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Regional business cycle phases in Japan

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Howard J. Wall

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Abstract

This paper uses a Markov-switching model with structural breaks to characterize and compare regional business cycles in Japan for 1976-2005. An early 1990s structural break meant a reduction in national and regional growth rates in expansion and recession, usually resulting in an increase in the spread between the two phases. Although recessions tended to be experienced across a majority of regions throughout the sample period, the occurrence and lengths of recessions at the regional level have increased over time.

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2006-053.

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Date of creation: 2006
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Publication status: Published in Federal Reserve Bank of St. Louis Review, January/February 2007, 89(1), pp. 61-76
Handle: RePEc:fip:fedlwp:2006-053

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Keywords: Business cycles ; Economic conditions - Japan;

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  1. Toshiaki Watanabe & Hirokuni Uchiyama, 2005. "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Macroeconomics Working Papers 480, East Asian Bureau of Economic Research. [Downloadable!]
  2. Michael T. Owyang & Jeremy Piger & Howard J. Wall, 2005. "Business Cycle Phases in U.S. States," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 604-616, 01. [Downloadable!] (restricted)
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  3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  4. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
  5. Watanabe, Toshiaki, 2003. "Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 35-68, February. [Downloadable!]
  6. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
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  7. Michael T. Owyang & Howard J. Wall, 2006. "Regional VARs and the channels of monetary policy," Working Papers 2006-002, Federal Reserve Bank of St. Louis. [Downloadable!]
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  8. Gerald Carlino & Robert Defina, 1998. "The Differential Regional Effects Of Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 572-587, November. [Downloadable!] (restricted)
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