Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model

Iiboshi, Hirokuni

doi:10.1016/j.japwor.2005.05.004

Cited by 9 publications

(7 citation statements)

References 19 publications

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“…Also using a Bayesian approach, Iiboshi (2007) …nds evidence of positive duration dependence for Japanese expansions and contractions. Extending Durland and McCurdy's (1994) model by allowing for duration dependence not only in transition probabilities but also in mean growth rates and heteroscedasticity in the noise component, Lam (2004) shows that the probability of an expansion ending decreases gradually as it gets older, while the probability of a contraction ending increases rapidly a its age increases.…”

Section: Review Of the Literaturementioning

confidence: 99%

“…In this study, we use the monthly business cycle phase chronology elaborated by the NBER Business Cycle Dating Committee for the US economy and a similar chronology recently elaborated by the ECRI for a group of 21 market-oriented economies for the period 1948-2009. 13 From that group, we select all the European Countries (EC) for which this Institute reports data on the business cycle turning points: Austria, France, Germany, Italy, Spain, Sweden, Switzerland, and the United Kingdom. Additionally, data were also collected for other industrial Non-European Countries (NEC):…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

“…whether the likelihood of an expansion or contraction ending is dependent on its age -has gained special interest in the last two decades, due to an increase in the average duration of expansions and a decrease in the duration of contractions after World War II (WWII). Some studies have been successful in …nding evidence of positive duration dependence for expansions or contractions (or both), in particular, for the United States (Sichel (1991), Diebold et al (1993), Durland and McCurdy (1994), Kim and Nelson (1998), Zuehlke (2003), Lam(2004), Davig (2007), and Layton and Smith (2007) and Zhou and Rigdon (2008)), France, Germany and United Kingdom , Australia (DiVenuto and Layton, 2005), Japan (Iiboshi, 2007), Switzerland (Perruchoud, 2008) and a panel of thirteen industrial countries (Castro, 2010).…”

Section: Introductionmentioning

confidence: 99%

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The duration of business cycle expansions and contractions: are there change-points in duration dependence?

Castro

2011

Empir Econ

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Th he e d du ur ra at ti io on n o of f b bu us si in ne es ss s c cy yc cl le e e ex xp pa an ns si io on ns s a an nd d c co on nt tr ra ac ct ti io on ns s: : A Ar re e t th he er re e c ch ha an ng ge e-p po oi in nt ts s i in n d du ur ra at ti io on n d de ep pe en nd de en nc ce e? ?" " V Vi it to or r C Ca as st tr ro o NIPE WP 24/ 2010 " "T Th he e d du ur ra at ti io on n o of f b bu us si in ne es ss s c cy yc cl le e e ex xp pa an ns si io on ns s a an nd d c co on nt tr ra ac ct ti io on ns s: : A Ar re e t th he er re e c ch ha an ng ge e-p po oi in nt ts s i in n d du ur ra at ti io on n d de ep pe en nd de en nc ce e? ?" " V Vi it to or r C Ca as st tr ro o N NI IP PE E *

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Section: Review Of the Literaturementioning

confidence: 99%

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The duration of business cycle expansions and contractions: are there change-points in duration dependence?

Castro

2011

Empir Econ

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“…Furthermore, there is a group of research that analyse business cycle dynamics with duration dependence (Layton & Smith, 2007;IIboshi, 2007;Castro, 2010). The researchers support an idea that the older is an expansion or contraction, the more likely it is to end.…”

Section: Literature Analysismentioning

confidence: 98%

The Leading Indicators of the Economic Cycles in Lithuania

Stundžienė

Barkauskas

Gižienė

2017

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The identification of the leading indicators that precede economic events and predict the next phase of the economic cycle is undoubtedly an important issue seeking to protect a country against recession or other negative economic events. The literature analysis shows that leading indicators vary across the countries and time. Therefore the aim of this research is to analyse potential leading indicators and identify the best predictors of the economic cycles in Lithuania. Various economic, industrial, financial, real estate market indicators as well as consumer and business expectations are analysed in order to find out which indicators cause the changes in the growth rate of GDP. The analysis is based on Granger causality test and autoregressive distributed lag model. The research shows that economic indicators such as consumption expenditure of households, government debt, compensation of employees, unemployment and others are weak predictors of the growth rate of GDP. Volume index of intermediate goods production is the best predictor in the group of industry data as it holds predictive attributes even three years before the changes in economy. The same conclusion can be made considering two financial indicators, i.e. short-term interest rate and the value of stock market index. Real estate market data such as residential buildings permits and growth rate in house price index can also warn about the changes in the growth rate of GDP two years before. Nevertheless, consumer and business expectations are the most important for the prediction of the changes in the growth rate of GDP.

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“…MS-AR(p) modellerinin ilk olarak ekonomideki iş döngüsünün yapısını ortaya çıkarmada, resesyon ve genişleme dönemlerinde oluşan konjonktürel döngüyü tahmin etmede kullanıldığı görülmektedir (Hamilton, 1989;Diebold ve Rudebusch,1996;Moolman, 2004;Liboshi, 2007). Zamanla model, iş döngüsünden farklı olarak finansal piyasalarda da kullanılmaya başlanmıştır.…”

Section: Literatürunclassified

Altın Fiyatlarındaki Değişimin Markov Rejim Değişim Modelleriyle İncelenmesi

Evci¹,

Şak²

2016

berj

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Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model

Cited by 9 publications

References 19 publications

The duration of business cycle expansions and contractions: are there change-points in duration dependence?

The duration of business cycle expansions and contractions: are there change-points in duration dependence?

The Leading Indicators of the Economic Cycles in Lithuania

Altın Fiyatlarındaki Değişimin Markov Rejim Değişim Modelleriyle İncelenmesi

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