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Identifying Trough of Recent Recession in Japan: An Application of Stochastic Business Indicator

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タイトル: Identifying Trough of Recent Recession in Japan: An Application of Stochastic Business Indicator
著者: Yoshioka, Shinji
発行日: 2010年 6月30日
出版者: 長崎大学経済学部 / Faculty of Economis, Nagasaki University
引用: 長崎大学経済学部研究年報, 26, pp.9-23; 2010
抄録: In Japan, the Indexes of Business Conditions (CI) calculated by the Cabinet Office of the Government of Japan is employed for assessing business cycle. The CI consists of three components, such as leading, coincident, and lagging indexes. The CI is calculated by composing monthto-month percentage changes in multiple economic indicators. On contrary, in the U.S., for observing business condition, a stochastic business indicator is mainly employed. This study applies the latter U.S. approach to estimate a latent stochastic business indicator for Japanese economy according to Stock and Watson (1989,1990) using a state space model solved by Kalman filter. The estimated stochastic business indicator seems to fit quite well to existing Japanese official Indexes of Business Conditions. The estimated results appear to indicate that the trough month of the latest recession in Japan is March 2009.
キーワード: Business cycle / Recession / Stochastic business indicator / State space model / Kalman filter / Japan
URI: http://hdl.handle.net/10069/24466
ISSN: 09108602
資料タイプ: Departmental Bulletin Paper
原稿種類: publisher

引用URI : http://hdl.handle.net/10069/24466



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