macroeconomic implications of production bunching factor demand linkages abstract existing empirical evidence suggests that output is more variable than consumption so that production smoothing is not apparently present in this paper we investigate some macroeconomic implications of the proposition that the empirical evidence reflects the presence of some firms in the economy that produce with nonconvex technologies overall when activities are sufficiently complementary and inventory holding is sufficiently costly nonconvexities at the firm level can generate a pattern of output and sales such that the variance of output exceeds that of sales at an aggregate level in this way nonconvexities at the individual firm level may have macroeconomic consequences

seasonality leading indicators and alternative business cycle theories rolling regressions and granger causality tests are used to examine the predictive ability of seasonally adjusted and unadjusted leading economic indicators for the us economy many of the unadjusted variables perform better than their adjusted counterparts but asymmetric behaviour is also evident alternative leading indicators such as the bond spread and the fed funds rate do not predict cycles as well as real money balances unadjusted real business failure liabilities and business formation also appear to perform well

fiscal shocks and budget balance persistence in the eu countries from central and eastern europe this article analyses the time series properties of the fiscal balance in the 10 eu countries from central and eastern europe the persistence of the fiscal balance is analysed by means of unit root tests that account for possible nonlinearities and structural changes the linear and nonlinear unit root tests find only mild evidence in favour of the stationarity hypothesis with asymmetric effects present in a few cases after controlling for structural changes in the data generation processes dgps the results point to stationarity of the series thus in spite of relatively steady headline figures the budget balance processes in the eu countries from central and eastern europe exhibit substantial instability

by force of demand explaining international comovements abstract this paper explores the possibility that economic fluctuations may be largely demand driven it is shown that the stylized open economy business cycle regularities documented by feldstein and horioka 1980 the economic journal 90 june 314 329 and backus et al 1992 journal of political economy 100 4 745 775 can be explained by demand shocks alone even in a standard general equilibrium model frictions such as market incompleteness increasing returns to scale and sticky prices do not appear to be the preconditions for resolving these long standing puzzles

the influence of seasonal adjustment on the canadian consumption function 1947 1991 cointegration tests typically rely on seasonally adjusted data cointegration tests are applied in this paper to seasonally unadjusted data the main objective of the paper is to test the permanent income hypothesis using canadian data the authors find that the unit root at the zero frequency found in seasonally adjusted data is also present in seasonally unadjusted data however there is considerable evidence for the presence of seasonal unit roots although there is support for the permanent income hypothesis for seasonally adjusted data the same hypothesis is rejected for seasonally unadjusted data

identifying the common component of international economic fluctuations a new approach in this paper we develop an aggregation procedure using time varying weights for constructing the common component of international economic fluctuations the methodology for deriving time varying weights is based on some stylised features of the data documented in the paper the model allows for a unified treatment of cyclical and seasonal fluctuations and also accommodates the dynamic propagation of shocks across countries we find evidence for a world business cycle as well as evidence for a distinct european common component we also find some evidence that macroeconomic fluctuations have become more closely linked across industrial economies in the period after 1973 the world economy has become more closely integrated in recent years due to increasing trade and financial flows across countries this has spurred interest in the question of how the ongoing phenomenon of globalisation has affected the transmission and propagation of business cycle fluctuations across national borders an important question in this context is whether a substantial fraction of economic fluctuations are country specific or if there exists a world business cycle which might be defined as fluctuations that are common across all countries more generally the comovement of macroeconomic aggregates across different countries has become a topic of increasing interest in both academic and policy circles these issues have implications in a number of dimensions an empirical analysis of the relative importance of country specific versus common international fluctuations is of relevance for determining the structure of certain classes of international business cycle models from a policy perspective strong comovement of output across countries at business cycle frequencies implies that external trade would be unlikely to play a significant role in dampening fluctuations domestic policies aimed at affecting the real exchange rate and thereby attempting to boost net exports in the short run would then tend to have limited impact the degree of synchronisation of business cycles across countries also has important implications for short run international policy coordination and for assessing the feasibility of monetary unions therefore identifying and analysing the common component of international economic fluctuations is relevant from a number of different perspectives

measuring the bullwhip effect for supply chains with seasonal demand components abstract a bullwhip measure for a two stage supply chain with an order up to inventory policy is derived for a general stationary sarma p q p q s demand process explicit expressions for several sarma models are obtained to illustrate the key relationship between lead time and seasonal lag it is found that the bullwhip effect can be reduced considerably by shortening the lead time in relation to the seasonal lag value

the political economy of israeli protectionism an empirical analysis the aim of this study was to examine the tariff structure in israel in terms of the four main theoretical models of endogenous commercial policy the empirical results for levels of protection in israel support several of the models in particular the pressure group model performs well and especially the variable that represents the lobbying power of the histadrut public sector in israel this is consistent with the longstanding political power of the histadrut in israel the histadrut s role in the israeli economy rises above the western concept of a labor union and takes on a quasi governmental function the clearest example of this elevated status is seen when the government included the histadrut as part of the commission charged with the responsibility of carrying out the nominal liberalization process of the 1960s evidently it is this kind of political economic power that allowed the histadrut to affect the level of protection histadrut dominated industries received

the timing of monetary policy shocks a vast empirical literature has documented delayed and persistent effects of monetary policy shocks on output we show that this finding results from the aggregation of output impulse responses that differ sharply depending on the timing of the shock when the monetary policy shock takes place in the first two quarters of the year the response of output is quick sizable and dies out at a relatively fast pace in contrast output responds very little when the shock takes place in the third or fourth quarter we propose a potential explanation for the differential responses based on uneven staggering of wage contracts across quarters using a stylized dynamic general equilibrium model we show that a very modest amount of uneven staggering can generate differences in output responses similar to those found in the data

macroeconomic seasonality and the january effect many financial markets researchers have sought an explanation for the role of january in stock returns any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns the pervasive seasonality in the macroeconomy is an appealing possibility a multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns this model accounts for the seasonality in average returns while the capital asset pricing model cannot copyright 1994 by american finance association

a cobweb model with local externalities abstract this paper considers an extension of the standard cobweb model in a market with local externalities in contrast with the standard cobweb model firms must forecast both prices and local quantities we develop new constructive stability and existence conditions for equilibria with positive outputs we find evidence of clusters of firms whose output behavior is correlated as equilibrium is reached we also show that an appropriately defined representative agent model with a global externality exhibits the same mean or second order properties of aggregate output as the more complex model with local externalities

monetary aggregates and output series title working paper frb title monetary aggregates and output date publication federal reserve bank of cleveland working paper no 9813 author s scott freeman finn kydland type working paper frb topics s us economy

modeling and forecasting tourism demand for arrivals with stochastic nonstationary seasonality and intervention abstract this paper presents the use of time series sarima and marima with interventions in forecasting tourism demand using ten arrival series for hong kong augmented dickey fuller tests indicated that all the series were seasonal nonstationary significant interventions such as relaxation of the issuance of out bound visitors visas the asian financial crisis the handover and the bird flu epidemic were all empirically identified with significant test results and expected signs the forecasts obtained using models that capture stochastic nonstationary seasonality and interventions sarima and marima with intervention analysis are compared with other eight time series models and were found to have the highest accuracy

seasonal solow residuals and christmas a case for labor hoarding and increasing returns in aggregate unadjusted data measured solow residuals exhibit large seasonal variations total factor productivity grows rapidly in the fourth quarter at an annual rate of 16 percent and regresses sharply in the first quarter at an annual rate of 24 percent how much of the total seasonal variation in the measured solow residual can be explained by christmas the answer to this question is surprising with increasing returns and time varying labor effort christmas is sufficient to explain the seasonal variation in the solow residual consumption average productivity and output in all four quarters our analysis of seasonally unadjusted data uncovers important roles for labor hoarding and increasing returns that are difficult to identify in adjusted data prescott 1986 has argued that the variability of solow s residual is a reasonable estimate of the variability of exogenous technology shocks when solow s residual is measured using seasonally unadjusted data for the postwar u s economy it exhibits large seasonal variations growing rapidly in the fourth quarter at an annual rate of 16 percent and falling sharply in the first quarter at an annual rate of 24 percent this paper starts from the premise that it is implausible to attribute seasonal variation of this magnitude to changes in the state of technology we present a model in which all seasonal fluctuations arise from a single demand shift christmas this demand shift together with misspecification of the traditional production function leads to large seasonal variation in the solow residual we consider two candidates for misspecification labor hoarding and external increasing returns to scale even when technological growth is aseasonal either candidate in isolation can induce spurious seasonality in the solow residual our general equilibrium analysis indicates that 1 the economy s seasonal patterns in all four quarters may be a response simply to a fourth quarter consumption demand shift and 2 a combination of labor hoarding and external increasing returns is important for replicating these patterns in aggregate quantity variables for the postwar u s economy since our analysis identifies important roles for labor hoarding and increasing returns these results have implications for nonseasonal macroeconomic models indeed our analysis im

seasonal cointegration for monthly data abstract in this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by johansen and schaumburg j economet 88 1999 310 for monthly time series we compute the finite sample critical values of the associated test statistics in monthly seasonal time series we also apply this seasonal cointegration procedure to the retails and stocks in us monthly manufacturing industrial data

seasonality and the effect of advertising on price does advertising make markets more or less competitive this paper lays out an econometric strategy for estimating the effect of advertising on prices that exploits seasonal demand and imperfect targeting of consumers we find mostly negligible effects of advertising on prices at monthly frequency among the 35 of 131 product categories with sufficient advertising seasonality to justify second stage estimation only nine have a significant effect and those are typically small this finding is essentially the result of the much greater seasonality in advertising than price

hub and spoke free trade areas theory and evidence from israel we study how the sequential formation of free trade areas affects trade flows between member countries in a three country three good model of comparative advantage if two countries have an fta and both sign a similar agreement with the third trade between the two decreases however if only one of them signs an additional fta a hub and spoke pattern arises and trade between the initial members increases israel s experience lends strong support to our model trade between israel and the eu subject to an fta since 1975 increased by an additional 29 after the introduction of the us israel fta in 1985 on etudie comment la formation sequentielle de zones de libre echange affecte les flux commerciaux entre les pays membres dans un modele d avantage comparatif avec trois pays et trois biens si deux pays ont un accord de libre echange et qu ils signent tous deux un accord similaire avec un tiers pays le commerce entre les deux pays originaux decroit cependant si seulement un des deux pays originaux signe un accord avec le troisieme un reseau en etoile emerge et le commerce entre les deux payx d origine s accroit l experience d israel donne un fort support au modele le commerce entre israel et l union europeenne sujet a un accord de libre echange depuis 1975 s est accru de 29 apres l introduction de l accord de libre echange entre israel et les etats unis en 1985

reviving the federal statistical system the view from academia there is a tendency to think of official government statistics as unambiguous measures of economic activity in truth however nearly all of the available series are based heavily on assumptions and are sensitive to the estimation techniques used furthermore many of these assumptions and estimation techniques have been refined and improved over time whether these underlying assumptions are reasonable and whether the refinement of assumptions over time has been useful depends crucially on the questions one is trying to answer for example an estimate of consumption derived from data on retail sales may be perfectly adequate for planning future production or setting government budgets but may be disastrous for testing a subtle economic theory similarly gathering more genuine consumption data might improve our current estimates of consumption but a series that reflects retail sales for one era and genuine consumption for another could wreak havoc when used in estimating a time series rela

what have macroeconomists learned about business cycles from the study of seasonal cycles this paper argues that analysis of seasonal fluctuations can shed light on the nature of business cycle fluctuations the fundamental reason is that in many instances identifying restrictions about seasonal fluctuations are more believable than analogous restrictions about nonseasonal fluctuations the authors show that seasonal fluctuations provide good examples of preference shifts and synergistic equilibria they also find evidence against production smoothing and in favor of unmeasured variation in labor and capital utilization in some industries capacity constraints appear to bind copyright 1996 by mit press

seasonal fluctuations and the life cycle permanent income model of consumption this paper examines a new possible explanation for the recent rejections of the life cycle permanent income model of consumption the treatment of seasonal fluctuations the paper shows that when the seasonal fluctuations in consumption purchases are included in an analysis of the life cycle permanent income model there is no evidence in the aggregate data against the model the estimates of the parameters of agents utility functions obtained with seasonally unadjusted data are plausible and the unadjusted data do not reject the overidentifying restrictions on the model

on the proportionality and homogeneity of consumption and income in its certainty equivalence form consumption is proportional to the sum of human and non human wealth with labour income uncertainty the proportionality takes the form of homogeneity of consumption with respect to the components of wealth in this paper we analyse the stochastic properties of labour income that yield the homogeneity property

on seasonal cycles unit roots and mean shifts the interpretation of seasonality in terms of economic behavior depends on the form of the econometric time series model that allows for a description of seasonality popular models often assume ei

returns to scale market power and the nature of price rigidity in new keynesian models with self fulfilling expectations increasing returns to scale and firms market power are two potential sources of sunspot expectations in neoclassical models we show that in new keynesian models returns to scale and market power can have fundamentally different implications for broad macroeconomic issues including self fulfilling expectations depending on the nature of price rigidity our findings suggest that the design of stabilization monetary policy can depend on precise knowledge about the economy s real and nominal features therefore a clear understanding of the specific economic environment and its relevance to monetary policymaking for ensuring macroeconomic stability can be an integrated part of monetary policy practice

the aggregate implications of machine replacement theory and evidence the authors study an economy in which producers incur resource costs to replace depreciated machines the process of costly replacement and depreciation creates endogenous fluctuations in productivity employment and output of a single producer the authors explore the spillover effects of machine replacement on other sectors of the economy and provide conditions for synchronized machine replacement by multiple independent producers the implications of their model are generally consistent with observed monthly output employment and productivity fluctuations in automobile plants synchronization of retooling across plants within the auto industry is widespread so that the fluctuations observed at the plant level have aggregate implications copyright 1993 by american economic association

labour force ageing and productivity performance in canada abstract this paper studies the direct impact of labour force ageing on productivity growth in 10 canadian provinces over the period 1981 2001 with an outlook to 2046 it shows that older workers are on average less productive than younger workers and that labour force ageing has a modest negative direct impact on productivity growth in canada the impact has increased since the middle of the 1990s will peak in 2001 11 and tail off afterwards during the peak period productivity growth in canada will be reduced by 0 13 to 0 23 percentage points per year with newfoundland being hit the hardest jel classification j21 o47

a winning proposition the economic impact of successful national football league franchises it was the best of times and it was the worst of times this classic phrase could be used to describe the period of 1990 through 1993 for fans of the buffalo bills the bills performed well enough to win the american football conference championship four consecutive years but each year the team s season ended with a super bowl defeat the purpose of this study is to determine if fans of successful but not world champion sport teams like the buffalo bills experience economic benefits in conjunction with their team s successes coates and humphreys 2002 examined whether a sports team winning a championship had a positive effect on the real per capita personal income of the local metropolitan area despite examining various measures of success across several different sports 1 coates and humphreys found that the local national football league nfl team winning the super bowl was the only variable that had a significant positive effect on income although matheson 2006 shows evidence contradicting the findings coates and humphreys results are interesting when considered in the context of other similar studies that fail to find a positive effect from the presence of the teams in the city coates and humphreys 1999 2003 the building of stadia for the teams coates and humphreys 1999 or the presence of major events like the super bowl or world cup baade and matheson 2000 2004 matheson and baade 2006 on local income in this paper we use a psychological framework to provide a rationale for the increased economic well being associated with a super bowl victory additionally we rely on the psychological literature and argue that the economic benefits of a winning team should extend beyond just the championship team to the cities of teams that experience seasonal success to examine whether a winning effect can be extended to all teams in the league and is not limited to just the super bowl champion we include the winning percentage of the local nfl team although lacking a formal model the psychological literature suggests multiple individual level processes that may account for the economic impact of winning percentage to test whether the effect is based on increased consumption or increased productivity we estimate our models on the real wage income per capita as well as personal income additionally because the econometric model is a dynamic panel series model a model that can exhibit substantial bias in the coefficients judson and owen 1999 we use the method of arellano and bond 1991 to correct for bias this method also provides insight in regard to the directionality of the winning percentage and personal income relationship specifically that winning percentage drives changes in personal income as opposed to changes in personal income impacting winning percentage in the arellano bond estimations winning percentage is treated as endogenous meaning within the system while the remaining variables are treated as being exogenous as an additional further check we reestimate the model including team salary if the direction of causation flows from income to winning it would be indicated by increases in the coefficient on payroll for the team the results show that even after including team salaries in the model winning percentage still positively impacts income i psychological impact of sport team s success research has consistently demonstrated that people go to great lengths to publicly identify with winning sport teams cialdini et al 1976 cialdini and richardson 1980 end 2001 joinson 2000 wann and branscombe 1990 this tendency to bask in the reflected glory cialdini et al 1976 is related to event specific success a team s victory and global success winning percentage qualifying for play offs etc specifically end et al 2002 found that when sport fans were asked to identify their favorite teams the teams with which they identified had an average winning percentage significantly greater than 50

a neoclassical model of seasonal fluctuations abstract we develop a neoclassical capital accumulation model with seasonal perturbations to tastes and technology we calibrate the model and use it to study the impact of seasonal demand and supply perturbations on economic activity we find that the impact is largely limited to a single quarter we also use our model to isolate the seasonal movements in u s quarterly data and then compute the seasonal variations in tastes and technology that approximately explain these movements we find comovements in productivity and taste perturbations that are very similar to the seasonal comovements of aggregate variables

is the recent low oil price attributable to the shale revolution the u s energy information administration estimates that approximately 52 of total u s crude oil was produced from shale oil resources in 2015 we examine whether the recent low crude oil price is attributable to this shale revolution in the u s using a svar model with structural breaks our results reveal that u s supply shocks are important drivers of real oil price and for example explain approximately a quarter of the 73 decline between june 2014 and february 2016 failure to consider statistically significant structural changes results in underestimating the role played by global supply shocks while overestimating the role of the demand shocks

energy production in brazil empirical facts based on persistence seasonality and breaks abstract this paper investigates the statistical properties of the production of energy in brazil using long range dependence techniques in monthly data from january 2000 to february 2013 two important features of the data are analyzed in particular its degree of persistence and seasonality the results indicate first that seasonality is an essential issue in modeling the persistence in energy production also the persistence itself measured in terms of the differencing parameter is relevant with orders of integration in the series found to be positive though smaller than 1 and thus implying mean reversion a single structural break is also found in two of the series policy implications of the results obtained are also derived

domestic politics foreign interests and international trade policy reply this paper incorporates the foreign interest in the determination of a country s international trade policy into a model of political competition between candidates contesting elective office we envisage foreign and domestic producer interests as expressing political support for a candidate via campaign contributions and candidates as making trade policy pronouncements to maximize political support from producer interests tariffs are divisive but vers are consistent with conciliatory policy positions yielding mutual gain to foreign and domestic interests no candidate has an interest in formulating a trade policy position using a tariff if a ver is a policy option protection in the developed countries has in recent years often taken the form of bilaterally negotiated voluntary export restraints vers rather than the more traditional unilaterally imposed import restrictions the use of voluntary export restraints has been paralleled by interest in the theoretical literature the effects of vers have been compared with tariffs and quotas and vers have been examined in a political economy framework with a view to identifying the gainers and losers from this form of restric

output and unemployment dynamics in the united states 1950 1985 for us data over 1950 1985 the stochastic components of gnp growth and the unemployment rate appear to be stationary and there is substantial feedback between these variables the unconditional mean rate of unemployment in a joint model thus provides a natural benchmark in discussions of the business cycle a bivariate var model is used to describe output unemployment dynamics to estimate the degree of persistence of output innovations and to decompose output into trend and cycle the bivariate results are interpreted using a restricted var and it is shown that a closely related cyclical measure can be obtained directly from the okun s law equation

tobin s q and the importance of focus in firm performance using tobin s q as a measure of performance we seek to estimate the relative importance of industry focus and share effects in determining firm performance our methods are analogous to those of richard schmalensee and like him we find that industry effects account for the majority of the explained variance however we also find that firm effects exist in the form of focus effects that is narrowly diversified firms do better than widely diversified firms we interpret this finding as consistent with profit maximization by firms with different factor endowments

a simple model of optimum life cycle consumption with earnings uncertainty abstract we analyze the optimum consumption path of an individual who maximizes expected discounted utility over an infinite horizon when savings earn a fixed return and uninsured wage earnings follows a two state random process it is shown that optimum consumption always changes discontinuously with the level of earnings this discontinuity is bounded by the difference in earnings across states for the case where the subjective discount rate is equal to the interest rate and the hazard rate nondecreases over time it is shown that if wage earnings are expected to increase decrease then consumption strictly increases decreases over time

the effect of seasonal adjustment on the properties of business cycle regimes we study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical simulation and empirical methods analytically we show that the x 11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions with specific effects depending on the length of the recession a monte carlo analysis using markov switching models confirms these properties with particularly undesirable effects in delaying the recognition of the end of a recession however seasonal adjustment can help to clarify the true regime when this is well underway these results continue to hold when a seasonally non stationary process with regime dependent mean is misspecified as one with deterministic seasonal effects the empirical findings based on four coincident us business cycle indicators reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data copyright 2008 john wiley sons ltd

are output fluctuations transitory according to the conventional view of the business cycle fluctuations in output represent temporary deviations from trend the purpose of this paper is to question this conventional view if fluctuations in output are dominated by temporary deviations from the natural rate of output then an unexpected change in output today should not substantially change one s forecast of output in say five or ten years our examination of quarterly postwar united states data leads us to be skeptical about this implication the data suggest that an unexpected change in real gnp of 1 percent should change one s forecast by over 1 percent over a long horizon

capacity constraint and changing seasonality over business cycles evidence from plant level production data the seasonal variability of production shrinks during a boom not only at the industry level but also at the plant level since this relationship is significant especially among plants with high capacity utilization our finding is consistent with the capacity constraint hypothesis

seasonality in variance is common in macro time series 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

price smoothing policies a welfare analysis in post wwii experience u s monetary authorities have attempted to eliminate seasonal fluctuations in prices and nominal interest rates developments in financial markets and recently discovered empirical regularities regarding the seasonal cycle seem to make these activities questionable using a money in the utility function model this paper analyzes the welfare properties of price and interest rate smoothing policies and the sense in which the distinction between seasonal and cyclical fluctuations is relevant it is shown that smoothing policies are welfare improving but not optimal and that the origin of the shocks not the persistence of the fluctuations is relevant in formulating policies

senate voting patterns on the 1991 extension of the fast track trade procedures prelude to nafta in 1991 then president george bush requested an extension of fast track procedures from congress for the primary purpose of negotiating a north american free trade agreement this paper uses an econometric model to test the importance of three themes related to nafta that surfaced during senate debates over whether to approve the request that of employment effects environmental effects and the impact on immigration from mexico the empirical results show that expected job gains and losses were significant in explaining senate voting patterns on fast track extension immigration was found to be somewhat important but environmental issues were not found to statistically significant in addition the impact of organized labor and political ideology as proxied by political party were found to be important factors that shaped senate voting patterns on fast track

inflation output and money this paper uses money demand theory and a rational expectations version of the quantity theory of money to study inflation in the united states during the post korean war period the major results are as follows 1 the theory and tests explain the phenomenon of stagflation that is the negative relation between inflation and real activity observed during the post 1953 period the analysis calls into question the many variants of the phillips curve which presume that inflation real activity relations are positive 2 consistent with the models of patinkin 1961 and fama 1980 monthly quarterly and annual data indicate that the base currency plus reserves held against deposits is the relevant monetary variable in the inflation process and that demand deposits are irrelevant the direct policy implication is that the base is the key monetary variable in the control of inflation 3 the most convincing evidence for the simple quantity theory view of inflation proposed here comes from the comparison of the conditional exmoney demand theory and the quantity theory of money are used to study the inflation process as predicted by the model monthly quarterly and annual data indicate that inflation is positively related to money growth rates and negatively related to growth rates of real activity the theoretical and empirical origins of stagflation are explained and changes in monetary arrangements to simplify the control of inflation are prescribed

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

increasing returns and unsynchronized wage adjustment in sunspot models of the business cycle a challenge to models of equilibrium indeterminacy based on increasing returns is that required increasing returns for generating indeterminacy can be implausibly large and rise quickly with the relative risk aversion in labor we show that unsynchronized wage adjustment via a relative wage effect can both lower the required degree of increasing returns for indeterminacy to a plausible level and make it invariant to the relative risk aversion in labor consequently indeterminacy and sunspot driven fluctuations can emerge for plausible increasing returns regardless of the relative risk aversion in labor our model generates reasonable dynamics in terms of matching the business cycle and sunspot shocks become more important with labor market friction

seasonal cycles business cycles and monetary policy abstract this paper presents a dynamic general equilibrium model that is consistent with both seasonal and business cycle facts in the u s economy the model features consumption durability and a transaction technology both crucial in accounting for seasonal patterns of nominal variables a calibrated version of the model is used to quantitatively evaluate welfare consequences of three alternative monetary policy rules 1 the fed s historical policy that smooths nominal interest rates at the seasonal frequency but not at the business cycle frequency 2 a constant money growth rule and 3 a constant interest rate rule we find that the historical policy is associated with higher welfare than both alternatives

the economics of special interest politics the case of the tariff this paper investigates the interaction of politicians and special interest lobbies the goal is to model the equilibrium levels of redistributive policies such as taxes subsidies tariffs and regulatory decisions the model is applied throughout to the setting of tariffs by contributing to political campaigns special interest lobbies generate economic returns higher tariffs generate revenue for import competing industries through higher product prices higher milk support prices raise dairy farm income and so forth the lobby invests to maximize these net economic returns in evaluating their chances of election politicians weigh the favorable effects of special interest money against the unfavorable association with the lobby and the social cost of the redistributive policy section i explores the lobby s problem it describes a formalization of mancur olson s discussion of the voluntary provision of public goods and optimal contributions by lobbies to political campaigns section ii describes determination of the equilibrium tariff positions of each politician in a political campaign

the sensitivity of consumption to transitory income estimates from panel data on households we investigate the stochastic relation between income and consumption specifically consumption of food within a panel of about 2 000 households our major findings are 1 consumption responds much more strongly to permanent than to transitory movements of income 2 the response to transitory income is nonetheless clearly positive 3 a simple test independent of our model of consumption rejects a central implication of the pure life cycle permanent income hypothesis the observed covariation of income and consumption is compatible with pure life cycle permanent income behavior on the part of80 percent of families and simple proportionality of consumption and income among the remaining 20 percent as a general matter our findings support the view that families respond differently to different sources of income variations in particular temporary income tax policies have smaller effects on consumption than do other more permanent changes in income of the same magnitude this abstract was borrowed from another version of this item

the seasonal cycle and the business cycle almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data this paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but are small or entirely absent in both real and nominal price variables the timing of the seasonal fluctuations consists of increases in the second and fourth quarters a large decrease in the first quarter and a mild decrease in the third quarter the paper demonstrates that with respect to each of several major stylized facts about business cycles the seasonal cycle displays the same characteristics as the business cycle in some cases even more dramatically than the business cycle that is we find that at seasonal frequencies as well as at business cycle frequencies output movements across broadly defined sectors move together the timing of production and the

international trade policy in israel another model unusual circumstances can give rise to economies with special characteristics leo kahane has ventured in the above paper into the realm of one such economy that of israel to study the determination of international trade policy kahane tests using pre 1977 data on israel four theories of endogenous protection that have been previously empirically tested for the united states and canada because a country s institutions and history influence economic and political decision making a simple transplanting of theories and hypotheses can miss alternative more pertinent explanations and in empirical studies the data and results may not be sufficiently discriminating to reveal the appropriate distinctions

spurious deterministic seasonality it is sometimes assumed that the r2 of a regression of a first order differenced time series on seasonal dummy variables reflects the amount of seasonal fluctuations that can be explained by deterministic variation in the series in this paper we show that neglecting the presence of seasonal unit roots may yield spuriously high values of this coefficient

the seasonal cycle in u s manufacturing abstract this paper examines the seasonal cycle in the manufacturing sector of the u s economy the most significant feature is a sharp slowdown in july we argue that this event is not easily explained by technology or preference shifts but instead results from synergies across economic agents

the nature of the relationship between international tourism and international trade the case of german imports of spanish wine this article deals with the relationship between international trade and tourism we focus on the effect that german tourism to spain has on german imports of spanish wine due to the different stochastic properties of the series under analysis which display different orders of integration a methodology is used based on long memory regression models where tourism is supposed to be exogenous the period covered is january 1998 to november 2004 the results show that tourism has an effect on wine imports that lasts between 2 and 9 months disaggregating the imports across the different types of wine it is observed that only for red wines from navarra penedus and valdepenas and to a certain extent for sparkling wine tourism produces an effect on future import demand from a policy making perspective our results imply that the impact of tourism on the host economy is not only direct and short term but also oblique and delayed thus reinforcing the case for tourism as a means for economic development

the business cycle effects of christmas abstract why do countries and industries with large seasonal fluctuations also have large business cycles it is well known that seasonal fluctuations account for the bulk of total output fluctuations yet it is unknown whether seasonal fluctuations can trigger business cycles using a procedure that allows for identification of seasonal innovations i found that seasonal shocks explain 50 of the business cycle in aggregate output such findings provide a novel and powerful explanation for the observed strong correlation between seasonal fluctuations and business cycles the implication is that in addition to trying to determine whether it is monetary technology or other types of shocks that cause business cycles we should be looking at what causes seasonality

determinants of the tariff structure of the israeli industrial sector 1965 1977 abstract this paper examines the determinants of the tariff structure of the israeli manufacturing sector in the mid 1960s and late 1970s a period marked by considerable trade liberalization the empirical results point to the made to measure nature of the tariff structure i e relatively inefficient industries were granted higher rates of protection the relative inefficiency measure which was derived from the ces production function kept a high explanatory power along a wide range of substitution elasticities the empirical results also show that in the early 1960s tariffs favoured low wage labor intensive industries while in the late 1970s industries with high levels of concentration lobbied successfully for higher levels of protection

why do countries and industries with large seasonal cycles also have large business cycles we show that there is a strong positive correlation across countries and industries between the standard deviation of the seasonal component and the standard deviation of the nonseasonal component of aggregate variables after documenting this stylized fact we discuss possible explanations and develop a model that generates our empirical finding the main feature of the model is that firms endogenously choose their degree of technological flexibility as a function of the amounts of seasonal and nonseasonal variation in demand although this model is intended to be illustrative we find evidence supporting one of its key empirical implications

liquidity business cycles and monetary policy this paper presents a model of monetary economy with dier ences in liquidity across assets our purpose is to study how aggre gate production and asset prices uctuate with shocks to productivity and liquidity in so doing we examine what role government policy might have through open market operations that change the mix of assets held by the private sector we also show that certain apparent anomalies of asset markets are in fact normal features of a monetary economy in which the circulation of money is essential for a better allocation of resources

seasonality in the u s motion picture industry the observed seasonality of box office revenues reflects both seasonality in underlying demand for movies and seasonality in the number and quality of available movies i separately identify these aspects by estimating weekly demand for movies using movie fixed effects a long panel of movies weekly revenues and restrictions on their decay pattern i find that the estimated seasonality in underlying demand is much smaller and slightly different from the observed seasonality of sales the biggest movies are released at times when demand is highest amplifying the underlying seasonality price rigidities in the industry may facilitate this amplification effect

forecasting performance of seasonal dummy models relative to some alternatives abeysinghe economic letters 1991 36 175 197 journal of econometrics 1994 forthcoming showed that seasonal dummies in regressions may lead to spurious inference this paper evaluates the post sample forecasting performance of a seasonal dummy arima model with four other models the results in general do not stand in favor of the seasonal dummy approach

price rigidities and market structure conventional wisdom has it that a large part of the explanation of keynesian unemployment is the observed rigidities of wages and prices what has been lacking however is a satisfactory theory or conjunction of theories which explains how wages and prices can be at non market clearing levels the objective of this paper is to sketch out several alternative theoretical explanations of this phenomenon each in contrast with keynesian theory is consistent with the observation that as the economy goes into a recession real product wages do not increase and may in fact decrease all of the theories assume rational profit maximizing firms and all entail some important departure from the standard competitive paradigm the first three explanations represent minor adaptations of standard models

the stylized facts about the behavior of manufacturers inventories and backorders over the business cycle 1959 1980 recent theoretical work has highlighted the role of inventories in propagating business cycles this paper attempts to provide an empirical foundation for current and future research on the role inventories play in business cycles the evidence presented here indicates that inventories and backorders are major variables in predicting output fluctuations further the evidence is that disaggregating inventories by stage of fabrication is important in predicting output in concert with previous findings our results suggest that disaggregated inventories ought to be a component of models of the business cycle

employment effects of thanksgiving timing in the united states the period between thanksgiving and christmas has long seen the most intense consumer sales and hence the most active economy this period varies in length depending on the date of thanksgiving years where it is longer see detectably larger seasonal increases in national employment figures so that an earlier thanksgiving appears to serve as economic stimulus in the labor market

political parties and the variable duration of business cycles a number of recent studies explore how political factors influence real economic activity with electoral models economic performance peaks near the election as in the retrospective model of nordhaus 30 electoral cycles also emerge at least in fiscal policy in the rational expectations model of rogoff and sibert 34 and rogoff 33 with partisan models economic activity differs systematically by party as in both the ideological model of hibbs 26 and the rationalexpectations model of alesina 1 economic activity surges after election of democratic presidents and recedes after election of republican presidents although recent tests of the electoral approach are supportive 21 22 24 25 the partisan approach enjoys the more compelling support 2 3 9 10 23 26 27 the electoral and partisan views are not mutually exclusive as the possibility of conflict between ideology and the desire to be reelected as the election approaches is well recognized indeed our evidence here is consistent with a combined electoralpartisan model the macroeconomic literature at large however has been slow to absorb accumulating evidence that the party affiliation of the incumbent president together with the timing of the electoral period are linked to real economic activity in this study we gauge the significance of these links for the united states and relate them to two important strands of the macroeconomic literature one strand the time series literature investigates the statistical properties of measures of real economic activity finding that these measures often exhibit nonconstant means and heteroscedastic variances in autoregressive integrated moving average arima models the conditional mean is a function of past innovations while the conditional variance is constant applications of arima and related models beginning with nelson and plosser 29 suggest that real economic activity for the united states exhibits near random walk behavior in autoregressive conditional heteroscedastic arch models the conditional variance is a function of past squared innovations while the conditional mean is constant applications of arch and related models beginning with engle 17 suggest that real activity exhibits heteroscedastic variances

fiscal year ends and nonlinear incentive contracts the effect on business seasonality salesperson and executive compensation contracts typically specify a nonlinear relationship between firm revenues and pay these agents therefore have incentive to manipulate prices influence the timing of customer purchases and vary effort over their firms fiscal years this paper empirically establishes results consistent with agents focusing on performance over the fiscal year most notably in addition to varying with the calendar business cycle manufacturing firms sales are higher at the end of the fiscal year and lower at the beginning than they are in the middle further evidence is found in fiscal year price movements and patterns in the industry variation of fiscal year effects

hot and cold seasons in the housing market every year housing markets in the united kingdom and the united states experience systematic above trend increases in prices and transactions during the spring and summer hot season and below trend falls during the autumn and winter cold season house price seasonality poses a challenge to existing housing models we propose a search and matching model with thick market effects in thick markets the quality of matches increases rising buyers willingness to pay and sellers desire to transact a small deterministic driver of seasonality can be amplified and revealed as deterministic seasonality in transactions and prices quantitatively mimicking seasonal fluctuations in uk and us markets

changes in seasonal patterns are they cyclical this paper explores the hypothesis that the seasonal patterns of macroeconomic variables vary with expansions and contractions graphical techniques and generalized predictive tests for structural stability are used to identify and test patterns of changing seasonality a monte carlo exercise shows the power of the tests against interesting alternatives the empirical results suggest that seasonal patterns are unstable and that in many cases changes are linked to the stages of the business cycle the forecasting costs incurred by treating seasonality as constant are discussed and evaluated

thick market effects housing heterogeneity and the determinants of transaction seasonality this article uses cross sectional variation in transaction seasonality and a search theoretic framework to develop a test for thick market effects from matching efficiency the test relates the extent of transaction seasonality to the degree of horizontal housing heterogeneity we find a strong positive association between measures of seasonality and housing heterogeneity using a transaction level dataset for norway which is consistent with the presence of thick market effects these results also show that the degree of horizontal heterogeneity of the housing stock is an important determinant of the extent of seasonality in a housing market

nonstationary stochastic seasonality and the german m2 money demand function abstract in this paper nonstationary stochastic seasonality is investigated to model the german m2 money demand function using quarterly data for the period from 1960 to 1996 empirical evidence is found in favour of a stable long run m2 money demand function relying on seasonally unadjusted data while it is not possible to establish a stable long run relationship using seasonally adjusted times series the seasonal error correction model exhibits satisfactory properties and fits the data quite well however it shows parameter nonconstancy especially in the middle of the 1970s and at the beginning of the 1990 s when major monetary regime changes took place

non convex costs and capital utilization a study of production scheduling at automobile assembly plants i study detailed data from eleven automobile assembly plants these data display considerable cross plant heterogeneity in production scheduling to explain the observed heterogeneity i solve a dynamic programming model when desired production is below the plant s minimum e cient scale non convexities induce production bunching the plant uses less than full capital utilization on average and production is more volatile than sales when desired production is above the plant s minimum e cient scale the plant operates in a convex region of the cost curve in this case it uses high levels of capital utilization and production is less volatile than sales 2000 elsevier science b v all rights reserved jel classixcation e23 d21 l23