Capital Adjustment and Limit Cycles: An Empirical Analysis Based on the Threshold Autoregressive Model
International Journal of Economic Behavior and Organization
Volume 3, Issue 2-1, April 2015, Pages: 52-59
Received: Mar. 13, 2015; Accepted: Mar. 31, 2015; Published: Apr. 11, 2015
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Yasuyuki Nishigaki, Faculty of Economics, Ryukoku University, Kyoto, Japan
Daiki Maki, Faculty of Economics, Ryukoku University, Kyoto, Japan
Mitsuhiko Satake, Faculty of Economics, Doshisha University, Kyoto, Japan
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In this study, we investigate the non-linearity of the Japanese business cycle based on the theoretical concept of the limit cycle. To analyze the time series of capital stock and GDP simultaneously based on the theoretical relationships predicted by the limit cycle, we incorporate the capital coefficient into a Kaldor-type dynamic model and apply the threshold autoregressive (TAR) model to it to investigate fluctuations in the coefficient that are concurrent to the underlying oscillation of the limit cycle. The estimation results indicate that these time series are subject to the three-regime TAR model and that the middle regime has divergence and the outside regimes have convergence, suggesting that the process has a non-linear phenomenon typically caused by limit cycles.
Business Cycle, Limit Cycle, Capital Coefficient, Threshold Autoregressive Model
To cite this article
Yasuyuki Nishigaki, Daiki Maki, Mitsuhiko Satake, Capital Adjustment and Limit Cycles: An Empirical Analysis Based on the Threshold Autoregressive Model, International Journal of Economic Behavior and Organization. Special Issue: Recent Developments of Economic Theory and Its Applications. Vol. 3, No. 2-1, 2015, pp. 52-59. doi: 10.11648/j.ijebo.s.2015030201.19
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