regime of higher recent growth. © 2003 Elsevier B.V. All rights reserved.

KW - Business cycles

KW - Industrial production

KW - Seasonality

KW - TAR models

U2 - 10.1016/j.euroecorev.2003.10.003

DO - 10.1016/j.euroecorev.2003.10.003

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JO - European Economic Review

JF - European Economic Review

SN - 0014-2921

IS - 6

ER -

Does seasonality change over the business cycle? An investigation using monthly industrial production series

Abstract

Keywords

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