The behaviour of the US consumer price index 1913–2003: a study of seasonality in the monthly US CPI

Abstract

This article analyses the seasonality in the monthly consumer price index (CPI) over the period January 1913 to December 2003. We examine three types of month effects: if the mean of monthly CPI changes of the entire data set, and of a given month were significantly different from zero; if the mean of monthly CPI changes of a given month was different from the mean of the other months; and if the variance of the monthly CPI changes for a given month was different from the variance of the other months. The mean of monthly CPI changes for the entire data set (0.27%) was found to be significantly greater than zero. The means of monthly changes show a downward trend from September to December. When the data are sliced into three sub-periods, we find an increasing trend in the means and medians of monthly changes but a decreasing trend in the SDs of the monthly changes. The mean of monthly CPI changes during the republican presidencies (0.15%) was significantly lower than during the democratic presidencies (0.38%).

Notes

¹ This period takes into account the formal declaration of war against Japan after the bombing of Pearl Harbour by the Japanese on 7 December 1941.

² The start of the Vietnam War is assumed as August 1964 when President Johnson got Congressional authorization for use of force for going into combat operations. Prior to that, the US had mainly training and support role with the South Vietnamese Armed Forces. The war formally ended on 30 April 1975, but in this scenario, the end of US active involvement is taken as the Paris accord of January 1973.

³ This scenario takes into account the final fall of the South Vietnamese regime.