Empirical analysis on modeling business index and business forecast corresponding to tail-risk
| Project/Area Number |
17K13736
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic policy
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| Research Institution | Tohoku Gakuin University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 景気循環分析 / 景気循環 / 景気予測 |
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| Outline of Final Research Achievements |
Recently, it has been important for empirical analysis in macro econometrics to consider a tail risk. In this study we examine features of business cycles in Japan. We obtained the main results as follows. (1) We examined effects of outlier adjustments for estimating business cycles and their turning points. (2) We proposed the spatio-temporal model and extracted the regional business cycles in Japan. (3) We proposed an econometric model with leading and coincident indicators, and examined the predictively of leading indicators. (4) Using Tankan data, we estimated the Business survey index in firm level and volatilities.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究では、日本の景気動態を計量モデルによって分析し、その特徴について明らかにした。「日本の景気がどうなっているのか」に関する情報を提供することは、官庁や企業だけでなく国民においても、非常に有用であると考えられる。また、本研究で取り扱う景気後退確率（景気拡張期から後退期に変わる確率）の推計は、様々な経済主体が今後の活動を策定していく上で重要な情報になりうる。
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Report
(4 results)
Research Products
(4 results)
