EconPapers    
Economics at your fingertips  
 

Seasonal adjustment and the detection of business cycle phases

Antonio Matas Mir and Denise Osborn

No 357, Working Paper Series from European Central Bank

Abstract: To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle regime as a structural break that is later reversed, showing that the effect of the linear symmetric X-11 filter differs with the duration of the regime. Through the use of Markov switching models for regime identification, the simulation analysis shows that seasonal adjustment has desirable properties in clarifying the true regime when this is well underway, but it distorts regime inference around turning points, with this being especially marked after the end of recessions and when the one-sided X-11 filter is employed. JEL Classification: E32, C22, C80

Keywords: business cycles; Markov switching models; Seasonal adjustment (search for similar items in EconPapers)
Date: 2004-05
Note: 417301
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp357.pdf (application/pdf)

Related works:
Working Paper: Seasonal Adjustment and the Detection of Business Cycle Phases (2003) Downloads
Working Paper: Seasonal Adjustment and the Detection of Business Cycle Phases (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2004357

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2024-04-01
Handle: RePEc:ecb:ecbwps:2004357