Comparing the Macroeconomic Responses of US and Japan Through Time Series Segmentation

Abstract

In this paper we performed time series segmentation on the high-frequency time series data of various US and Japanese financial market indices, and found that for both economies, the time series segments can be very naturally grouped into four to six classes, corresponding roughly with economic growth, economic crisis, market correction, and market crash. With this classification of the time series segments, we discovered that the US economy recovered completely in one year six months, whereas the Japanese economy recovered incompletely in two years three months from the 2000 Technology Bubble Crisis. In contrast to the slow recovery, the US and Japanese economies succumbed to the 2007 Subprime Crisis in two months and 21 days respectively. Minimal spanning tree analysis of the time series segments points to signs of recovery as early as Sep 2009 for the US, but no signs for recovery as late as Jun 2010 for Japan. © Springer-Verlag Berlin Heidelberg 2013.