Jeffrey A. Miron

Seasonal Unit Roots in Aggregate U.S. Data

In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte Carlo methods to compute the finite sample critical values of the associated test statistics. We then apply quarterly and monthly HEGY procedures to aggregate U.S. data. The data reject the presence of unit roots at most seasonal frequencies in a large fraction of the series considered.

The Changing Behavior of the Term Structure of Interest Rates

We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation in the term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserves commitment to stabilizing interest rates.

Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories

A great deal of research on the empirical behavior of inventories examines some variant of the production smoothing model of finished goods inventories. The overall assessment of this model that exists in the literature is quite negative: there is little evidence that manufacturers hold inventories of finished goods in order to smooth production patterns. This paper examines whether this negative assessment of the model is due to one or both of two features: costs shocks and seasonal fluctuations. The reason for considering costs shocks is that if firms are buffeted more by cost shocks than demand shocks, production should optimally be more variable than sales. The reasons for considering seasonal fluctuations are that seasonal fluctuations account for a major portion of the variance in production and sales, that seasonal fluctuations are precisely the kinds of fluctuations that producers should most easily smooth, and that seasonally adjusted data is likely to produce spurious rejections of the production smoothing model even when it is correct. We integrate cost shocks and seasonal fluctuations into the analysis of the production smoothing model in three steps. First, we present a general production smoothing model of inventory investment that is consistent with both seasonal and non-seasonal fluctuations in production, sales, and inventories. The model allows for both observable and unobservable changes in marginal costs. Second, we estimate this model using both seasonally adjusted and seasonally unadjusted data plus seasonal dummies. The goal here is to determine whether the incorrect use of seasonally adjusted data has been responsible for the rejections of the production smoothing model reported in previous studies. The third part of our approach is to explicitly examine the seasonal movements in the data. We test whether the residual from an Euler equation is uncorrelated with the seasonal component of contemporaneous sales. Even if unobservable seasonal cost shocks make the seasonal variation in output greater than that in sales, the timing of the resulting seasonal movements in output should not necessarily match that of sales. The results of our empirical work provide a strong negative report on the production smoothing model, even when it includes cost shocks and seasonal fluctuations. At both seasonal and non-seasonal frequencies, there appears to be little evidence that firms hold inventories in order to smooth production. A striking piece of evidence is that in most industries the seasonal in production closely matches the seasonal in shipments, even after accounting for the movements in interest rates, input prices, and the weather.

Seasonality of births in human populations

Seasonal fluctuations in births have been observed in virtually all human populations. In this paper we re-examine the seasonality of births with two main objectives in mind. The first is to provide an overview of the basic facts about the seasonality of births, presenting new estimates of the seasonal patterns. Seasonality is an important if not dominant source of nontrend variation in births in virtually all populations, but there are dramatic and puzzling differences across countries and time periods in the pattern of seasonal variation observed in particular populations. The second purpose of the paper is to survey the leading hypotheses about birth seasonality that have appeared in the literature and to discuss the consistency of these hypotheses with observed seasonal patterns. Using our estimates of seasonal patterns along with other evidence in the literature, we conclude that no single explanation receives strong, consistent support from the data.

Violence, Guns, and Drugs: A Cross‐Country Analysis*

Violence rates differ dramatically across countries. A widely held view is that these differences reflect differences in gun control and/or gun availability, and certain pieces of evidence appear consistent with this hypothesis. A more detailed examination of this evidence suggests that the role of gun control/availability is not compelling. This more detailed examination, however, does not provide an alternative explanation for cross‐country differences in violence. This paper suggests that differences in the enforcement of drug prohibition are an important factor in explaining differences in violence rates across countries. To determine the validity of this hypothesis, the paper examines data on homicide rates, drug prohibition enforcement, and gun control policy for a broad range of countries. The results suggest a role for drug prohibition enforcement in explaining cross‐country differences in violence, and they provide an alternative explanation for some of the apparent effects of gun control/availability on violence rates.

A New Monthly Index of Industrial Production, 1884–1940

The paper derives a new monthly index of industrial production for the United States for 1884-1940. This index improves upon existing measures of industrial production by excluding indirect proxies of industrial activity, by only using component series that are consistent over time, and by not making ad hoc adjustments to the data. Analysis of the new index shows that it has more within-year volatility than conventional indexes, has relatively unimportant seasonal fluctuations, and has cyclical turning points that are grossly similar to but subtly different from existing series.

Global Patterns of Seasonal Variation in Human Fertility

Pronounced and persistent seasonal patterns in fertility are observed in virtually all human populations. This paper presents evidence on these seasonal patterns. We note that the most pronounced seasonal patterns are in the southern United States, where births decline substantially in April and May, and in northern Europe, where births increase substantially in March and April. Although seasonal variations in fertility were more pronounced in earlier agricultural populations, we show that seasonality has increased in this century in some high income, low fertility populations such as Sweden. We use data on monthly temperature to analyze the potential role of temperature in explaining seasonal patterns. We find strong evidence that summer heat plays an important role in explaining the July-August trough in conceptions in the southern United States. We find little evidence, however, that temperature plays any role in explaining the pronounced June-July peak in conceptions in Sweden. Temperature also appears to be relatively unimportant in several other populations with substantial seasonal variations in births, suggesting that other factors play an important role in birth seasonality.

The effects of temperature on human fertility

Monthly birth and temperature data for a variety of states and countries are used to estimate the effect of short-run temperature fluctuations on fertility. Regressions of monthly births on a flexible specification of lagged monthly temperature show that temperature has quantitatively important effects on both seasonal and nonseasonal variation in births. Summer temperature extremes reduce conceptions in the southern United States, explaining a substantial part of the observed seasonal birth pattern. Extreme cold shows no evidence of affecting conceptions. The results also show significant seasonality in births even after accounting for temperature. Controls for monthly temperature do not explain the persistent spring peak in births in northern Europe. This finding suggests that other factors play an important role.

The Effect of Drug Prohibition on Drug Prices: Evidence from the Markets for Cocaine and Heroin

This paper examines the effect of drug prohibition on the black market prices of cocaine and heroin. The paper examines the ratio of retail to farmgate price for cocaine, heroin, and several legal goods, and it compares legal versus black market prices for cocaine and heroin. The results suggest that cocaine and heroin are substantially more expensive than they would be in a legalized market, but to a lesser degree than suggested in previous research.

Modeling Seasonality in Fecundability, Conceptions, and Births

This paper develops a model of seasonal fluctuations in fecundability, conceptions, and births. We begin with a model of individual fecundability that combines behavioral and biological components, with particular attention to the roles of coital frequency, sperm concentration, fetal loss, and contraception. The individual-level model is then expanded into a model of seasonal fluctuations in births at the population level, which accounts explicitly for seasonal fluctuations in the size of the susceptible population. We illustrate the use of the model by analyzing proposed explanations of birth seasonality that rely on extreme summer heat.