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dc.contributor.authorCheong, Siew Annen
dc.contributor.authorFornia, Robert Pauloen
dc.contributor.authorLee, Gladys Hui Tingen
dc.contributor.authorKok, Jun Liangen
dc.contributor.authorYim, Woei Shyren
dc.contributor.authorXu, Danny Yuanen
dc.contributor.authorZhang, Yitingen
dc.date.accessioned2011-07-20-
dc.date.accessioned2011-07-25T14:52:41Z-
dc.date.available2011-07-25T14:52:41Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2011-24en
dc.subject.jelC21en
dc.subject.jelC31en
dc.subject.jelE32en
dc.subject.jelO53en
dc.subject.ddc330en
dc.subject.keywordJapanese industriesen
dc.subject.keywordmacroeconomic cycleen
dc.subject.keywordfinancial crisisen
dc.subject.keywordeconomic recoveryen
dc.subject.keywordfinancial time seriesen
dc.subject.keywordsegmentationen
dc.subject.keywordclusteringen
dc.subject.keywordcross correlationsen
dc.subject.keywordminimal spanning treeen
dc.subject.stwBranchenkonjunkturen
dc.subject.stwAktienindexen
dc.subject.stwKonjunkturen
dc.subject.stwWirtschaftskriseen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwSchätzungen
dc.subject.stwJapanen
dc.titleThe Japanese economy in crises: A time series segmentation study-
dc.typeWorking Paperen
dc.identifier.ppn664499937en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:201124en

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