The Markov switching regime model is often applied to dating business cycle turning points. Typically, this model is then considered for quarterly seasonally adjusted macroeconomic time series. In this paper we show through simulations and empirical examples that, when the Markov model is applied to quarterly seasonally adjusted data, one may find different peaks and troughs and hence a different characterization of the business cycle. We also find different dynamic relations between macroeconomic variables across the business cycle. In other words, we answer the question in the title affirmatively.

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Keywords business cycles, seasonality
Persistent URL dx.doi.org/10.1016/S0164-0704(99)00091-9, hdl.handle.net/1765/2152
Citation
Franses, Ph.H.B.F., & Paap, R.. (1999). Does seasonality influence the dating of business cycle turning points?. Journal of Macroeconomics, 21(1), 79–92. doi:10.1016/S0164-0704(99)00091-9