The Cyclical Sensitivity of Seasonality in U.S. Employment
Finance and Economics Discussion Series (95-43)
Posted: 14 Jul 1998
Date Written: September 1995
This paper investigates seasonality in U.S. payroll employment using a multivariate, unobserved components model. The model allows for interaction between seasonality in industry-level employment and a "common cycle" that captures the comovement in the disaggregated data. The common cycle we estimate exhibits similar business cycle properties, but smaller seasonal variation than aggregate payroll employment. At the industry level, we often find significant differences across seasons in correlations between employment growth and the common cycle. Nonetheless, our industry-level seasonal factors do not differ much from univariate X-11 seasonals in sample; some noticeable differences arise, however, in out-of-sample experiments.
JEL Classification: E2
Suggested Citation: Suggested Citation