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A structural vector autoregression model for the study of the Japanese GDP and of the Japanese inflation

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  • Rosa Ferrentino
  • Luca Vota

Abstract

In this paper is presented an historical decomposition of the Japanese GDP and inflation, make, on quarterly data included between the first quarter of 2000 and the fourth quarter of 2016, through a structural VAR of order 1, with the aim of understanding the contribution of the monetary and fiscal policy to the development of these two variables. In the paper is also studied a dynamic forecast of the growth rate of the Japanese real GDP with an ARIMA model, a model belonging to the family of stochastic processes. The results obtained are in line with the forecasts of the economic theory and do not reveal substantial differences compared to those present in the literature. The authors pause also to discuss some limits related to the techniques used in these analyzes and hope that the paper is a very useful for stimulating research and for bridging economics and mathematics. JEL classification numbers: C32, E17, E61, E63Keywords : Structural vector autoregression model, autoregressive integrated moving average, historical decomposition, Cholesky model, Sims models.

Suggested Citation

  • Rosa Ferrentino & Luca Vota, 2019. "A structural vector autoregression model for the study of the Japanese GDP and of the Japanese inflation," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 9(2), pages 1-6.
    • Handle: RePEc:spt:admaec:v:9:y:2019:i:2:f:9_2_6
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    Cited by:

    1. Rosa Ferrentino & Luca Vota, 2022. "The Low-Skilled Immigrants’ Integration Process: a Mathematical Analysis," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 12(6), pages 1-8.
    2. Rosa Ferrentino & Luca Vota, 2022. "An Analysis of the Effectiveness of Japanese Monetary Policy Through a Statistical Mathematical Approach: a Simultaneous Equations Model (SEM)," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(1), pages 1-2.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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