Does seasonality influence the dating of business cycle turning points?

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