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A New Composite Index of Coincident Economic Indicators in Japan : How can we improve the forecast performance?
http://hdl.handle.net/2261/2377
http://hdl.handle.net/2261/2377441ca1fb-d673-4f29-8d3c-fe9e96fbd66d
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | A New Composite Index of Coincident Economic Indicators in Japan : How can we improve the forecast performance? | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Business cycle | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Composite indicators | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Macroeconomic forecasting | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Kalman filter | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fukuda, Shin-ichi
× Fukuda, Shin-ichi× Onodera, Takashi |
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| 著者所属 | ||||||
| 値 | University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Nihon Keizai Shinbun, Inc. | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The purpose of this paper is to construct a new composite index of coincident economic indicators in Japan and to demonstrate their usefulness in forecasting recent short-run economic fluctuations. The method of construction is based on the single-index dynamic factor model. Our two types of indexes are highly correlated with the traditional composite index compiled by the EPA over business-cycle horizons. However, standard leading indicators, which failed to forecast the traditional composite index, make a satisfactory performance in forecasting our indexes in the 1990s. In addition, lagged values of our indexes help to improve the leading indicators’ performance in forecasting the traditional composite index in the 1990s. The result is noteworthy because a large number of research institutes made serious errors in forecasting recent recessions in Japan. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | International Journal of Forecasting, 17, 2001, p. 483-498, 掲載予定. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CF-101, 発行日 2001-01 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2001/2001cf101.pdf | |||||
