2009/12/10 by Hiroshi Iyetomi, Iyetomi, Hiroshi, Yasuhiro Nakayama +9
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #FOS: Economics and business #General Finance (q-fin.GN) #Statistical Finance (q-fin.ST) #Theoretical and Computational Physics
paper · pdf · doi:10.48550/arxiv.0912.1985
openalex publication_date 2009/12/10 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
In this study, the fluctuation-dissipation theory is invoked to shed light on\ninput-output interindustrial relations at a macroscopic level by its\napplication to IIP (indices of industrial production) data for Japan.\nStatistical noise arising from finiteness of the time series data is carefully\nremoved by making use of the random matrix theory in an eigenvalue analysis of\nthe correlation matrix; as a result, two dominant eigenmodes are detected. Our\nprevious study successfully used these two modes to demonstrate the existence\nof intrinsic business cycles. Here a correlation matrix constructed from the\ntwo modes describes genuine interindustrial correlations in a statistically\nmeaningful way. Further it enables us to quantitatively discuss the\nrelationship between shipments of final demand goods and production of\nintermediate goods in a linear response framework. We also investigate\ndistinctive external stimuli for the Japanese economy exerted by the current\nglobal economic crisis. These stimuli are derived from residuals of moving\naverage fluctuations of the IIP remaining after subtracting the long-period\ncomponents arising from inherent business cycles. The observation reveals that\nthe fluctuation-dissipation theory is applicable to an economic system that is\nsupposed to be far from physical equilibrium.\n