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題名：Is There a Peak-Reversion Asymmetry in Taiwan's Business Cycles?
書刊名：經濟論文叢刊
作者：陳仕偉 引用關係
作者(外文)：Chen, Shyh-wei
出版日期：2002
卷期：30:4
頁次：頁531-562
主題關鍵詞：頂峰回復；景氣循環不對稱性；雙因子馬可夫轉換模型；Peak-reversion；Business cycle；Markov-switching factor model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(1) 專書論文(0)
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  • 共同引用共同引用:43
  • 點閱點閱:108
　　　　　本文嘗試探討臺灣景氣循環的特色中是否同時存在Hamilton及Friedman所分別定義之不對稱性？Hamilton型式的不對稱性認為外生的衝擊對於景氣擴張及收縮的影響皆具有�琱[的效果，而Friedman型式的不對稱性則認為外生的衝擊對於景氣擴張有�琱[的影響效果，但在收縮期時只有暫時性的影響。我們同時以未經季節調整的資料及季節調整後的消費、投資及進出口資料，利用雙因子馬可夫轉換模型進行實證研究，結果發現臺灣景氣循環的確存在Hamilton型式的不對稱特色，但並不存在Friedman型式的不對稱性。
　　　　　This paper investigates the asymmetric nature of Taiwan's business cycles. We employ a two-factor Markov-switching model which allows us to simultaneously analyze both types of asymmetry, i.e., the Hamilton-type asymmetry and the peak-reversion asymmetry. Both seasonally-unadjusted and seasonally-adjusted data are taken into account in the empirical studies. The empirical results suggest that the Hamilton-type asymmetry is evident in Taiwan's business fluctuations. However, the peak-reversion phenomenon is not shown by Taiwan's data, implying that recessions have permanent effects on the leel of Taiwan's output.
期刊論文
1.Beaudry, P.、Koop, G.(1993)。Do Recessions Permanently Change Output。Journal of Monetary Economics，31(2)，149-163。  new window
2.陳仕偉(20010600)。A Note on Taiwan's Business Chronologies in Terms of the Markov-switching Factor Model。經濟論文叢刊，29(2)，153-176。new window  new window
3.Ghysels, E.(1994)。On the Periodic Structure of the Business Cycle。Journal of Business & Economic Statistics，12(3)，289-298。  new window
4.Kim, C. J.、Nelson, C. R.(1998)。Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model with Regime Switching。The Review of Economics and Statistics，80(2)，188-201。  new window
5.Kim, M. J.、Yoo, Ji-Sung(1995)。New Index of Coincident indicators: A Multivariate Markov Switching Factor Model Approach。Journal of Monetary Economics，36，607-630。  new window
6.Layton, A. P.(1998)。A Further Test of the Influence of Leading Indicators on the Probability of US Business Cycle Phase Shifts。International Journal of Forecasting，14，63-70。  new window
7.Neftçi, Salih N.(1984)。Are Economic Time Series Asymmetric over the Business Cycle?。Journal of Political Economy，92(2)，307-328。  new window
8.徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環：馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊，13(5)，515-540。new window  延伸查詢new window
9.Hansen, B. E.(1992)。The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP。Journal of Applied Econometrics，7，61-82。  new window
10.Kim, C. J.、Murray, C. J.(2002)。Permanent and transitory components of recessions。Empirical Economics，27，163-183。  new window
11.Sichel, D. E.(1993)。Business Cycle Asymmetry: A Deeper Look。Economic Inquiry，31(2)，224-236。  new window
12.Sichel, Daniel E.(1994)。Inventories and the Three Phases of the Business Cycle。Journal of Business and Economic Statistics，12(3)，269-278。  new window
13.林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊，26(4)，431-457。new window  延伸查詢new window
14.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。  new window
15.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
16.Friedman, M.(1993)。The Plucking Model of Business Fluctuations Revisited。Economic Inquiry，31(2)，171-177。  new window
17.Garcia, R.(1998)。Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Model。International Economic Review，39，763-788。  new window
18.Hansen, Bruce E.(1996)。Erratum: The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP。Journal of Applied Econometrics，11(2)，195-198。  new window
19.林金龍、陳仕偉(2000)。臺灣景氣循環之探討：變動移轉機率馬可夫轉換模型之應用。經濟論文，28(1)，17-42。  延伸查詢new window
20.Chauvet, M.(1998)。An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching。International Economic Review，39，969-996。  new window
21.Gang, Lin、Hamilton, James D.(1996)。Stock Market Volatility and the Business Cycle。Journal of Applied Econometrics，11(5)，573-593。  new window
22.Filardo, Andrew J.(1994)。Business-cycle Phases and Their Transitional Dynamics。Journal of Business & Economic Statistics，12(3)，299-308。  new window
23.Durland, J. M.、McCurdy, T. H.(1994)。Duration-Dependent Transitions in A Markov Model of U. S. GNP Growth。Journal of Business & Economic Statistics，12，279-288。  new window
24.Kim, Chang-Jin、Nelson, C. R.(1999)。Friedman's plucking model of business fluctuations: Tests and estimates of permanent and transitory components。Journal of Money, Credit and Banking，31，317-334。  new window
25.Kim, Chang-Jin、Nelson, C. R.(2000)。A Bayesian approach to testing for Markov-switching in univariate and dynamic factor models。International Economic Review，42(4)，989-1013。  new window
26.Wynne, M. A.、Balke, N. S.(1996)。Are deep recessions followed by strong recoveries? Results for the G-7 countries。Applied Economics，28，889-897。  new window
27.Wynne, M. A.、Balke, N. S.(1992)。Are deep recessions followed by strong recoveries?。Economics Letters，39，183-189。  new window
28.陳仕偉、林金龍(2000)。臺灣景氣循環轉折點之認定：多變量動態馬可夫轉換單因子模型之應用。經濟論文，28(3)，289-320。  延伸查詢new window
29.黃朝熙(1999)。臺灣景氣循環的階段與特色：馬可夫狀態轉換模型的分析。經濟論文叢刊，27(2)，185-213。  延伸查詢new window
30.Layton, A. P.、Smith, D.(2000)。A Further Note on the Three Phases of The U. S. Business Cycle。Applied Economics，32，1133-1141。  new window
研究報告
1.Kim, C. J.、Piger, J.(2000)。Common stochastic trends, common cycles, and asymmetry in economic fluctuations。0。  new window
圖書
1.Friedman, M.(1969)。The Optimum Quantity of Money: and Other Essays。Chicago, IL：Aldine。  new window
2.Burns, A. F.、Mitchell, W. C.(1946)。Measuring Business Cycles。New York：National Bureau of Economic Research。  new window
圖書論文
1.Stock, J. H.、Watson, M. W.(1991)。A Probability Model of Coincident Economic Indicators。Leading Economic Indicators: New Approaches and Forecasting Records。Cambridge：Cambridge University Press。  new window
2.Stock, James H.、Watson, Mark W.(1989)。New Indexes of Coincident and Leading Economic Indicators。NBER Macroeconomics Annual。Cambridge, Massachusetts：MIT Press。  new window
 
 
 
 
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