Business Cycle Synchronization and Developing Business Cycle Indicators

• Project/Area Number: 22530272
• 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 広島大学, 社会(科)学研究科, 教授 (90292078)
• Project Period (FY): 2010-04-01 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: 景気 / 景気先行指数 / 景気循環成分 / トレンド / フィルター / 景気循環 / 周波数領域因果性検定 / l1トレンドフィルター / 経済協力開発機構 / ホドリック・プレスコット・フィルター / バンドパス・フィルター

Outline of Final Research Achievements

Forecasting the business cycle has been paid a lot of attention not only by specialist such as academic researchers and policy-makers but also by conventional citizen. Better forecasting requires sustained efforts to develop better business cycle indicators. To develop such indicators, this study conducted some examinations, which include (i) some studies on trend estimation to extract the business cycle frequency component and (ii) an evaluation of composite indicator’s component series.

Research Products

• [Journal Article] Estimating the Time-Varying NAIRU and the Phillips Curve Slope Simultaneously: A Note (2014)
  • Author(s): Ｈｉｒｏｓｈｉ Ｙａｍａｄａ
  • Journal Title: Applied Economics Letters Volume: 24 Issue: 15 Pages: 1057-1059
  • DOI: 10.1080/13504851.2014.907474
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Is the Productivity-Based Explanation for the Time-Varying US NAIRU Valid? (2014)
  • Author(s): Hiroshi Yamada, Gawon Yoon
  • Journal Title: Journal of Statistical Science and Application Volume: 2 Pages: 119-123
  • Peer Reviewed / Open Access / Acknowledgement Compliant
• [Journal Article] When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices (2014)
  • Author(s): Hiroshi Yamada, Gawon Yoon
  • Journal Title: Journal of International Money and Finance Volume: 42 Pages: 193-207
  • Peer Reviewed
• [Journal Article] Some Theoretical and Simulation Results on the Frequency Domain Causality Test (2014)
  • Author(s): Hiroshi Yamada, Wei Yangfeng
  • Journal Title: Econometric Reviews Volume: 33 Issue: 8 Pages: 936-947
  • DOI: 10.1080/07474938.2013.808488
  • Peer Reviewed
• [Journal Article] Japan’s output gap estimation and l1 trend filtering (2013)
  • Author(s): Hiroshi Yamada, Lan Jin
  • Journal Title: Empirical Economics Volume: 45 Issue: 1 Pages: 81-88
  • DOI: 10.1007/s00181-012-0625-x
  • Peer Reviewed
• [Journal Article] A Note on Bandpass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators (2011)
  • Author(s): Hiroshi Yamada
  • Journal Title: Journal of Business Cycle Measurement and Analysis Volume: 7 Pages: 105-109
  • Peer Reviewed
• [Presentation] Selecting the Tuning Parameter of the l1 Trend Filter (2015)
  • Author(s): Ｈｉｒｏｓｈｉ Ｙａｍａｄａ
  • Organizer: 2015 HEU-HU-SMU Tripartite Conference
  • Place of Presentation: Singapore Manａgement University (シンガポール共和国)
  • Year and Date: 2015-03-27
• [Presentation] A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter (2014)
  • Author(s): Ｈｉｒｏｓｈｉ Ｙａｍａｄａ
  • Organizer: 2014 Hitotsubashi-Sogang Conference on Econometrics
  • Place of Presentation: 西江大学（大韓民国）
  • Year and Date: 2014-12-13
• [Presentation] A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter (2014)
  • Author(s): Ｈｉｒｏｓｈｉ Ｙａｍａｄａ
  • Organizer: Workshop in Economics between Faculty of Economics, Chulalongkorn University and an Faculty of Economics, Hiroshima University
  • Place of Presentation: チュラロンコン大学 (タイ王国)
  • Year and Date: 2014-09-25
• [Presentation] Measuring the US NAIRU as a Step Function: A New Approach (2013)
  • Author(s): Hiroshi Yamada
  • Organizer: 9th International Symposium on Econometric Theory and Applications
  • Place of Presentation: ソウル
• [Presentation] When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices (2013)
  • Author(s): Gawon Yoon
  • Organizer: IMF Seminars, Conferences, and Economic Forums: Understanding International Commodity Price Fluctuations
  • Place of Presentation: IMF本部(ワシントンDC)，USA
  • Invited
• [Presentation] An Evaluation of the CLI Component Series for Japan (2012)
  • Author(s): Wei Yanfeng
  • Organizer: 31st CIRET Conference
  • Place of Presentation: ウィーン，オーストリア