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題名：Empirical Evidence of Asymmetries in Taiwan's Business Cycles: A Simple Note
書刊名：臺灣經濟預測與政策
作者：陳仕偉 引用關係
作者(外文)：Chen, Shyh-wei
出版日期：2005
卷期：36:1
頁次：頁81-102
主題關鍵詞：Depth；Steepness；Sharpness；Business cycle；深度；斜度；尖度；景氣循環
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(0) 博士論文(0) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:6
  • 點閱點閱:13
本文採用Clements and Krolizig的檢定方法探討臺灣景氣循環不對稱性的特色，包括以下三種：深度、斜度及尖度不對稱性。我們以季節調整後的實質GDP成長率分行實證分析，實證結果發臺灣的景氣循環並不具備深度的不對稱性特色，但是支持斜度的不對稱性特色，顯示以非線性模型比線性模型更適合於描述臺灣景氣環特色。至於尖度不對稱性則是無法得到一致的結論，結果會因模型的設定不同而改變，顯示有模型相依的結果。
This paper adopts Clements and Krolzig’s parametric tests to determine the asymmetric properties of Taiwan’s business fluctuations. In particular, we investigate three types of asymmetry: deepness, steepness and sharpness. We find that although the non-deep property is overwhelmingly applicable to Taiwan’s business cycle Clement and Krolzig’s parametric tests strongly reject non-steepness. This evidence for steepness suggests that non-linear models are preferable to linear models in describing Taiwan’s business cycles. Finally, the conclusion with regards to the sharpness property is inconclusive but it must be model-dependent.
期刊論文
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2.Neftçi, Salih N.(1984)。Are Economic Time Series Asymmetric over the Business Cycle?。Journal of Political Economy，92(2)，307-328。  new window
3.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
4.Bai, J.、Ng, S.(2001)。A Consistent Test for Conditional Symmetry in Time Series Models。Journal of Econometrics，103(1)，225-258。  new window
5.Belaire-Franch, J.、Contreras, D.(2003)。An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach。Studies in Nonlinear Dynamics and Econometrics，6(4)，1-9。  new window
6.陳仕偉(20021200)。Is There a Peak-Reversion Asymmetry in Taiwan's Business Cycles?。經濟論文叢刊，30(4)，531-562。new window  new window
7.Chen, S. W.、Lin, J. L.(2000)。Identifying Turning Points and Business Cycles in Taiwan: AMultivariate Dynamic Markov-Switching Factor Model Approach。Academia Economic Papers，28(3)，289-320。  new window
8.Clements, M. P.、Krolzig, H. M.(2003)。Business Cycle Asymmetries: Characterizing and Testing Based on Markov-Switching Autoregression。Journal of Business and Economic Statistics，21(1)，196-211。  new window
9.Clements, M. P.、Krolzig, H. M.(2002)。Can Oil Shocks Explain Asymmetries in the US Business Cycle?。Empirical Economics，27(2)，185-204。  new window
10.Friedman, M.(1993)。The 'Plucking Model' of Business Fluctuations Revised。Economic Inquiry，31(2)，171-177。  new window
11.Kim, J. R.、Mittnik, S.(1996)。Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances。Studies in Nonlinear Dynamics and Econometrics，1(3)，131-143。  new window
12.Huang, Y. L.、Kuan, C. M.、Lin, K. S.(1998)。Identifying the Turning Points and Business Cycles and Forecasting Real GNP Growth Rate in Taiwan。Taiwan Economic Review，26(4)，431-457。  new window
13.McQueen, G.、Thorley, S.(1993)。Asymmetric Business Cycle Turning Points。Journal of Monetary Economics，31(3)，341-362。  new window
14.Psaradakis, Z.、Sola, M.(2003)。On Detrending and Cyclical Asymmetry。Journal of Applied Econometrics，18(3)，271-289。  new window
15.Razzak, W. A.(2001)。Business Cycle Asymmetries: International Evidence。Review of Economic Dynamics，4(1)，230-243。  new window
16.Chen, Y. T.、Chou, R. Y.、Kuan, C. M.(2000)。Testing Time Reversibility without Moment Restrictions。Journal of Econometrics，95(1)，199-218。  new window
17.Falk, B. L.(1986)。Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle。Journal of Political Economy，94(5)，1096-1109。  new window
18.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
19.Hansen, B. 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
20.Kim, C. J.、Murray, C. J.(2002)。Permanent and transitory components of recessions。Empirical Economics，27(2)，163-183。  new window
21.McConnell, Margaret M.、Perez-Quiros, Gabriel(2000)。Output Fluctuations in the United States: What Has Changed since the Early 1980's?。The American Economic Review，90(5)，1464-1476。  new window
22.Ramsey, J. B.、Rothman, P.(1996)。Time Irreversibility and Business Cycle Asymmetry。Journal of Money Credit and Banking，28(1)，1-21。  new window
23.Rothman, P.(1991)。Further evidence on the asymmetric behavior of unemployment rates over the business cycle。Journal of Macroeconomics，13，291-298。  new window
24.Sichel, D. E.(1989)。Are Business Cycles Asymmetric? A Correction。Journal of Political Economy，97(5)，1255-1260。  new window
25.Sichel, D. E.(1993)。Business Cycle Asymmetry: A Deeper Look。Economic Inquiry，31(2)，224-236。  new window
26.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
27.Verbrugge, R.(1997)。Investigating Cyclical Asymmetries。Studies in Nonlinear Dynamics and Econometrics，2(1)，15-22。  new window
28.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
圖書
1.Friedman, M.(1969)。The Optimum Quantity of Money: and Other Essays。Chicago, IL：Aldine。  new window
圖書論文
1.DeLong, J. B.、Summers, L. H.(1986)。Are Business Cycle Symmetrical?。The American Business Cycle。Chicago：National Bureau of Economic Research and University of Chicago Press。  new window
 
 
 
 
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