2005 Fiscal Year Final Research Report Summary
Research on Applying Probabilistic Approach to Understanding and Forecasting Business Cycles
| Project/Area Number |
15530146
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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 statistics
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| Research Institution | Meijo University |
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Principal Investigator |
KATSUURA Masaki Meijo University, Faculty of Economics, Professor, 経済学部, 教授 (70224467)
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| Project Period (FY) |
2003 – 2005
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| Keywords | Business Cycle / Regime Switching Model / Stock-Watson Model / VAR Model |
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| Research Abstract |
This project is a research on a probabilistic method for business fluctuations on the basis of surveying the latest study trend. In particular, I examined the Regime Switching Model by using not only usual normal distribution, but also robust distributions such as t distribution. Moreover, the difference between using various distribution and the effect of using robust distributions are considered using real Japanese business cycle indicators such as Diffusion Index (DI), Composite Index (CI), cumulated DI, robustized business cycle indicators. An effect using the robust distribution was particularly striking in CI. In addition, though the models are estimated and the performance was checked our for various sample periods, I could not reached to the general conclusion, which would be considered as a future study.
In addition, utilizing the VAR (Vector Autoregressive) model, correlation between the variables which closely related to business cycle fluctuation was analyzed. Starting from the tests of unit roots, cointegrateion analysis was tested, ECM (Error Correction Model) and VAR model are estimated, and then Granger causality tests are conducted for examining interrelationship between variables. Particularly, these procedures were calculated for divided sample periods, which, by looking at the different correlation structure, provided various economic implications.
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Research Products
(10 results)
