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題名：臺灣景氣循環特性之探討：馬可夫轉換模型的應用
書刊名：臺灣銀行季刊
作者：陳仕偉 引用關係／蔡兆龍
出版日期：2003
卷期：54:4
頁次：頁1-27
主題關鍵詞：景氣循環；馬可夫轉換模型；結構性改變
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:44
  • 點閱點閱:5
本文嘗試將臺灣實質國內生產毛額年增率的資料在進行模型的配適之前，先對資料型態做適當的調整，再使用馬可夫轉換模型進行配適，來解決由於一個國家在不同的經濟發階段，可能因為產業結構的調整與經濟體質的變化而導致資料中出現結構性改變的現象，以致於研究者在景氣循環轉折點的認定上出現無法認定的問題。實證結果發現：我們將資料作適當調整後所得到的結果與經建會所公佈的基準循環轉折點日期日分相近。由於香港、南韓的實證結果也同樣出現結構性改變的現象，說明了結構性改變是一個經濟體系發展歷程中的一個可能出現的特質。
期刊論文
1.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
2.Goldfeld, S. M.、Quandt, R. M.(1973)。A Markov model for switching regressions。Journal of Econometrics，1(1)，3-16。  new window
3.陳仕偉、林金龍(20000300)。Modelling Business Cycles in Taiwan with Time-Varying Markov-Switching Models。經濟論文，28(1)，17-42。new window  new window
4.陳仕偉、林金龍(20000900)。Identifying Turning Points and Business Cycles in Taiwan: A Multivariate Dynamic Markov-switching Factor Model Approach。經濟論文，28(3)，289-320。new window  new window
5.Hamilton, James D.(1990)。Analysis of time series subject to changes in regime。Journal of Econometrics，45(1/2)，39-70。  new window
6.Hamilton, James D.(1996)。Specification Testing in Markov-Switching Time-Series Models。Journal of Econometrics，70(1)，127-157。  new window
7.Turner, C. M.、Startz, R.、Nelso, C. R.(1989)。A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market。Journal of Financial Economics，25(1)，3-22。  new window
8.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，80，188-201。  new window
9.Chauvet, Marcelle(1998)。An econometric characterization of business cycle dynamics with factor structure and regime switching。International Economic Review，39(4)，969-996。  new window
10.Kim, M. J.、Yoo, J. S.(1995)。New index of coincident indicators: A multivariate Markov-Switching factor model approach。Journal of Monetary Economics，36，607-630。  new window
11.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60(1/2)，1-22。  new window
12.饒秀華、林修葳、黎明淵(20010900)。藉由分期MS模型分析臺灣經濟景氣狀態。經濟論文，29(3)，297-319。new window  延伸查詢new window
13.黃朝熙(19990600)。Phases and Characteristics of Taiwan Business Cycles: A Markov Switching Analysis。經濟論文叢刊，27(2)，185-213。new window  new window
14.Filardo, A. J.(1994)。Business-Cycle Phases and Their Transitional Dynamics。Journal of Business and Economic Statistics，12(3)，299-308。  new window
15.Friedman, M.(1993)。The 'Plucking Model' of Business Fluctuations Revised。Economic Inquiry，31(2)，171-177。  new window
16.Sichel, D. E.(1993)。Business Cycle Asymmetry: A Deeper Look。Economic Inquiry，31(2)，224-236。  new window
17.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
18.Hylleberg, S.、Engle, R. F.、Granger, C. W. J.、Yoo, B. S.(1990)。Seasonal integration and cointegration。Journal of Econometrics，44，215-238。  new window
19.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics，10(2)，139-162。  new window
20.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
21.Ghysels, E.、Lee, H. S.、Noh, J.(1994)。Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation。Journal of Econometrics，62，415-442。  new window
22.Ghysels, E.(1994)。On the periodic structure of the business cycle Markov-switching model。Journal of Business and Economic Statistics，12，289-298。  new window
23.Engel, C.(1994)。Can The Markov Switching Model Forecast Exchange Rate?。Journal of International Economics，36，151-165。  new window
24.Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review，80(4)，689-713。  new window
25.Blandchard, O. J.(1981)。What is left of the multiplier-accelerator?。The American Economic Review，71(2)，150-154。  new window
26.Cosslett, S. R.、Lee, L. F.(1985)。Serial correlation in latent discrete variable models。Journal of Econometrics，27，79-97。  new window
27.Kim, C.-J.(1993)。Unobserved-component time series models with Markov-switching heteroscedasticity: Changes in regime and the link between inflation rates and inflation uncertainty。Journal of Business and Economic Statistics，11，341-350。  new window
28.Kim, C.-J.(1993)。Sources of monetary growth uncertainty and economic activity: The time-varying-parameter model with heteroskedastic disturbances。The Review of Economics and Statistics，75(3)，483-492。  new window
29.Kim, M.-J.(1996)。Duration Dependence in Korean Busniess Cycle: Evidence and Its Implication Based on Gibbs Sampling Approach to Regime-Switching Model。Seoul Journal of Economics，9，123-144。  new window
30.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
31.林向愷、黃朝熙(19930600)。臺灣同時與領先經濟指標的估計與認定:1968-1991。經濟論文叢刊，21(2)，123-160。new window  延伸查詢new window
32.Lam, P.-S.(1990)。The Hamilton Model with a General Autoregressive Component: Estimation and Comparison with Other Models of Economic Time Series。Journal of Monetary Economics，26，409-432。  new window
33.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
34.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
研究報告
1.管中閔、黃裕烈、徐士勛(2000)。新一波景氣循環的認定與景氣對策信號的改進。  延伸查詢new window
2.Chen, S.-W.(2001)。Time series analysis of inflation rates of eight Pacific Basin countries。  new window
3.Peersman, G.、Smets, F.(2001)。Are the effects of monetary policy in the Euro area greater in recesions than in booms!。  new window
4.Wu, J.-L.、Chen, S. L.、Lee, H.-Y.(2001)。Arevisit to inflation uncertainty and real economic activity。  new window
學位論文
1.黃裕烈(1996)。Markov Switching Model：臺灣實質GNP的應用(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Friedman, M.(1969)。The Optimum Quantity of Money: and Other Essays。Chicago, IL：Aldine。  new window
2.Mitchell, W. A.(1927)。Business cycles: The problem and its setting。New York：NBER。  new window
3.Burns, Arthur F.、Mitchell, Wesley C.(1946)。Measuring Business Cycles。New York：National Bureau of Economic Research。  new window
4.Hamilton, J. D.(1994)。Time Series Analysis。Princeton, New Jersey：Princeton University Press。  new window
5.Smith, D. R.(2000)。Essays on persistence in the stock market and the business cycle。Queensland Ubiversity of Technology。  new window
6.管中閔、周濟(1999)。我國第八波景氣循環谷底之認定及形成原因之探索。臺北：中華經濟研究院。  延伸查詢new window
其他
1.管中閔(2001)。馬可夫轉換模型。  延伸查詢new window
圖書論文
1.Stock, J. H.、Watson, M. W.(1991)。A probability model of the coincident economic indicators。Leading Economic Indicators: New Approaches and Forecasting Records。Cambridge University Press。  new window
 
 
 
 
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