Bayesian analysis of the dynamic structure in China’s economic growth

Kyo, Koki; Noda, Hideo

doi:10.1063/1.3039014

Cited by 2 publications

(1 citation statement)

References 12 publications

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“…Such insufficiency of strict treatment for structural changes can also be seen in the preceding studies on the macroeconomic effects of unemployment (see [4]). Recently it was verified that the Bayesian method based on the smoothness prior approach proposed by [5] is useful for modeling and statistically analyzing the dynamic structure of an economy (see [6]- [9]). The smoothness prior approach allows the expression of Manuscript received October 5, 2015; revised December 7, 2015.…”

Section: Introductionmentioning

confidence: 99%

Dynamic Effects of Oil Price Fluctuations on Business Cycle and Unemployment Rate in Japan

Kyo¹,

Noda²

2015

IJIMT

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This paper studies the dynamic effects of oil price fluctuations on business cycles and the unemployment rate in Japan. Much of the conventional research on relations between several economic variables has applied models based on the assumption of parameter invariability. However, when we consider a time series model over a period of several decades, assuming no structural changes is clearly unrealistic. In the present paper, we apply a time-varying coefficient vector autoregressive modeling approach based on a Bayesian method using smoothness priors. The results suggests that oil price fluctuations strongly influence business conditions. Oil price fluctuations also affect cyclical unemployment rate during the recession. Notably, the influence of oil price fluctuations on business conditions and unemployment has become large in recent years. Index Terms-Bayesian modeling, time-varying coefficient VAR model, oil price, unemployment rate, composite index.

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Section: Introductionmentioning

confidence: 99%