The cyclical sensitivity of seasonality in US employment

• 成果类型: Article
• 署名作者: Krane, S; Wascher, W
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(99)00036-7
• 发表日期: 1999
• 页码: 523-553
• 关键词: seasonality; EMPLOYMENT; unobserved components; em algorithm

摘要

This paper investigates interactions between seasonal and cyclical movements in U.S. payroll employment. Using a multivariate unobserved components model, we test for such interactions and find that they are statistically significant in a number of industries. Still, most industry-level seasonality appears to be idiosyncratic. The model also identifies an unobserved common cycle that exhibits similar business cycle properties, but smaller seasonal variation, than aggregate payroll employment. The overall industry-level seasonal factors generated by our model do not differ much from univariate X-ll seasonals in sample, but some differences arise in out-of-sample experiments. (C) 1999 Published by Elsevier Science B.V. All rights reserved.