今次景気循環のピークに関する考察 : 状態空間モデルを用いた産出ギャップによるアプローチ

概要

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The current situation of the business cycle is one of the most important factors for economic policy authorities. There are some ways to measure it, such as a production function approach, a univariate approach, and an empirical approach, etc. In this paper, according to the methodology suggested at Kuttner (1994). I explore a bivariate approach employing a state space model solved by Kalman filter to reveal the peak month in Japan at the current recession, which influences a lot to Southeast Asian developing countries. Since this paper takes monthly data approach, results do not necessarily reveal clear cyclical movements but among those, the estimation results suggest that November 2007 might be the peak of the business cycle while the government of Japan tentatively identified October 2007 as the peak. The result was also checked by a mechanical filtering, such as a HodrickPrescott filter.
長崎大学の論文