大緩和：五個亞洲新興國家證據__臺灣人文及社會科學引文索引資料庫

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

來源文獻資料
外文摘要
引文資料

題名：	大緩和：五個亞洲新興國家證據
書刊名：	經濟與管理論叢
作者：	方文碩／曾仁清／鄭淑青
作者(外文)：	Fang, WenShow／Tseng, Jen-ching／Cheng, Shu-ching
出版日期：	2011
卷期：	7:2
頁次：	頁227-256
主題關鍵詞：	實質GDP成長與波動；大緩和；特異值；平均值與變異數結構改變；ARCH-M；Real GDP growth and volatility；The great moderation；Outliers；Structural changes in mean and variance
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:11 點閱:21

　 Most of the literature that investigates the Great Moderation of real gross domestic product (GDP) growth focuses on OECD developed countries, and few studies discuss emerging economies in Asia. By employing quarterly real GDP growth rates over the period 1960-2009 for China, Hong Kong, Korea, Singapore, and Taiwan, we find evidence of a structural change in GDP growth volatility for each of the five countries. The break date, however, differs among the countries. The Great Moderation emerges in China, Hong Kong, Korea, and Taiwan, while the growth volatility increases in Singapore. Using the autoregressive conditional heteroskedasticity in the mean (ARCH-M) model, we find that the volatility of output growth negatively affects output growth in China, Hong Kong and Singapore, and is only significant in Singapore. The volatility positively affects the growth rate in Korea and Taiwan, and is only significant in Taiwan. The policy implications are discussed. Finally, Taiwan experiences different relationships between economic growth volatility and growth in different volatility regimes.

以文找文

期刊論文
1.	Aghion, P.、Angeletos, G. M.、Banerjee, A.、Manova, K.(2010)。Volatility and Growth: Credit Constraints and the Composition of Investment。Journal of Monetary Economics，57，246-265。
2.	Ahmed, S.、Levin, A.、Wilson, B. A.(2004)。Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?。Review of Economics and Statistics，86，824-832。
3.	Andres, J.、Domenech, R.、Fatas, A.(2008)。The Stabilizing Role of Government Size。Journal of Economic Dynamics & Control，32，571-593。
4.	Bali, R.、Guirguis, H.(2007)。Extreme Observations and Non-Normality in ARCH and GARCH。International Review of Economics & Finance，16，332-346。
5.	Bean, C. R.(1990)。Endogenous Growth and the Procyclical Behaviour of Productivity。European Economic Review，34，355-394。
6.	Blackburn, K.(1999)。Can Stabilisation Policy Reduce Long-Run Growth?。Economic Journal，109，67-77。
7.	Bradley, M. D.、Jansen, D. W.(1995)。Unit Roots and Infrequent Large Shocks: New International Evidence on Output Growth。Journal of Money, Credit, and Banking，27，876-893。
8.	Caporale, T.、McKieman, B.(1996)。The Relationship between Output Variability and Growth: Evidence from Post War UK Data。Scottish Journal of Political Economy，43，229-236。
9.	Caporale, T.、McKieman, B.(1998)。The Fischer Black Hypothesis: Some Time-Series Evidence。Southern Economic Journal，64，765-771。
10.	Camero, M. A.、Pena, D.、Ruiz, E.(2006)。Effects of Outliers on the Identification and Estimation of GARCH Models。Journal of Time Series Analysis，28，471-497。
11.	Charles, A.(2008)。Forecasting Volatility with Outliers in GARCH Models。Journal of Forecasting，27，551-565。
12.	Charles, A.、Dame, O.(2005)。Outliers and GARCH Models in Financial Data。Economics Letters，86，347-352。
13.	Dame, O.(2009)。The Uncertain Unit Root in Real GNP: A Re-Examination。Journal of Macroeconomics，31，153-166。
14.	Dame, O.、Diebolt, C.(2004)。Unit Roots and Infrequent Large Shocks: New International Evidence on Output。Journal of Monetary Economics，51，1449-1465。
15.	Debrun, X.、Pisani-Ferry, J.、Sapir, A.(2008)。Government Size and Output Volatility: Should We Forsake Automatic Stabilization?。IMF Working Paper，08/122。
16.	Eggers, A.、Ioannides, Y. M.(2006)。The Role of Output Composition in the Stabilization of U.S. Output Growth。Journal of Macroeconomics，28，585-595。
17.	Fagiolo, G.、Napoletano, M.、Roventini, A.(2008)。Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries。Journal of Applied Econometrics，23，639-669。
18.	Fang, W.、Miller, S. M.(2008)。The Great Moderation and the Relationship between Output Growth and Its Volatility。Southern Economic Journal，74，819-838。
19.	Fang, W.、Miller, S. M.(2009)。Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited。Japan and the World Economy，21，312-324。
20.	Fang, W.、Miller, S. M.、Lee, C.(2008)。Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models。Scottish Journal of Political Economy，55，509-541。
21.	Fatas, A.、Mihov, I.(2001)。Government Size and Automatic Stabilizers: International and Intranational Evidence。Journal of International Economics，55，3-28。
22.	Fountas, S.、Karanasos, M.(2006)。The Relationship between Economic Growth and Real Uncertainty in the G3。Economic Modelling，23，638-647。
23.	Franses, P. H.、Ghijsels, H.(1999)。Additive Outliers, GARCH and Forecasting Volatility。International Journal of Forecastings，15，1-9。
24.	Franses, P. H.、Haldrup, N.(1994)。The Effects of Additive Outliers on Tests for Unit Roots and Cointegration。Journal of Business and Economic Statistics，12，471-478。
25.	Gali, J.(1994)。Government Size and Macroeconomic Stability。European Economic Review，38，117-132。
26.	Grier, K. B.、Perry, M. J.(2000)。The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence。Journal of Applied Econometrics，15，45-58。
27.	Henry, O. T.、Olekalns, N.(2002)。The Effect of Recessions on the Relationship between Output Variability and Growth。Southern Economic Journal，68，683-692。
28.	Herrera, A. M.、Pesavento, E.(2005)。The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment。Journal of Business and Economic Statistics，23，462-472。
29.	Kahrl, F.、Roland-Holst, D.(2008)。Energy and Exports in China。China Economic Review，19，649-658。
30.	Lamoureux, C. G.、Lastrapes, W. D.(1990)。Persistence in Variance, Structural Economics, Change, and the GARCH Model。Journal of Business and Economic Statistics，8，225-234。
31.	Li, K.、Kwok, M.(2009)。Output Volatility of Five Crisis-Affected East Asia Economies。Japan and the World Economy，21，172-182。
32.	Macri, J.、Sinha, D.(2000)。Output Variability and Economic Growth: The Case of Australia。Journal of Economics and Finance，24，275-282。
33.	Martin, P.、Rogers, C. A.(1997)。Stabilization Policy, Leaming-by-Doing, and Economic Growth。Oxford Economic Papers，49，152-166。
34.	Martin, P.、Rogers, C. A.(2000)。Long-Term Growth and Short-Term Economic Instability。European Economic Review，44，359-381。
35.	Mills, T. C.、Wang, P.(2003)。Have Output Growth Rates Stabilised? Evidence from the G-7 Economies。Scottish Journal of Political Economy，50，232-246。
36.	Mishra, T.(2009)。Comment on "The Uncertain Unit Root in Real GNP: A Re-Examination。Journal of Macroecnomics，31，167-172。
37.	Nakov, A.、Pescatori, A.(2010)。Oil and the Great Moderation。Economic Journal，120，131-156。
38.	Saint-Paul, G.(1993)。Productivity Growth and the Structure of the Business Cycle。European Economic Review，37，861-890。
39.	Smith, P.、Summers, P. M.(2009)。Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles。The B.E. Journal of Macroeconomics，9(36)。
40.	Speight, A. E. H.(1999)。UK Output Variability and Growth: Some Further Evidence。Scottish Journal of Political Economy，46，175-184。
41.	Tolvi, J.(2001)。Outliers in Eleven Finnish Macroeconomic Time Series。Finnish Economic Papers，14，14-32。
42.	van Dijk, D.、Franses, P. H.、Lucas, A.(1999)。Testing for ARCH in the Presence of Additive Outliers。Journal of Applied Econometrics，14(5)，539-562。
43.	Verhoeven, P.、McAleer, M.(2004)。Fat Tails and Asymmetry in Financial Volatility Models。Mathematics and Computers in Simulation，64，351-361。
44.	Rodrik, Dani(1998)。Why Do More Open Economies Have Bigger Governments?。The Journal of Political Economy，106(5)，997-1032。
45.	Andrews, Donald W. K.、Ploberger, Werner(1994)。Optimal Tests when a Nuisance Parameter Is Present Only under the Alternative。Econometrica，62(6)，1383-1414。
46.	徐之強(20010900)。多次結構變動下趨勢穩定與差分穩定之認定--臺灣總體資料實證研究。經濟論文，29(3)，321-339。延伸查詢
47.	Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。
48.	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。
49.	Bernanke, B. S.(1983)。Irreversibility, Uncertainty, and Cyclical Investment。The Quarterly Journal of Economics，98(1)，85-106。
50.	Diebold, F. X.(1986)。Comments on Modeling the Persistence of Conditional Variance: A comment。Econometric Reviews，5，51-56。
51.	Barro, Robert J.、Sala-i-Martin, Xavier(1992)。Convergence。Journal of Political Economy，100(2)，223-251。
52.	Bai, Jushan、Perron, Pierre(2003)。Computation and Analysis of Multiple Structural Change Models。Journal of Applied Econometrics，18(1)，1-22。
53.	Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。
54.	Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。
55.	Andrews, Donald W. K.(1993)。Tests for parameter instability and structural change with unknown change point。Econometrica，61(4)，821-856。
56.	Lucas, R. E.(1972)。Expectations and the Neutrality of Money。Journal of Economic Theory，4(2)，103-124。
57.	Simon, John、Blanchard, Olivier(2001)。The Long and Large Decline in U.S. Output Volatility。Brookings Papers on Economic Activity，32(1)，135-174。
58.	Kim, Chang-Jin、Nelson, Charles. R.(1999)。Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-switching Model of the Business Cycle。The Review of Economics and Statistics，81(4)，608-616。
59.	Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business & Economic Statistics，10(3)，251-270。
60.	Chow, Gregory C.(1960)。Tests of Equality Between Sets of Coefficients in Two Linear Regressions。Econometrica，28(3)，591-605。
61.	Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica，57(6)，1361-1401。
62.	Perron, Pierre。Further Evidence on Breaking Trend Functions in Macroeconomic Variables。Journal of Econometrics，80(2)，355-385。
63.	Stock, James H.、Watson, Mark W.(2005)。Understanding Changes in International Business Cycle Dynamics。Journal of European Economic Association，3(5)，968-1006。
64.	Bai, Jushan、Perron, Pierre。Estimating and Testing Linear Models with Multiple Structural Changes。Econometrica，66(1)，47-78。
65.	Friedman, Milton(1968)。The Role of Monetary Policy。The American Economic Review，18(1)，1-17。
66.	Inclán C.、Tiao G. C.(1994)。Use of cumulative sums of squares for retrospective detection of changes of variance。Journal of the American Statistical Association，89(427)，913-923。
67.	Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model。Econometrica，55(2)，391-407。
68.	Balke, N.、Fomby, T.(1994)。Large Shocks Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series。Journal of Applied Econometrics，9，181-200。
69.	Pindyck, R.(1991)。Irreversibility, Uncertainty, and Investment。Journal of Economic Literature，29(3)，1110-1148。

會議論文
1.	Fang, W.、Miller, S. M.、Lee, C.(2009)。Inflation Targeting Evaluation: Short-Run Costs and Long-Run Irrelevance。Canada：The Sheraton Vancouver Wall Centre。
2.	Watson, Mark W.、Stock, James H.(2003)。Has the Business Cycle Changed and Why?。0：National Bureau of Economic Research。9-56。

研究報告
1.	行政院主計處(2009)。國民經濟動向統計季報。台北：行政院。延伸查詢
2.	National Bureau of Statistics of China (NBSC)(2008)。China Statistical Yearbook。Beijing:：China Statistics Press。

圖書
1.	Black, F.(1987)。Business Cycles and Equilibrium。New York：Basil Blackwell。

其他
1.	Bernanke, Ben S.(2004)。The Great Moderation，Washington, DC。

圖書論文
1.	Cecchetti, S. G.、Flores-Lagunes, A.、Krause, S.(2005)。Assessing the Sources of Changes in the Volatility of Real Growth。The Changing Nature of the Business Cycle, Reserve Bank of Australia。
2.	Kent, C.、Smith, K.、Holloway, J.(2005)。Declining Output Volatility: What Role for Structural Change?。The Changing Nature of the Business Cycle, Reserve Bank of Australia。
3.	Bai, J.、Perron, P.(2003)。Multiple Structural Change Models: A Simulation Analysis。Econometric Essays in Honor of Peter Phillips。Cambridge：Cambridge University Press。

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

1.	臺灣景氣基準循環指數之檢討與改進
2.	人口年齡結構、所得分配與產業結構轉型對臺灣民間消費與總體產出之影響
3.	臺灣地區汽車持有預測模式之建構與評估：ARMAX之應用
4.	電力消費與經濟成長之因果關係--臺灣實證研究
5.	S&P500指數與原油價格之動態結構性變化
6.	景氣基準循環指數之檢討與修訂
7.	我國與APEC國家間進出口貿易之時間趨勢行為探討
8.	累加避險量變動率對認購權證報酬率的影響
9.	多次結構變動下趨勢穩定與差分穩定之認定--臺灣總體資料實證研究

1.	台灣地區汽車持有需求預測之研究
2.	股價報酬(波動)與產出成長(波動)之間關係的探討
3.	多次發行對標的股票和認購權證之影響

無相關書籍

無相關著作

1.	序二：締造下一個百年華文文學盛世
2.	中華民國發展史：經濟發展
3.	祁克果論信仰之於人的存在--《恐懼與顫慄》的詮釋
4.	小城小報小小說--論小小說的文化因子
5.	宗教的確信與寬容
6.	[多元、分歧與認同：神學與文化的探索]導言
7.	文學藝術與創意研發
8.	佛教數位典藏與GIS技術應用經驗分享
9.	大眾傳播理論與實證
10.	另類教育的理念溯源及其與當代新興教育思潮的邂逅：兼論對臺灣中小學體制化教育現場的反思
11.	玄學與理學的學術思想理路研究
12.	私人化的國家政策 : 蔣中正、查理柯克、與1949-1951年間的臺美軍事與安全關係
13.	非政府組織 : 建構臺灣公民社會的礎石
14.	百年來天文學的發展
15.	“Classic = Modern”.Godard’s Bande à part, McTiernan’s The Thomas Crown Affair and the Question of Cinematic Modernity

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫