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Abstract
This thesis project is divided in three parts. The first essay deals with the problem of forecasting seasonal series. For this purpose two univariate Bayesian models, which include in the prior uncertain linear restrictions describing the structure of the components of the time series are constructed. Their forecasting performance is compared with an unrestricted AR and multiplicative ARIMA models. Also, a multivariate Bayesian specification is compared with a model where seasonality is restricted to be independent of the nonseasonal component of the series. Univariate Bayesian methods improve on average over ARIMA specifications. In multivariate models the gains are significant.
The second essay consider the historical episode of the founding of the Federal Reserve System to question traditional perceptions regarding the existence and the changes in seasonal patterns of macro variables in the period. Using, among others, the tools developed in the first essay, it is shown that, contrary to the traditional point of view, seasonality in monetary aggregates existed before 1914 but seems to be reduced afterwards. The changes in the seasonal pattern of interest rates are attributed to structural modifications of the U.S. economy. Internationally, the breakdown of the Gold Standard contributed to the modification of the structure of certain interest rates in Europe.
The third essay investigates questions related with the predictability of financial crises, with their structural determinants and with the changes introduced by the creation of the Fed on these determinants. The traditional seasonal hypothesis of financial crises is shown to be partially supported in the data. Using a structural VAR it is also shown that Jevons' (1884) idea that unexpected events on the recurrent seasonal pattern induced crises has a strong appeal and accounts for the dynamics existing in the U.S. before 1914. The creation of the Fed sterilizing the effects of external unexpected shocks on the supply of high powered money contributed to the decline in the occurrence of crises after 1914.
