Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series

Antoni Matas-Mir and Denise Osborn
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Antoni Matas-Mir: University of Manchester
Authors registered in the RePEc Author Service: Antonio Matas Mir

No 139, Royal Economic Society Annual Conference 2002 from Royal Economic Society

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.

Date: 2002-08-29
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Related works:
Journal Article: Does seasonality change over the business cycle? An investigation using monthly industrial production series (2004)
Working Paper: Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series (2001)
Working Paper: Does Seasonality Change Over the Business Cycle? An Investigation Using Monthly Industrial Production Series (2001)
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