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Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations

  • Hiroshi Iyetomi
  • Yasuhiro Nakayama
  • Hideaki Aoyama
  • Yoshi Fujiwara
  • Yuichi Ikeda
  • Wataru Souma
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    In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of the random matrix theory in an eigenvalue analysis of the correlation matrix; as a result, two dominant eigenmodes are detected. Our previous study successfully used these two modes to demonstrate the existence of intrinsic business cycles. Here a correlation matrix constructed from the two modes describes genuine interindustrial correlations in a statistically meaningful way. Further it enables us to quantitatively discuss the relationship between shipments of final demand goods and production of intermediate goods in a linear response framework. We also investigate distinctive external stimuli for the Japanese economy exerted by the current global economic crisis. These stimuli are derived from residuals of moving average fluctuations of the IIP remaining after subtracting the long-period components arising from inherent business cycles. The observation reveals that the fluctuation-dissipation theory is applicable to an economic system that is supposed to be far from physical equilibrium.

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    Paper provided by in its series Papers with number 0912.1985.

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    Date of creation: Dec 2009
    Date of revision: Nov 2010
    Handle: RePEc:arx:papers:0912.1985
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    1. Hawkins, Raymond & Aoki, Masanao, 2008. "Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures," Economics Discussion Papers 2008-35, Kiel Institute for the World Economy.
    2. Dong-Hee Kim & Hawoong Jeong, 2005. "Systematic analysis of group identification in stock markets," Papers physics/0503076,, revised Oct 2005.
    3. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1998. "Noise dressing of financial correlation matrices," Science & Finance (CFM) working paper archive 500051, Science & Finance, Capital Fund Management.
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