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A study on methods of business cycles analysis under use of big data

Research Project

Project/Area Number 16K03591
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionObihiro University of Agriculture and Veterinary Medicine

Principal Investigator

Kyo Koki  帯広畜産大学, 畜産学部, 教授 (70254662)

Co-Investigator(Kenkyū-buntansha) 野田 英雄  東京理科大学, 経営学部ビジネスエコノミクス学科, 教授 (90347724)
Research Collaborator Noda Hideo  
Project Period (FY) 2016-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2016: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Keywords景気循環 / 経済変動 / 日本経済 / 実証分析 / ベイズ統計モデル / 時変構造分析 / ビッグデータ / 時変構造 / 動的関係 / 景気動向分析 / GDPと景気指標の関係分析 / ビッグデータの利用 / ベイズ型統計モデル / 平滑化事前分布 / 時変構造解析 / 景気動向指数 / 原油価格変動 / 同時方程式モデル / ベイズモデル / 景気動向 / 経済時系列 / ベイズ法 / 日銀短観
Outline of Final Research Achievements

In this study, we proposed an indicator for business cycle analysis and analyzed correspondence between turning points in trend of oil price and business cycles in Japan. We also develop a two mode regression (TMR) modeling method for analyzing dynamic relationship between a monthly economic indicator and the quarterly GDP in Japan, and then analyzed the dynamic relationship between GDP and various economic indicators. The dynamic effects of business cycles on the Nikkei Stock Average was also analyzed.

Academic Significance and Societal Importance of the Research Achievements

まず、景気分析指標の構築とTMRモデリング手法の提案は景気変動分析の分野に学術的なインパクトをもたらしているだけではなく、分析ツールとして広く応用される可能性がある。とくに、各種経済指標とGDP間の関係分析から、景気変動の局面や時期によって経済指標は景気変動の原因にも結果にもなり得るという興味深い結果を得ており、景気変動メカニズムの実証に対して重要な示唆となる。また、株価や原油価格などの分析でビッグデータを利用した景気動向分析法の有効性を実証できた。

Report

(4 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (20 results)

All 2019 2018 2017 2016

All Journal Article (9 results) (of which Peer Reviewed: 9 results,  Open Access: 5 results,  Acknowledgement Compliant: 2 results) Presentation (11 results) (of which Int'l Joint Research: 10 results)

  • [Journal Article] Big data analysis of the dynamic effects of business cycles on stock prices in Japan2019

    • Author(s)
      K. Kyo
    • Journal Title

      Proceedings of 15th International Symposium on Pervasive Systems, Algorithms and Networks

      Volume: 1 Pages: 87-92

    • DOI

      10.1109/i-span.2018.00023

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Big data analysis of the dynamic relationship between stock prices and business cycles via Bayesian methods2018

    • Author(s)
      K. Kyo
    • Journal Title

      International Journal of Trade, Economics and Finance

      Volume: 9 Issue: 6 Pages: 224-230

    • DOI

      10.18178/ijtef.2018.9.6.620

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Dynamic relationship between business fluctuation and capacity utilization in the Japanese manufacturing industry2018

    • Author(s)
      K. Kyo and H. Noda
    • Journal Title

      Journal of Industrial and Intelligent Information

      Volume: 6 Pages: 57-62

    • DOI

      10.18178/jiii.6.2.57-62

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] A Bayesian approach for analyzing the dynamic relationship between quarterly and monthly economic indicators2018

    • Author(s)
      K. Kyo
    • Journal Title

      Proceedings of the 2018 Computing Conference

      Volume: 1 Pages: 16-28

    • DOI

      10.1007/978-3-030-01174-1_2

    • ISBN
      9783030011734, 9783030011741
    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A method for big data analysis of the impact of economic and social events on Japanese stock prices2018

    • Author(s)
      K. Kyo
    • Journal Title

      Proceedings of the 2018 International Conference on Big Data and Education

      Volume: 1 Pages: 5-10

    • DOI

      10.1145/3206157.3206164

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Bayesian Approach for Analyzing the Dynamic Dependence of GDP on the Unemployment Rate in Japan2018

    • Author(s)
      Kyo, K. and H. Noda
    • Journal Title

      International Journal of Modeling and Optimization

      Volume: 8 Issue: 1 Pages: 56-61

    • DOI

      10.7763/ijmo.2018.v8.624

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] The dynamic relationship between economic growth and inflation in Japan2018

    • Author(s)
      Kyo, K.
    • Journal Title

      Open Journal of Social Sciences

      Volume: 6 Issue: 03 Pages: 20-32

    • DOI

      10.4236/jss.2018.63003

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] 同時方程式モデルの識別と推定法の新規提案2016

    • Author(s)
      姜興起・野田英雄
    • Journal Title

      Information: An International Interdisciplinary Journal

      Volume: 19 Pages: 1793-1812

    • NAID

      40020905559

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Analysis of the dynamics in the relationships between the consumption of various types of fresh meat by Japanese households2016

    • Author(s)
      Hideo Noda, Koki Kyo
    • Journal Title

      International Journal of Innovation, Management and Technology

      Volume: 7 Pages: 166-170

    • DOI

      10.18178/ijimt.2016.7.5.666

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Presentation] The effects of the number of Chinese visitors on commercial sales in Japan2019

    • Author(s)
      K. Kyo
    • Organizer
      The 2019 Future of Information and Communication Conference
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Big data analysis of the dynamic effects of business cycles on stock prices in Japan2018

    • Author(s)
      K. Kyo
    • Organizer
      15th International Symposium on Pervasive Systems, Algorithms and Networks
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Bayesian approach for analyzing the dynamic relationship between quarterly and monthly economic indicators2018

    • Author(s)
      K. Kyo
    • Organizer
      The 2018 Computing Conference
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A method for big data analysis of the impact of economic and social events on Japanese stock prices2018

    • Author(s)
      K. Kyo
    • Organizer
      The 2018 International Conference on Big Data and Education
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Bayesian approach for analyzing the dynamic dependence of GDP on the unemployment rate in Japan2018

    • Author(s)
      Kyo, K. and H. Noda
    • Organizer
      2018 2nd European Conference on Design, Modeling and Optimization
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] A method for big data analysis of the impact of econimic and social events on Japanese stock prices2018

    • Author(s)
      Kyo, K.
    • Organizer
      2018 International Conference on Big Data and Education
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] The dynamic relationship between economic growth and inflation in Japan2018

    • Author(s)
      Kyo, K.
    • Organizer
      International Conference on Business Economics and Finance
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Bayesian estimation of dynamic relationship between GDP and economic indicators for analyzing business cycles2017

    • Author(s)
      Kyo, K. and H. Noda
    • Organizer
      The 1st International Conference on Econometrics and Statistics
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Bayesian analysis of dynamic relationship between GDP and commercial sales in Japan2017

    • Author(s)
      Kyo, K. and H. Noda
    • Organizer
      2017 Asian Conference of Management Science and Applications
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Correspondence between turning points in trend of oil price and business cycles in Japan2016

    • Author(s)
      Koki Kyo, Hideo Noda
    • Organizer
      2016 International Conference on Sustainable Development
    • Place of Presentation
      西安市(中国)
    • Year and Date
      2016-12-02
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research
  • [Presentation] 景気動向分析のための新規提案法2016

    • Author(s)
      姜興起、野田英雄
    • Organizer
      2016年度統計関連学会連合大会
    • Place of Presentation
      金沢大学(石川県・金沢市)
    • Year and Date
      2016-09-05
    • Related Report
      2016 Research-status Report

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Published: 2016-04-21   Modified: 2023-03-16  

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