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Periodic linear-quadratic methods for modeling seasonality
Optimal linear regulator methods are used to represent a class of models of endogenous equilibrium seasonality that has so far received little attention. Seasonal structure is built into these models in either of two equivalent ways: periodically varying the coefficient matrices of a formerly nonseasonal problem or embedding this periodic-coefficient problem in a higher-dimensional sparse system whose time-invariant matrices have a special pattern of zero blocks. The former structure is compact and convenient computationally; the latter can be used to apply familiar convergence results from ...
Working Paper
On the optimality of eliminating seasonality in nominal interest rates
Optimal monetary policy for an economy with seasonal fluctuations and a cash-in-advance requirement on the purchase of consumption goods is studied. It is shown that the short delay in the availability of newly acquired funds for consumption purchases (the hallmark of cash-in-advance models) typically makes the seasonal steady state inefficient. It is also shown that monetary policy can overcome this inefficiency by keeping the nominal interest rate constant over the seasons. An analytical model is also presented to explore the effects of seasonal smoothing of nominal interest rates on the ...
Journal Article
Residual seasonality and monetary policy
Much recent discussion has suggested that the official real GDP data are inadequately adjusted for recurring seasonal fluctuations. A similar pattern of insufficient seasonal adjustment also affects the published data for a key measure of price inflation. Still, such residual seasonality in the published output and inflation statistics is unlikely to mislead Federal Reserve policymakers or adversely affect the setting of monetary policy.
Journal Article
Seasonal adjustment of the money supply
Working Paper
Forecasting and seasonal adjustment
An examination of whether one should seasonally adjust data before developing multivariate time series models to provide forecasts.
Working Paper
A neoclassical model of seasonal fluctuations
Working Paper
Filtering permanent cycles with complex unit roots
Separating cyclical movement from trend growth at seasonal and business cycle frequencies is important to macroeconomic research. At business cycle frequencies, time trends, first differences and the more recent Hodrick-Prescott (HP) filter are used to separate trends from cycles. At seasonal frequencies, ad-hoc methods like the Census Bureau's X-11 seasonal filter are applied. This paper reviews the criteria for permanent cycles in systems characterized by difference equations and looks at the effect of filtering data which exhibit permanent cyclicality. Second order moving averages with ...
Journal Article
Unemployment seasonals
Discussion Paper
Rational expectations modeling with seasonally adjusted data
In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may be true fairly often that rational expectations modeling with seasonally adjusted data, treating the adjusted data as if it were actual data, gives approximately correct results; and naive extensions of standard modeling techniques to seasonally unadjusted data may give worse results than naive use of ...