A SURVEY OF SEASONALITY IN UK MACROECONOMIC VARIABLES

This paper analyses the nature of seasonality in quarterly observations for thirty important UK macroeconomic variables. These variables include real gross domestic product and its major components, employment variables, price/earnings indices, the rate of interest and the exchange rate, together with nominal and real monetary series. Unit root tests are applied to determine whether the seasonal component in each variable exhibits stochastic nonstationarity. Only six variables are found to have a seasonal unit root; this implies over-differencing in many conventional time series models of seasonal economic variables. Turning to quantitative measures of seasonality, nineteen series have at least 30 percent of their non-trend variation mopped up by seasonal dummy variables alone. Only interest rates and the exchange rate exhibit no significant (deterministic or stochastic) seasonality. Overall, deterministic seasonal effects are relatively more important than stochastic ones. © 1990.