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

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

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

accounting technologies and sustainability assessment models abstract within ecological economics there is recognition of the need for new approaches to decision making to support sustainable development initiatives there is an increasing acknowledgement of the limitations of cost benefit analysis approaches as a measure of the un sustainability of organizational activities these are viewed as particularly inappropriate within the participatory settings that sustainable development proponents seek to foster they also fail to deal with the highly contested nature of sustainable development discourse in contemporary pluralist democracies while advances have been made in the field of multi criteria decision making there is still a relative dearth of versatile models that accommodate monetization in a way that recognizes the limits of calculative technologies this article introduces readers to developments within the accounting discipline designed to support sustainable development decision making and evaluation in particular it proposes sustainability assessment models as a viable alternative to cost benefit analysis sustainability assessment models are based on an inter disciplinary approach that recognizes the need for accountings that facilitate more participatory forms of decision making and accountability as such they address many of the weaknesses in current approaches to cost benefit analysis the authors first experiences with sustainability assessment models were with bp and the united kingdom oil and gas sector where models were developed as a means of making previously external costs more central to organizational decision making later work has included exploration of a range of decision making situations in private and public sector organizations in both the united kingdom and new zealand this has involved more explicit attention to plural values and issues of participation dialogue and democracy

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

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

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

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

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

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

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

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

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

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

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

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 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

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 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

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

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

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

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

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

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

potential for pricing policies in water resource management estimation of urban residential water demand in zaragoza spain this paper presents an empirical study to estimate the urban residential water demand in zaragoza spain this allows the testing of the short run sensitivity of water demand to changes in a set of

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