Bayesian analysis of the relationship between unemployment and economic growth with oil price fluctuation

2015 Fiscal Year Final Research Report

• Project/Area Number: 25380263
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Obihiro University of Agriculture and Veterinary Medicine
• Principal Investigator: Kyo Koki 帯広畜産大学, 畜産学部, 教授 (70254662)
• Co-Investigator(Kenkyū-buntansha): NODA HIDEO 東京理科大学, 経営学部, 准教授 (90347724)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 原油価格変動 / 失業率 / 景気動向 / 時変係数VARモデル / ベイズモデル / マッチング関数 / 経済成長

Outline of Final Research Achievements

The fluctuation of oil price and unemployment is a very important issue in Japanese economy. Thus, in order to investigate the effects of economic growth on the structure change in labor market and the fluctuations of oil price, we have practiced the following studies. Firstly, we proposed a Bayesian approach for decomposing unemployment rate based on a matching function, which is constructed as a production of Cobb-Douglas form with time-varying parameters. Then, to analyze the dynamic effects of oil price fluctuations on business cycles and the unemployment rate in Japan, we apply a time-varying coefficient vector autoregressive modeling approach based on a Bayesian method using smoothness priors. These studies were aimed at developing statistical method for analyzing the dynamic structure of economic system and attempting to evaluation of economic policy through the empirical studies.

Free Research Field

統計科学