Seasonality in Variance Is Common in Macro Time Series

Ted Jaditz

The Journal of Business, 2000, vol. 73, issue 2, 245-54

Abstract: While it is widely appreciated that financial time series exhibit seasonality in variance, it is less widely known that many macroeconomic time series exhibit significant seasonality in variance as well. We look at nine common macro time series, including measures of prices, money, and interest rates. All have significant seasonality in variance. This feature has implications for time-series practice generally, for seasonal adjustment, and for policymakers. Copyright 2000 by University of Chicago Press.

Date: 2000
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