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dc.contributor.authorCheong, Siew Annen_US
dc.contributor.authorFornia, Robert Pauloen_US
dc.contributor.authorLee, Gladys Hui Tingen_US
dc.contributor.authorKok, Jun Liangen_US
dc.contributor.authorYim, Woei Shyren_US
dc.contributor.authorXu, Danny Yuanen_US
dc.contributor.authorZhang, Yitingen_US
dc.date.accessioned2011-07-20en_US
dc.date.accessioned2011-07-25T14:52:41Z-
dc.date.available2011-07-25T14:52:41Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48579-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesEconomics Discussion Papers 2011-24en_US
dc.subject.jelC21en_US
dc.subject.jelC31en_US
dc.subject.jelE32en_US
dc.subject.jelO53en_US
dc.subject.ddc330en_US
dc.subject.keywordJapanese industriesen_US
dc.subject.keywordmacroeconomic cycleen_US
dc.subject.keywordfinancial crisisen_US
dc.subject.keywordeconomic recoveryen_US
dc.subject.keywordfinancial time seriesen_US
dc.subject.keywordsegmentationen_US
dc.subject.keywordclusteringen_US
dc.subject.keywordcross correlationsen_US
dc.subject.keywordminimal spanning treeen_US
dc.subject.stwBranchenkonjunkturen_US
dc.subject.stwAktienindexen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwWirtschaftskriseen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwJapanen_US
dc.titleThe Japanese economy in crises: A time series segmentation studyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn664499937en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen_US
dc.identifier.repecRePEc:zbw:ifwedp:201124-
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