IDEAS home Printed from https://ideas.repec.org/p/hst/ghsdps/gd12-277.html
   My bibliography  Save this paper

External Shocks and Japanese Business Cycles: Evidence from a Sign-Restricted VAR

Author

Listed:
  • Hiroshi Morita

Abstract

This paper investigates the sources of Japanese business fluctuations since the 1990s taking into account both external shocks (e.g., risk premium and foreign demand shock) and domestic supply and demand shocks. We use the sign-restricted VAR model based on the theoretical model to identify these. The presented results show that 20% to 40% of the forecast error variances in output can be explained by external shocks. Further, we demonstrate that supply shocks are the main influencing factor in Japanese business fluctuations throughout the sample period and that risk premium shocks have played an important role in post-2008 Lehman shock recession.

Suggested Citation

  • Hiroshi Morita, 2013. "External Shocks and Japanese Business Cycles: Evidence from a Sign-Restricted VAR," Global COE Hi-Stat Discussion Paper Series gd12-277, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hst:ghsdps:gd12-277
    as

    Download full text from publisher

    File URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd12-277.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fumio Hayashi & Edward C. Prescott, 2004. "The 1990s in Japan: a lost decade," Chapters, in: Paolo Onofri (ed.), The Economics of an Ageing Population, chapter 2, Edward Elgar Publishing.
    2. Fumio Hayashi & Edward C. Prescott, 2002. "The 1990s in Japan: A Lost Decade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(1), pages 206-235, January.
    3. Gupta-Kapoor Anju & Ramakrishnan Uma, 1999. "Is There A J-Curve? A New Estimation for Japan," International Economic Journal, Taylor & Francis Journals, vol. 13(4), pages 71-79.
    4. Evi Pappa, 2009. "The Effects Of Fiscal Shocks On Employment And The Real Wage," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(1), pages 217-244, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Suliman Zakaria S. Abdalla, 2014. "The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance," Working Papers 887, Economic Research Forum, revised Dec 2014.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Morita, Hiroshi, 2014. "External shocks and Japanese business cycles: Evidence from a sign-restricted VAR model," Japan and the World Economy, Elsevier, vol. 30(C), pages 59-74.
    2. Ms. Anita Tuladhar & Markus Bruckner, 2010. "Public Investment as a Fiscal Stimulus: Evidence from Japan’s Regional Spending During the 1990s," IMF Working Papers 2010/110, International Monetary Fund.
    3. R. Anton Braun & Yuichiro Waki, 2006. "Monetary Policy During Japan'S Lost Decade," The Japanese Economic Review, Japanese Economic Association, vol. 57(2), pages 324-344, June.
    4. Fang Cai, 2015. "Haste Makes Waste: Policy Options Facing China after Reaching the Lewis Turning Point," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(1), pages 1-20, January.
    5. Juan Carlos Conesa & Timothy J. Kehoe & Kim J. Ruhl, 2007. "Modeling great depressions: the depression in Finland in the 1990s," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 31(Nov), pages 16-44.
    6. Kyoji Fukao & Victoria Kravtsova & Kentaro Nakajima, 2014. "How important is geographical agglomeration to factory efficiency in Japan’s manufacturing sector?," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(3), pages 659-696, May.
    7. Kuroda, Sachiko & Yamamoto, Isamu, 2008. "Estimating Frisch labor supply elasticity in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 566-585, December.
    8. Hirakata, Naohisa & Sudo, Nao & Takei, Ikuo & Ueda, Kozo, 2016. "Japan's financial crises and lost decades," Japan and the World Economy, Elsevier, vol. 40(C), pages 31-46.
    9. Ikeda, Daisuke & Morita, Yasuko, 2020. "The effects of barriers to technology adoption on japanese prewar and postwar economic growth," Journal of the Japanese and International Economies, Elsevier, vol. 55(C).
    10. Junko Doi & Takao Fujii & Shinya Horie & Jun Iritani & Sumie Sato & Masaya Yasuoka, 2021. "Construction of an Aggregated Economy - Aggregated TFP and Price Level -," Discussion Paper Series 228, School of Economics, Kwansei Gakuin University.
    11. Malmaeus, J. Mikael & Alfredsson, Eva C., 2017. "Potential Consequences on the Economy of Low or No Growth - Short and Long Term Perspectives," Ecological Economics, Elsevier, vol. 134(C), pages 57-64.
    12. Timothy J. Kehoe, 2003. "What Can We Learn from the Current Crisis in Argentina?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(5), pages 609-633, November.
    13. Yamada, Tomoaki, 2011. "A politically feasible social security reform with a two-tier structure," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 199-224, September.
    14. Mitsuru Katagiri, 2012. "Economic Consequences of Population Aging in Japan: Effects through Changes in Demand Structure," IMES Discussion Paper Series 12-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    15. Molinari, Benedetto & Rodríguez, Jesús & Torres, José L., 2013. "Growth and technological progress in selected Pacific countries," Japan and the World Economy, Elsevier, vol. 28(C), pages 60-71.
    16. Arai, Real & Ueda, Junji, 2013. "A numerical evaluation of the sustainable size of the primary deficit in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 59-75.
    17. Inaba, Masaru & Nutahara, Kengo & Shirai, Daichi, 2022. "What drives fluctuations of labor wedge and business cycles? Evidence from Japan," Journal of Macroeconomics, Elsevier, vol. 72(C).
    18. Andrés Fernández & Ayşe İmrohoroğlu & Cesar E. Tamayo, 2019. "Saving Rates in Latin America: A Neoclassical Perspective," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(4), pages 791-823, December.
    19. Edward C. Prescott, 2006. "The Transformation of Macroeconomic Policy and Research," The American Economist, Sage Publications, vol. 50(1), pages 3-20, March.
    20. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hst:ghsdps:gd12-277. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tatsuji Makino (email available below). General contact details of provider: https://edirc.repec.org/data/iehitjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.