Business Cycle Analysis Using Band-Pass Filter

• Project/Area Number: 19530241
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic policy
• Research Institution: Hiroshima University
• Principal Investigator: YAMADA Hiroshi Hiroshima University, 大学院・社会科学研究科, 教授 (90292078)
• Project Period (FY): 2007 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000); Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2007: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: 景気循環 / バンドパスフィルタ / 景気先行指数 / 景気循環の連動性

Research Abstract

The Organisation for Economic Cooperation and Development (OECD) has developed a system of composite leading indicators (CLIs) for its member countries. On the other hand, the Japanese government has released another CLI for detecting the Japanese business cycle turning points. Both CLIs are widely used alternatives. These two CLIs may provide different business forecasts. When different forecasts occur, how can we interpret the discrepanCIes? This paper tried to answer this question by clarifying their relationships.

Research Products

• [Journal Article] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Cycle Turning Points (2010)
  • Author(s): 山田宏
  • Journal Title: Applied Economics Letters (in press)
  • Peer Reviewed
• [Journal Article] Evaluation of the Japanese Leading Indicators (2008)
  • Author(s): 山田宏, 本多佑三, 得津康義
  • Journal Title: Journal of Business Cycle Measurement and Analysis (*oecd出版の景気循環専門学術雑誌) Vol.3 Pages: 71-88
  • Peer Reviewed
• [Journal Article] 景気循環のシンクロナイゼーション (2008)
  • Author(s): 山田宏
  • Journal Title: 日経研月報 Vol.364 Pages: 20-23
• [Journal Article] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Cycle Turning Points
  • Author(s): 山田宏, 永田修一, 本多佑三
  • Journal Title: Applied Economics Letters (掲載決定)
  • Peer Reviewed
• [Presentation] 日本の景気先行指数に関する比較研究 (2008)
  • Author(s): 山田宏, 永田修一, 本多佑三
  • Organizer: 応用時系列研究会
  • Place of Presentation: 立教大学
  • Year and Date: 2008-06-21
• [Presentation] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Cycle Turning Points (2008)
  • Author(s): 山田宏, 永田修一, 本多佑三
  • Organizer: 日本経済学会2008年度春季大会(ポスターセッション)
  • Place of Presentation: 東北大学
  • Year and Date: 2008-05-30
• [Presentation] Some Empirical Evidence on Business Cycle Transmission from the US to Japan (2008)
  • Author(s): 山田宏
  • Organizer: 景気循環日付研究会
  • Place of Presentation: 山口市KKRホテルあさくら
  • Year and Date: 2008-03-18
• [Presentation] Some Empirical Evidence on Business Cycle Transmission from the US to Japan (2008)
  • Author(s): 山田宏
  • Organizer: 横浜国立大学金融プログラム・セミナー/ワークショップ
  • Place of Presentation: 横浜国立大学
  • Year and Date: 2008-03-06
• [Presentation] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Turning Points (2007)
  • Author(s): 山田宏, 永田修一, 本多佑三
  • Organizer: MODSIM07
  • Place of Presentation: カンターベリー大学(ニュージーランド・クライストチャーチ)
  • Year and Date: 2007-12-12
• [Presentation] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Turning Points (2007)
  • Author(s): 永田修一
  • Organizer: International Congress on Modelling and Simulation 2007
  • Place of Presentation: カンタベリー大学(ニュージーランド)
  • Year and Date: 2007-12-12
• [Presentation] Some Empirical Evidence on Business Cycle Transmission from the US to Japan (2007)
  • Author(s): 山田宏
  • Organizer: School of Economics and Finance Seminar
  • Place of Presentation: Victoria University of Wellington (ニュージーランド・ウェリントン)
  • Year and Date: 2007-11-30