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Bayesian Estimation of Monthly GDP Gap and Developing Gap Probability Indices

Research Project

Project/Area Number 19530185
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionOsaka Prefecture University

Principal Investigator

MURASAWA Yasutomo  Osaka Prefecture University, 経済学部, 教授 (00314287)

Project Period (FY) 2007 – 2010
Project Status Completed (Fiscal Year 2010)
Budget Amount *help
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2008: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2007: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Keywords景気指数 / 月次GDP / GDPギャップ / インフレ期待 / フィリップス曲線
Research Abstract

We can define "business" as real GDP or GDP gap. To capture the state of "business" promptly, we must measure them monthly. Their simple proxies are also useful in practice. Moreover, under the recent global deflation, it is now important to measure inflation (deflation) expectations. This research has made the following four contributions : (1) estimation of monthly real GDP, (2) estimation of GDP gap, (3) developing regional business cycle indices, and (4) measuring inflation expectations.

Report

(6 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report   Self-evaluation Report ( PDF )
  • 2008 Annual Research Report
  • 2007 Annual Research Report
  • Research Products

    (33 results)

All 2011 2010 2009 2008 2007 Other

All Journal Article (11 results) (of which Peer Reviewed: 7 results) Presentation (15 results) Book (5 results) Remarks (2 results)

  • [Journal Article] A Coincident Index, Common Factors, and Monthly Real GDP2010

    • Author(s)
      R.S. Mariano, Y. Murasawa
    • Journal Title

      Oxford Bulletin of Economics and Statistics Vol.72

      Pages: 27-46

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] A Coincident Index, Common Factors, and Monthly Real GDP (with R. S. Mariano)2010

    • Author(s)
      R. S. Mariano, Y. Murasawa
    • Journal Title

      Oxford Bulletin of Economics and Statistics Vol. 72

      Pages: 27-46

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] A Coincident Index, Common Factors, and Monthly Real GDP2010

    • Author(s)
      R.S.Mariano, Y.Murasawa
    • Journal Title

      Oxford Bulletin of Economics and Statistics 72

      Pages: 27-46

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Do Coincident Indicators Have One-Factor Structure?2009

    • Author(s)
      村澤康友
    • Journal Title

      Empirical Economics Vol.36

      Pages: 339-365

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] 地域景気動向指数の可能性2009

    • Author(s)
      村澤康友
    • Journal Title

      日経研月報 2009年5月号

      Pages: 16-22

    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Journal Article] Do Coincident Indicators Have One-Factor Structure?2009

    • Author(s)
      Y. Murasawa
    • Journal Title

      Empirical Economics Vol. 36

      Pages: 339-365

    • Related Report
      2009 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Do Coincident Indicators Have One-Factor Structure?"2009

    • Author(s)
      Y.Murasawa
    • Journal Title

      Empirical Economics 36

      Pages: 339-365

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 地域景気動向指数の可能性2009

    • Author(s)
      村澤康友
    • Journal Title

      日経研月報 2009-5

      Pages: 16-22

    • Related Report
      2009 Annual Research Report
  • [Journal Article] Do Coincident Indicators Have One-Factor Structure?2009

    • Author(s)
      Yasutomo Murasawa
    • Journal Title

      Empirical Economics 36

      Pages: 339-365

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 地域景気動向指数の再検討2008

    • Author(s)
      村澤康友
    • Journal Title

      フィナンシャル・レビュー 第90号

      Pages: 94-108

    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Journal Article] 地域景気動向指数の再検討2008

    • Author(s)
      村澤康友
    • Journal Title

      フィナンシャル・レビュー 90

      Pages: 94-108

    • Related Report
      2008 Annual Research Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2010

    • Author(s)
      村澤康友
    • Organizer
      4th International Conference on Computational and Financial Econometrics (CFE'10)
    • Place of Presentation
      University of London
    • Year and Date
      2010-12-11
    • Related Report
      2010 Final Research Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2010

    • Author(s)
      Yasutomo Murasawa
    • Organizer
      4th International Conference on Computational and Financial Econometrics (CFE'10)
    • Place of Presentation
      University of London, UK
    • Year and Date
      2010-12-11
    • Related Report
      2010 Annual Research Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2010

    • Author(s)
      村澤康友
    • Organizer
      2010 Joint Statistical Meetings
    • Place of Presentation
      Vancouver
    • Year and Date
      2010-08-03
    • Related Report
      2010 Final Research Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2010

    • Author(s)
      Yasutomo Murasawa
    • Organizer
      2010 Joint Statistical Meetings
    • Place of Presentation
      Vancouver, Canada
    • Year and Date
      2010-08-03
    • Related Report
      2010 Annual Research Report
  • [Presentation] Measuring Inflation Expectations from Interval-Coded Data2009

    • Author(s)
      村澤康友
    • Organizer
      日本経済学会2009年度秋季大会
    • Place of Presentation
      専修大学
    • Year and Date
      2009-10-10
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2009

    • Author(s)
      村澤康友
    • Organizer
      日本経済学会2009年度秋季大会
    • Place of Presentation
      専修大学
    • Year and Date
      2009-10-10
    • Related Report
      2009 Annual Research Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2009

    • Author(s)
      村澤康友
    • Organizer
      2009年度統計関連学会連合大会
    • Place of Presentation
      同志社大学
    • Year and Date
      2009-09-07
    • Related Report
      2010 Final Research Report 2009 Annual Research Report 2009 Self-evaluation Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2009

    • Author(s)
      村澤康友
    • Organizer
      2009 Far East and South Asia Meeting of the Econometric Society
    • Place of Presentation
      University of Tokyo
    • Year and Date
      2009-08-03
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Presentation] Measuring Inflation Expectations Using Interval-Coded Data2009

    • Author(s)
      村澤康友
    • Organizer
      2009 Far East and South Asia Meeting of the Econometric Society
    • Place of Presentation
      東京大学
    • Year and Date
      2009-08-03
    • Related Report
      2009 Annual Research Report
  • [Presentation] Measuring the Natural Rates, Gaps, and Deviation Cycles2008

    • Author(s)
      村澤康友
    • Organizer
      5th Eurostat Colloquium on Modern Tools for Business Cycle Analysis
    • Place of Presentation
      Luxembourg
    • Year and Date
      2008-09-29
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report 2008 Annual Research Report
  • [Presentation] Measuring the Natural Rates, Gaps, and Deviation Cycles2007

    • Author(s)
      村澤康友
    • Organizer
      2007 Far Eastern Meeting of the Econometric Society
    • Place of Presentation
      Taipei
    • Year and Date
      2007-07-11
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Presentation] Measuring the Natural Rates,Gaps,and Deviation Cycles2007

    • Author(s)
      村澤 康友
    • Organizer
      2007 Far Eastern Meeting of the Econometric Society
    • Place of Presentation
      Taipei
    • Year and Date
      2007-07-11
    • Related Report
      2007 Annual Research Report
  • [Presentation] 日本の自然率とギャップ2007

    • Author(s)
      村澤康友
    • Organizer
      日本経済学会2007年度春季大会
    • Place of Presentation
      大阪学院大学
    • Year and Date
      2007-06-03
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report 2007 Annual Research Report
  • [Presentation] Measuring the Natural Rates, Gaps, and Deviation Cycles2007

    • Author(s)
      村澤康友
    • Organizer
      Third Symposium on Econometric Theory and Applications (SETA2007)
    • Place of Presentation
      Hong Kong University of Science and Technology
    • Year and Date
      2007-04-14
    • Related Report
      2010 Final Research Report 2009 Self-evaluation Report
  • [Presentation] Measuring the Natural Rates,Gaps,and Deviation Cycles2007

    • Author(s)
      村澤 康友
    • Organizer
      Third Symposium on Econometric Theory and Applications(SETA 2007)
    • Place of Presentation
      Hong Kong University of Science and Technology
    • Year and Date
      2007-04-14
    • Related Report
      2007 Annual Research Report
  • [Book] 世界同時不況と景気循環分析(「インフレ期待の異質性:区間データを用いたCarlson-Parkin法の拡張」)(浅子和美・宮川努・飯塚信夫(編))第8章2011

    • Author(s)
      村澤康友
    • Publisher
      東京大学出版会
    • Related Report
      2010 Final Research Report
  • [Book] 世界同時不況と景気循環分析2011

    • Author(s)
      浅子和美・宮川努・飯塚信夫(編)
    • Publisher
      東京大学出版会
    • Related Report
      2010 Annual Research Report
  • [Book] 日本経済の構造変化と景気循環(「景気指数の統計的基礎」)(浅子和美・宮川努(編))第1章2007

    • Author(s)
      村澤康友
    • Publisher
      東京大学出版会
    • Related Report
      2010 Final Research Report
  • [Book] 景気指数の統計的基礎『日本経済の構造変化と景気循環』(浅子和美・宮川努 (編))2007

    • Author(s)
      澤康友
    • Publisher
      東京大学出版会
    • Related Report
      2009 Self-evaluation Report
  • [Book] 日本経済の構造変化と景気循環2007

    • Author(s)
      浅子 和美・宮川 努
    • Publisher
      東京大学出版会
    • Related Report
      2007 Annual Research Report
  • [Remarks]

    • URL

      http://www.eco.osakafu-u.ac.jp/~murasawa/research.html

    • Related Report
      2010 Annual Research Report
  • [Remarks]

    • URL

      http://www.eco.osakafu-u.ac.jp/~murasawa/research.html

    • Related Report
      2009 Annual Research Report

URL: 

Published: 2007-04-01   Modified: 2016-04-21  

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