Publisher Correction: Relationship between Macroeconomic Indicators and Economic Cycles in U.S.

An amendment to this paper has been published and can be accessed via a link at the top of the paper.

Relationship between Macroeconomic Indicators and Economic Cycles in U.S.

We analyze monthly time series of 57 US macroeconomic indicators (18 leading, 30 coincidental, and 9 lagging) and 5 other trade/money indexes. Using novel methods, we confirm statistically significant co-movements among these time series and identify noteworthy economic events. The methods we use are Complex Hilbert Principal Component Analysis (CHPCA) and Rotational Random Shuffling (RRS). We obtain significant complex correlations among the US economic indicators with leads/lags. We then use the Hodge decomposition to obtain the hierarchical order of each time series. The Hodge potential allows us to better understand the lead/lag relationships. Using both CHPCA and Hodge decomposition approaches, we obtain a new lead/lag order of the macroeconomic indicators and perform clustering analysis for positively serially correlated positive and negative changes of the analyzed indicators. We identify collective negative co-movements around the Dot.com bubble in 2001 as well as the Global Financial Crisis (GFC) in October 2008. We also identify important events such as the Hurricane Katrina in August 2005 and the Oil Price Crisis in July 2008. Additionally, we demonstrate that some coincidental and lagging indicators actually show leading indicator characteristics. This suggests that there is a room for existing indicators to be improved.

The structure and evolution of buyer-supplier networks.

In this paper, we investigate the structure and evolution of customer-supplier networks in Japan using a unique dataset that contains information on customer and supplier linkages for more than 500,000 incorporated non-financial firms for the five years from 2008 to 2012. We find, first, that the number of customer links is unequal across firms; the customer link distribution has a power-law tail with an exponent of unity (i.e., it follows Zipf's law). We interpret this as implying that competition among firms to acquire new customers yields winners with a large number of customers, as well as losers with fewer customers. We also show that the shortest path length for any pair of firms is, on average, 4.3 links. Second, we find that link switching is relatively rare. Our estimates indicate that the survival rate per year for customer links is 92 percent and for supplier links 93 percent. Third and finally, we find that firm growth rates tend to be more highly correlated the closer two firms are to each other in a customer-supplier network (i.e., the smaller is the shortest path length for the two firms). This suggests that a non-negligible portion of fluctuations in firm growth stems from the propagation of microeconomic shocks - shocks affecting only a particular firm - through customer-supplier chains.

Fluctuation-dissipation theory of input-output interindustrial relations.

In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to indices of industrial production (IIP) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of the random matrix theory in an eigenvalue analysis of the correlation matrix; as a result, two dominant eigenmodes are detected. Our previous study successfully used these two modes to demonstrate the existence of intrinsic business cycles. Here a correlation matrix constructed from the two modes describes genuine interindustrial correlations in a statistically meaningful way. Furthermore, it enables us to quantitatively discuss the relationship between shipments of final demand goods and production of intermediate goods in a linear response framework. We also investigate distinctive external stimuli for the Japanese economy exerted by the current global economic crisis. These stimuli are derived from residuals of moving-average fluctuations of the IIP remaining after subtracting the long-period components arising from inherent business cycles. The observation reveals that the fluctuation-dissipation theory is applicable to an economic system that is supposed to be far from physical equilibrium.