You can use to_seriesand then convert to string:
print df
# Seasonal
#Date
#2014-12 -1.089744
#2015-01 -0.283654
#2015-02 0.158974
#2015-03 0.461538
print df.index
#PeriodIndex(['2014-12', '2015-01', '2015-02', '2015-03'],
# dtype='int64', name=u'Date', freq='M')
df.index=df.index.to_series().astype(str)
print df
# Seasonal
#Date
#2014-12 -1.089744
#2015-01 -0.283654
#2015-02 0.158974
#2015-03 0.461538
print df.index
#Index([u'2014-12', u'2015-01', u'2015-02', u'2015-03'], dtype='object', name=u'Date')
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