The present study examines the characteristics of the business cycle in the Japanese economy by using the Hodrick-Prescot filter, concluding that a change in consumption is relatively large and that labour input is ficed in Japan. Fluctuating consumption supports a permanent income hypothesis in...

This paper has two purposes: it introduces the econometric methods used to analyze time series data with general frequency and presents a framework for analyzing economic variables that are measured daily; this special case is then applied to the trading volume of stock markets.

This study analyses the stock return characteristics for Japan and Asian emerging markets using monthly return to capture the changes in mean-variance in a two state framework. An unobserved Markov process drives the evolution of the states. The approach allows both the mean and the variance to...

This paper empirically analyzes the business cycle transmission between the two African countries and their largest economic partners. The empirical results show that business cycles in France, the United Kingdom, and the United States induce the economic fluctuations in Madagascar and...

Booth and Ciner (2001) find that the prices of commodity futures traded on the Tokyo Grain Exchange (TGE) do not move together in the long run. This study analyses whether their empirical results remain true for a more recent period. The empirical results suggest that the cointegrating relation...