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Identifier to cite or link to this item: https://hdl.handle.net/10086/25458

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Title
External Shocks and Japanese Business Cycles: Evidence from a Sign-Restricted VAR
Creator
Creator Name
Morita, Hiroshi Morita, Hiroshi
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Key Word
External shock
DSGE model
sign-restricted VAR
JEL
F41
E32
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.
Description
January 2013
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2013-01
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 277
Relation
Related Identifier
URI
  http://gcoe.ier.hit-u.ac.jp/english/index.html
Number of Pages
42
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/25458