A Characterization of the Postwar Japanese GDP Volatility by Alternative Detrending Methods

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概要

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• In this paper we examine the postwar Japanese GDP volatility by alternative detrending methods. We also investigate the effects of the choice of detrending methods on the properties of GDP volatility under two different exchange rate systems. Detrending methods we use are: (i) the Hodrick-Prescott Filter, (ii) First Difference Filter, (iii) Linear Trend Filter, and (iv) Quadratic Trend Filter. We find that the qualitative stylized fact that the GDP volatility in the fixed exchange rate period is larger than that in the flexible exchange rate period is robust to alternative detrending methods. We also find the quantitative stylized fact that the degree of extracted GDP volatility for any period is sensitive to the detrending methods.

• 大阪府立大学の論文

著者

• 金子 邦彦

  大阪府立大学

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