2006 Fiscal Year Final Research Report Summary
Developing New Business Cycle Composite Indicators Using Wavelet Analysis
| Project/Area Number |
17530211
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | HIROSHIMA UNIVERSITY |
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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)
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| 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)
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| Project Period (FY) |
2005 – 2006
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| Keywords | Business Cycle / Leading Indicator / Band-pass Filter |
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| 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.
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Research Products
(2 results)
