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Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model
http://hdl.handle.net/10086/0002061070
http://hdl.handle.net/10086/00020610707b03794a-3dd4-4406-8685-f7e0064e1370
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
HIAS-E-148.pdf (422 KB)
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| Item type | デフォルトアイテムタイプ（フル）その２(1) | |||||||
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| 公開日 | 2025-10-22 | |||||||
| タイトル | ||||||||
| タイトル | Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model | |||||||
| 言語 | en | |||||||
| 作成者 |
WATANABE, Toshiaki
× WATANABE, Toshiaki
e-Rad_Researcher
1000090254135
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| 寄与者 | ||||||||
| 寄与者タイプ | Editor | |||||||
| 姓名 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||||
| 言語 | en | |||||||
| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This paper analyzes business cycles in Japan by applying Markov switching (MS) models to monthly data on the coincident indicator of composite index (CI) during the period of 1985/01-2025/05 calculated by Economic and Social Research Institute (ESRI), Cabinet Office, the Government of Japan. During the latter half of the sample period, the Japanese economy experienced major shocks such as the global financial crisis in 2008, the Great East Japan Earthquake in 2011 and the COVID-19 pandemic in 2020. CI fell sharply during these periods, which make it difficult to estimate business cycle turning points using the simple MS model. In this paper, the MS model is extended by incorporating Student's t-error and stochastic volatility (SV). Since it is difficult to evaluate the likelihood once SV is introduced, a Bayesian method via Markov chain Monte Carlo (MCMC) is employed. The MS model with t-error or SV is shown to provide the estimates of the business cycle turning points close to those published by ESRI. A new method for evaluating marginal likelihood is evaluated. Bayesian model comparison based on marginal likelihood provides evidence that t-error is not needed once SV is introduced. Using the MS model with normal error and SV, structural changes in CI's mean growth rates during booms and recessions are also analyezed and two break points are found in the both mean growth rates. One is 2008/10 and the other is 2010/02, during which the mean growth rate during recession falls and that during boom rises due to the global financial crisis. | |||||||
| 言語 | en | |||||||
| 出版者 | ||||||||
| 出版者 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||||
| 言語 | en | |||||||
| 日付 | ||||||||
| 日付 | 2025-08-24 | |||||||
| 日付タイプ | Issued | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 関連情報 | ||||||||
| 関連タイプ | isPartOf | |||||||
| 言語 | en | |||||||
| 関連名称 | Discussion paper series ; No. HIAS-E-148 | |||||||
| 助成情報 | ||||||||
| 助成機関識別子タイプ | Crossref Funder | |||||||
| 助成機関識別子 | https://doi.org/10.13039/501100001691 | |||||||
| 助成機関名 | Japan Society for the Promotion of Science | |||||||
| 言語 | en | |||||||
| 研究課題番号URI | https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23H00048/ | |||||||
| 研究課題番号 | 23H00048 | |||||||
| 研究課題名 | 新たな不確実性指標の構築と金融市場およびマクロ経済に与える影響の理論・計量分析 | |||||||
| 言語 | ja | |||||||
| ページ数 | ||||||||
| ページ数 | 36 | |||||||
| Sponsorship | ||||||||
| 値 | Financial support from the Ministry of Education, Culture, Sports, Science and Technology of the Japanese Government through Grant-in-Aid for Scientic Research (23H00048, 24H00142) and Hitotsubashi Institute of Adavanced Study (HIAS) is gratefully acknowledged. | |||||||
| JEL | ||||||||
| 値 | C11 | |||||||
| JEL | ||||||||
| 値 | C22 | |||||||
| JEL | ||||||||
| 値 | C51 | |||||||
| JEL | ||||||||
| 値 | C52 | |||||||
| JEL | ||||||||
| 値 | E32 | |||||||
