景気の転換点の予測 : Sequential Probability Recursionの応用(<小特集>経済予測とシミュレーション)

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概要

• 論文の詳細を見る

• This paper applies Neftci (1982)'s sequential probability recursion (SPR) to the prediction of business cycle turning points in Japan. The SPR forecast correctly predicted ten of the past thirteen turning points before they occurred. It also shows better performance relative to the rule-of-thumb prediction that signals the turning points when the leading diffusion index (DI) shows values below (above) 50% for three months in a row for peak (trough) predictions, in terms of both a smaller number of false signals and earlier detections of the turning points. The SPR-based prediction has signalled a peak as early as in June 1996 for the peak of March 1997,which confirms ability of identifying the turning point even on an ex-ante basis.

• 日本シミュレーション学会の論文
• 1998-12-15

著者

• 松岡 幹裕

  (株)大和総研経済調査部

関連論文

• 景気の転換点の予測 : Sequential Probability Recursionの応用(経済予測とシミュレーション)

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