Arbeitspapier
The Japanese economy in crises: A time series segmentation study
We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: (i) 1997-1999 (Asian Financial Crisis), (ii) 2000-2002 (Technology Bubble Crisis), (iii) 2003-2006 (economic growth), (iv) 2007-2008 (Subprime Crisis), and (iv) 2008-2010 (Lehman Brothers Crisis). In these MSTs, the Chemicals and Electric Machinery industries are consistently hubs. Finally, we present evidence from the segment-to-segment MSTs for flights to quality within the Japanese stock market.
- Language
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Englisch
- Bibliographic citation
-
Series: Economics Discussion Papers ; No. 2011-24
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Business Fluctuations; Cycles
Economywide Country Studies: Asia including Middle East
- Subject
-
Japanese industries
macroeconomic cycle
financial crisis
economic recovery
financial time series
segmentation
clustering
cross correlations
minimal spanning tree
Branchenkonjunktur
Aktienindex
Konjunktur
Wirtschaftskrise
Finanzmarktkrise
Schätzung
Japan
- Event
-
Geistige Schöpfung
- (who)
-
Cheong, Siew Ann
Fornia, Robert Paulo
Lee, Gladys Hui Ting
Kok, Jun Liang
Yim, Woei Shyr
Xu, Danny Yuan
Zhang, Yiting
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cheong, Siew Ann
- Fornia, Robert Paulo
- Lee, Gladys Hui Ting
- Kok, Jun Liang
- Yim, Woei Shyr
- Xu, Danny Yuan
- Zhang, Yiting
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2011
Other Objects (12)
The Japanese economy in crises: A time series segmentation study
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Sustainable market economy : welfare without self-made crises?
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Crises of capitalism : a different study of political economy
ClaSP: parameter-free time series segmentation
Political economy of Japanese and Asian development
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The Japanese economy in crises: A time series segmentation study
The Japanese economy in crises : A time series segmentation study
The Japanese Economy in Crises: A Time Series Segmentation Study
The Japanese economy in crises : A time series segmentation study
Political Economy of Globalization: Financialization & Crises
Performance of Japanese economy
Sustainable market economy : welfare without self-made crises?
The Japanese economy and its problems
Crises of capitalism : a different study of political economy
ClaSP: parameter-free time series segmentation
Political economy of Japanese and Asian development
Revitalizing the Japanese economy by socializing risk
The Japanese economy in crises: A time series segmentation study
The Japanese economy in crises : A time series segmentation study
The Japanese Economy in Crises: A Time Series Segmentation Study
The Japanese economy in crises : A time series segmentation study
Political Economy of Globalization: Financialization & Crises
Performance of Japanese economy
Sustainable market economy : welfare without self-made crises?
The Japanese economy and its problems
Crises of capitalism : a different study of political economy
ClaSP: parameter-free time series segmentation
Political economy of Japanese and Asian development