Measuring business cycle turning points in Japan with the Markov Switching Panel model

Chen, Shyh‐Wei

doi:10.1016/j.matcom.2006.11.003

Cited by 11 publications

(3 citation statements)

References 23 publications

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“…This part of the paper explains the features of the Markov regime-switching model using a simple model. A simple Markov switching panel model with M (m = 1, …, M) features, specification for i (i = 1, ..., N) individuals, at time t (t = 1, …, T) for the variable yit is given by Equation (1) [20,21]:…”

Section: Markov Regime-switching Modelmentioning

confidence: 99%

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The Effect of Market Isolation on Competitive Behavior in Retail Petrol Markets

Ghazanfari

Razmjoo

2022

Sustainability

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Regarding the importance of energy for societies, this study examines the characteristics of the petrol price cycle in Perth, Australia. Given the micro-and macro-economic changes, the study’s purpose was to determine whether the Edgeworth features of the cycle are robust and resilient to market changes. The contribution is to extend previous studies, evaluate Edgeworth’s consistency, and capture several episodes of economic activity that have been unexplored. The findings showed a frequent and asymmetric weekly cycle that is characterized by decreasing prices over six consecutive days, followed by a large price jump in one day. The average price rise in the relenting phase for major stations was 14.10 cents per liter (CPL) and 13.14 CPL for independents. For the major and independents, the daily average price drops in the undercutting phase were 2.25 and 1.92 CPL, respectively. Despite the market changes, Edgeworth’s cycle characteristics, cycle duration, and the stations’ role have remained stable during the last 15 years, but peak and trough days have changed. The study is crucial as it provides insights into the robustness of price cycles and competition during significant downturns and prolonged periods of growth. This analysis is critical from a regulatory, policy, and consumer welfare perspective. Furthermore, this paper investigates future petrol consumption in light of renewable energy developments.

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Section: Markov Regime-switching Modelmentioning

confidence: 99%

“…This section examines the cycle characteristics by considering the POSITION variable. Table 4 presents the results of Equations ( 6) to (12) as well as ( 20) and (21). In Table 4, α R presents the daily average price rise in the relenting phase.…”

Section: Effect Of the Stations' Positions On The Price Cyclementioning

confidence: 99%

The Effect of Market Isolation on Competitive Behavior in Retail Petrol Markets

Ghazanfari

Razmjoo

2022

Sustainability

View full text Add to dashboard Cite

show abstract

“…The empirical results show that there have been structural changes in the volatility of output growth for these countries. Finally, Chen [5] has employed a Markov Switching Panel model to measure business cycle turning points in Japan. The empirical results indicate that this model is highly capable of identifying Japanese recessionary dates, and it also has a forecast performance that is equal to that of the Markov Switching Vector Autoregressive model.…”

Section: Introductionmentioning

confidence: 99%