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Quantitative Finance > Statistical Finance

arXiv:1305.2263 (q-fin)
[Submitted on 10 May 2013]

Title:Direct Evidence for Synchronization in Japanese Business Cycle

Authors:Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi, Hiroshi Yoshikawa
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Abstract:We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial sectors. Moreover, the partial phase locking was observed for the 16 sectors. These are the direct evidence of the synchronization in the Japanese business cycle. We also showed that the information of the economic shock is carried by the phase time-series. The common shock and individual shocks are separated using phase time-series. The former dominates the economic shock in all of 1992, 1998 and 2001. The obtained results suggest that the business cycle may be described as a dynamics of the coupled limit-cycle oscillators exposed to the common shocks and random individual shocks.
Comments: 14 pages, 9 figures, submitted to Evolutionary and Institutional Economics Review
Subjects: Statistical Finance (q-fin.ST)
Cite as: arXiv:1305.2263 [q-fin.ST]
  (or arXiv:1305.2263v1 [q-fin.ST] for this version)
  https://doi.org/10.48550/arXiv.1305.2263

Submission history

From: Yuichi Ikeda [view email]
[v1] Fri, 10 May 2013 06:13:08 UTC (3,651 KB)
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