Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10005408479
Using wavelet analysis, this paper shows empirically that Japanese stock prices contain predictive information on business turning points since the middle of the 1980s. The average leading period is about 13 months.
Persistent link: https://www.econbiz.de/10005462728
Breitung and Candelon (2006) in <italic>Journal of Econometrics</italic> proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the...
Persistent link: https://www.econbiz.de/10010975492
In this study, we test the Prebisch–Singer hypothesis on the secular decline of relative primary commodity prices with the extended Grilli and Yang (1988) data set, ending at 2010.” Rather than asking whether it holds for the whole sample period, we examine if the hypothesis holds sometimes...
Persistent link: https://www.econbiz.de/10011048434
This article presents a new method for estimating the unobservable nonaccelerating inflation rate of unemployment (NAIRU). We improve upon the method employed in Ball and Mankiw (2002) so that (i) the new method can estimate simultaneously both the time-varying NAIRU and the Phillips curve slope...
Persistent link: https://www.econbiz.de/10010953819
This paper estimates Japan’s output gap using the recently developed ℓ <Subscript>1</Subscript> trend filter, which is an alternative to the popular Hodrick–Prescott (HP) filter. This new filter provides a piecewise linear trend line, which means it possibly provides better output gap estimates than the HP...</subscript>
Persistent link: https://www.econbiz.de/10010994383
This paper applies the multi-scale beta estimation approach based on wavelet analysis proposed in Gencay et al. (2002) to Japanese industrial stock prices. Betas are calculated based on the wavelet rough and smooth from the discrete wavelet transform (DWT) and it is argued that the conventional...
Persistent link: https://www.econbiz.de/10005629448
The Organisation for Economic Cooperation and Development (OECD) has developed a system of Composite Leading Indicators (CLIs) for its member countries. On the other hand, the Japanese government has released another CLI for detecting the Japanese business cycle turning points. Both CLIs are...
Persistent link: https://www.econbiz.de/10008498666
This paper evaluates the performances of Japanese leading indicators in predicting business cycle turning points. We extract the business cycle component in leading indicators using the frequency selective filter proposed by Baxter and King (1999), and we try to clarify empirically whether or...
Persistent link: https://www.econbiz.de/10008492367
Persistent link: https://www.econbiz.de/10005228779