Unveiling the Dynamics of Wholesale Commercial Sales and Business Cycle Impacts in Japan: An Extended Moving Linear Model Approach

Wholesale sales value is one of the key elements included in the coincident indicator series of the indexes of business conditions in Japan. The objectives of this study are twofold. The first is to comprehend features of dynamic structure of various components for 12 business types of the wholesale commercial sales in Japan, focusing on the period from January 1980 to December 2022. The second is to elucidate effect of business cycles on the behavior of each business type of the wholesale commercial sales. Specifically, we utilize our moving linear model approach to decompose monthly time series data of wholesale commercial sales into a seasonal component, an unusually varying component containing outliers, a constrained component, and a remaining component. Additionally, we construct a distribution-free dynamic linear model and examine the time-varying relationship between the decomposed remaining component, which contains cyclical variation, in each business type of the wholesale commercial sales and that in the coincident composite index. Our proposed approach reveals complex dynamics of various components of time series on wholesale commercial sales. Furthermore, we find that different business types of the wholesale commercial sales exhibit diverse responses to business cycles, influenced by macroeconomic conditions, government policies, or exogenous shocks.