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A Characterization of the Postwar Japanese GDP Volatility by Alternative Detrending Methods
https://doi.org/10.24729/00001529
https://doi.org/10.24729/00001529eccdca08-a47e-4b79-908d-3f8ecad95673
名前 / ファイル | ライセンス | アクション |
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KJ00002495427.pdf (372.8 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2009-08-25 | |||||
タイトル | ||||||
タイトル | A Characterization of the Postwar Japanese GDP Volatility by Alternative Detrending Methods | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.24729/00001529 | |||||
ID登録タイプ | JaLC | |||||
著者 |
金子, 邦彦
× 金子, 邦彦 |
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著者別名 | ||||||
姓名 | Kaneko, Kimihiko | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper we examine the postwar Japanese GDP volatility by alternative detrending methods. We also investigate the effects of the choice of detrending methods on the properties of GDP volatility under two different exchange rate systems. Detrending methods we use are: (i) the Hodrick-Prescott Filter, (ii) First Difference Filter, (iii) Linear Trend Filter, and (iv) Quadratic Trend Filter. We find that the qualitative stylized fact that the GDP volatility in the fixed exchange rate period is larger than that in the flexible exchange rate period is robust to alternative detrending methods. We also find the quantitative stylized fact that the degree of extracted GDP volatility for any period is sensitive to the detrending methods. | |||||
引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 大阪府立大學經濟研究. 1993, 38(4), p.55-63 | |||||
書誌情報 |
大阪府立大學經濟研究 巻 38, 号 4, p. 55-63, 発行日 1993-09-30 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0451-6184 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00070783 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
出版者 | ||||||
出版者 | 大阪府立大学経済学部 |