For thirty years since Beveridge and Nelson (1981) decomposition, many decomposition of trend and cycle have been developed. Their estimation, however, have little correspondence with each other. This paper applies to Japanese real GDP and unemployment rate between 1955 and 2000 using...

This paper verified possible application of model-based univariate and multivariate Bandpass filter for Japanese time series data. Firstly, we extracted cycle components and estimated periodic length of monthly univariate time series such as coincident index (CCI) and the index of industrial...

In this paper, we extract common factors from nearly 120 series of Japanese macroeconomic Panel Data as the diffusion index of business cycles, using the estimation method proposed by Stock and Watson (1998, 2002a,b). This model referred to as Approximated Dynamic Factor Model, can be estimated...

In this paper, we propose and evaluate the forecasting model of Coincident Composite Index (CCI) using Affine Term Structure Model of interest rates that consider the tendency of term spread leading business cycle by approximately 24 months. Our forecasting model modified the macro finance model...

I propose new method of measuring the effect of monetary policy on a large number of macroeconomic series by combining dynamic stochastic general equilibrium (DSGE) with a dynamic factor model (DFM) in a data-rich environment including a broad range of useful information for both central banks...

I extend a simple new Keynesian model with the Markov-switching-type Taylor rule introduced by Davig and Leeper (2007 ) by incorporating the constraint of the zero lower bound (ZLB), using the concept and algorithms of the stochastic rational expectations equilibrium proposed by Billi (2013)....

In order to investigate sources of the Great Recession (Dec. 2007 to Jun. 2009) of the US economy in the latter portion of the first decade of the 2000s, we modified the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model by embedding financial frictions in both the...