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Developing New Business Cycle Composite Indicators Using Wavelet Analysis

Research Project

Project/Area Number 17530211
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic policy
Research InstitutionHIROSHIMA UNIVERSITY

Principal Investigator

YAMADA Hiroshi  Hiroshima University, Graduate School of Social Sciences, Associate Professor, 大学院社会科学研究科, 助教授 (90292078)

Co-Investigator(Kenkyū-buntansha) HONDA Yuzo  Osaka University, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (80137249)
TOKUTSU Yasuyoshi  Hiroshima University of Economics, Department of Economics, Lecturer, 経済学部, 講師 (30412282)
Project Period (FY) 2005 – 2006
Project Status Completed (Fiscal Year 2006)
Budget Amount *help
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 2006: ¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 2005: ¥1,800,000 (Direct Cost: ¥1,800,000)
KeywordsBusiness Cycle / Leading Indicator / Band-pass Filter
Research Abstract

As a part of this research project, we evaluated the characteristics of the Japanese official composite index of the leading indicators (CLI) and its component series. More concretely, we applied the Baxter-King filter to the CLI and its component series individually, and extracted the business cycle part of each series of which frequency lies between 32 months and 128 months. Making use of the filtered series, we determined business turning points of them, and compared them with the business turning point dates officially determined by the Japanese government. Parts of our findings from the empirical investigations are:
(a) The business cycle part in CLI leads the official business turning points by 9 months on average.
(b) The overall performance of CLI is similar to that of Inventory Indexes of Final Demand Goods.
(c) The leading months of most indicators for the turning point at 1991.2 are too long.
We also pointed out that if we use the evaluated properties of component series, we may construct a composite leading indicator which has some desirable properties as requested. As an illustration we provided such a composite leading indicator, which leads the official business turning points roughly by 4 months and has the smaller sample variance than that of the Japanese official CLI.

Report

(3 results)
  • 2006 Annual Research Report   Final Research Report Summary
  • 2005 Annual Research Report
  • Research Products

    (2 results)

All 2006

All Journal Article (2 results)

  • [Journal Article] Financial and Capital Markets' Responses to Changes in the Central Bank's Target Interest Rate : The Case of Japan2006

    • Author(s)
      Honda, Y., Y.Kuroki
    • Journal Title

      Economic Journal 116

      Pages: 812-842

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Responses to Changes in the Central Bank's Target Interest Rate : The Case of Japan2006

    • Author(s)
      Honda, Y., Y.Kuroki, Financial, Capital Markets
    • Journal Title

      Economic Journal Vol.116

      Pages: 812-842

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary

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Published: 2005-04-01   Modified: 2016-04-21  

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