Developing and Applying the Level and Gap Indices of Business Cycles

2016 Fiscal Year Final Research Report

• Project/Area Number: 23530255
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Konan University (2015-2016); Osaka Prefecture University (2011-2014)
• Principal Investigator: MURASAWA Yasutomo 甲南大学, 経済学部, 教授 (00314287)
• Project Period (FY): 2011-04-28 – 2017-03-31
• Keywords: 景気指数 / GDPギャップ / トレンド / サイクル / インフレ期待

Outline of Final Research Achievements

In business cycle measurement, "classical cycles" are cycles in the raw series, and "growth cycles" are cycles in the detrended series. We use real GDP and GDP gap to measure classical and growth cycles, respectively. To capture the state of the economy promptly, we must measure monthly real GDP and GDP gap. Moreover, under the recent global deflation, we also want to measure inflation (deflation) expectations. This research has developed three methods: (1) multivariate trend--cycle decomposition, (2) joint estimation of monthly real GDP and GDP gap, and (3) measuring the distribution of inflation expectations using interval data.

Free Research Field

経済統計学，応用計量経済学