ON THE PERIODIC STRUCTURE OF THE BUSINESS-CYCLE

被引:55
作者
GHYSELS, E [1 ]
机构
[1] UNIV MONTREAL,DEPT SCI ECON,MONTREAL H3C 3J7,QUEBEC,CANADA
关键词
MARKOV SWITCHING-REGIME MODELS; NONLINEAR TIME SERIES; PERIODIC STRUCTURES; SEASONALITY; SEASONALITY IN DURATION MODELS;
D O I
10.2307/1392085
中图分类号
F [经济];
学科分类号
02 ;
摘要
This article tests whether an economic recovery is equally likely to occur in any month of the year. I test this hypothesis with a homogeneous Markov switching-regime model and use the turning-point dates for business cycles marked by the National Bureau of Economic Research and Romer. I tend to find unequal probabilities to switch from recession to expansions. In particular, the spring and the month of December appear to have higher incidence of economic recovery. My results also imply that recessions and expansions are, on average, longer or shorter, depending on what time of the year they start. This suggests the presence of a seasonal pattern in business-cycle durations, though such a notion of seasonality is quite different from the common one based on unobserved component linear time series models. I investigate issues that go beyond linear dependence between seasonality and business cycles.
引用
收藏
页码:289 / 298
页数:10
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