Research on Applying Probabilistic Approach to Understanding and Forecasting Business Cycles
| Project/Area Number |
15530146
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Meijo University |
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Principal Investigator |
KATSUURA Masaki Meijo University, Faculty of Economics, Professor, 経済学部, 教授 (70224467)
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| Project Period (FY) |
2003 – 2005
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| Project Status |
Completed (Fiscal Year 2005)
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| Budget Amount *help |
¥2,500,000 (Direct Cost: ¥2,500,000)
Fiscal Year 2005: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2004: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2003: ¥800,000 (Direct Cost: ¥800,000)
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| Keywords | Business Cycle / Regime Switching Model / Stock-Watson Model / VAR Model / 2項回帰モデル |
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| Research Abstract |
This project is a research on a probabilistic method for business fluctuations on the basis of surveying the latest study trend. In particular, I examined the Regime Switching Model by using not only usual normal distribution, but also robust distributions such as t distribution. Moreover, the difference between using various distribution and the effect of using robust distributions are considered using real Japanese business cycle indicators such as Diffusion Index (DI), Composite Index (CI), cumulated DI, robustized business cycle indicators. An effect using the robust distribution was particularly striking in CI. In addition, though the models are estimated and the performance was checked our for various sample periods, I could not reached to the general conclusion, which would be considered as a future study.
In addition, utilizing the VAR (Vector Autoregressive) model, correlation between the variables which closely related to business cycle fluctuation was analyzed. Starting from the tests of unit roots, cointegrateion analysis was tested, ECM (Error Correction Model) and VAR model are estimated, and then Granger causality tests are conducted for examining interrelationship between variables. Particularly, these procedures were calculated for divided sample periods, which, by looking at the different correlation structure, provided various economic implications.
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Report
(4 results)
Research Products
(15 results)
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[Book] 経済の統計的分析2004
Author(s)
佐竹元一郎
Total Pages
224
Publisher
中央経済社
Description
「研究成果報告書概要(和文)」より
Related Report
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