Some Illustrative Seasonal Economic Time Series

Economic time series are usually recorded at some fixed time interval. Most macroeconomic aggregate series are released on a monthly or quarterly frequency. Other economic data, particularly financial series, are available more frequently. In fact, some financial market data are available on a transaction basis and hence are no longer sampled at fixed intervals. Throughout this book we will focus almost exclusively on data sampled at a monthly or quarterly frequency. There is an emerging literature dealing with data sampled at higher frequencies, such as weekly, daily, or intradaily, possibly unequally spaced. This literature is still in its infancy, particularly compared with what we know about quarterly or monthly sampled data.

The purpose of this section is to provide some illustrative examples of seasonal time series of interest within economics. It is certainly not our intention to be exhaustive. Instead, we look at several series that reveal particularly interesting features and stylized facts pertaining to seasonality. We also discuss various ways to display seasonal series.

Figure 1.1 has four panels displaying U.K. and U.S. monthly growth rates in industrial production over roughly 35 years. The left panels represent unadjusted raw series, whereas the right panels show the corresponding seasonally adjusted series. Both the U.K. and U.S. raw series show very regular seasonal patterns that are clearly dominant and seem to obscure and dwarf the nonseasonal fluctuations.