Seasonality in Variance Is Common in Macro Time Series
Year: 2000
Type: article
Abstract: 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.
Source: The Journal of Business
DOI: 10.1086/209641
Author: Ted Jaditz
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2082407084