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引文資料
題名:
Estimating Potential Output for Taiwan with Seasonally Unadjusted Data
書刊名:
臺灣經濟預測與政策
作者:
林金龍
/
陳馨蕙
作者(外文):
Lin, Jin-lung
/
Chen, Shin-hui
出版日期:
2013
卷期:
43:2
頁次:
頁23-49
主題關鍵詞:
潛在產出
;
產出缺口
;
非加速通貨膨脹失業率
;
季節單根
;
歐肯法則
;
菲力浦曲線
;
Potential GDP
;
Output gap
;
NAIRU
;
Seasonal unit root
;
Okun's law
;
Phillips curve
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
3
共同引用:0
點閱:23
有效評估潛在產出與產出缺口一直是執行貨幣與財政政策的重要環節。過去文獻中用以估計潛在產出的方法大多假設在潛在產出與非加速通貨膨脹失業率(NAIRU)中存在一般單根(regular unit root)。然而,這樣的假並不適用於估計臺灣未經季節調整的潛在產出。有鑑於此,本文以Watson's(1986) decomposition與Apel and Jansson's(1999a)systemapproach為例,以季節單根取代一般單根,從而考量更多的季節波動於模型中。同時,為了驗證模型的可靠性(robustness)以及更為有效評估臺灣的潛在產出與NAIRU,我們亦嘗試對NAIRU與失業缺口(unemployment gap)作不同的模型設定。實證結果顯示在一般單根假設下,亦即模型未考量季節波動時,資料本身的季節波動嚴重干擾估計結果且無法提供有用的訊息;反之,當以季節單根取代一般單根後確實更能有效評估臺灣潛在產出與產出缺口,並提供更為攸關的訊息供臺灣政府執行政策之參考。
以文找文
Measuring potential output and the output gap have long been an important task for conducting monetary and fiscal policies. There exist several methods for this purpose and a partial list includes the univariate detrending method, the multivariate filtering approach, and the structural VAR system approach. One common feature of all these methods is assuming the existence of a unit root for the unobserved potential GDP. While this assumption is appropriate for the cases of US and most European countries where macroeconomic data are seasonally adjusted, it does not fit the Taiwanese economy. Almost all of Taiwan's macroeconomic data are seasonally unadjusted, and the seasonal unit root as well as richer dynamics have to be embedded in the model. In this paper, we analyze the impact of seasonality on various potential output measures. To check robustness and investigate how sensitive the results are to further changes in the specification of the NAIRU and the unemployment gap, distinct classes of NAIRU and unemployment gap concept are implemented. Empirical analysis confirms the importance of seasonal behavior. Switching from a regular unit root to a seasonal unit root improves the efficiency of measuring potential GDP and output gap for Taiwan and provides more relevant information in conducting monetary and fiscal policies.
以文找文
期刊論文
1.
Apel, M.、Jansson, P.(1999)。System Estimates of Potential Output and NAIRU。Empirical Economics,24(3),373-388。
2.
Apel, M.、Jansson, P.(1999)。A Theory-Consistent Approach for Estimating Potential Output and the NAIRU。Economic Letters,64(3),271-275。
3.
Basistha, A.、Startz, R.(2008)。Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Cycle Approach。The Review of Economics and Statistics,90(4),805-811。
4.
Beveridge, S.、Nelson, C. R.(1981)。A New Approach to Decomposition of Economic Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle。Journal of Monetary Economics,7(2),151-174。
5.
Blanchard, O. J.、Quah, D.(1989)。The Dynamic Effects of Aggregate Demand and Aggregate Supply。The American Economic Review,79(4),655-673。
6.
Christiano, L. J.、Todd, R. M.(2002)。The Conventional Treatment of Seasonality in Business Cycle Analysis: Does It Create Distortions?。Journal of Monetary Economics,49(2),335-364。
7.
Cleveland, W. P.、Tiao, G. C.(1976)。Decomposition of Seasonal Time Series: A Model for the Census X-11 Program。Journal of the American Statistical Association,71(355),581-587。
8.
Gerlach, S.、Yiu, M. S.(2004)。Estimating Output Gaps in Asia: A Cross-Country Study。Journal of Monetary Economics,18(1),115-136。
9.
Ghysels, E.、Granger, C. W. J.、Siklos, P. L.(1996)。Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?。Journal of Business and Economic Statistics,14(3),374-386。
10.
Koopman, S. J.、Ooms, M.(2006)。Forecasting Daily Time Series Using Periodic Unobserved Components Time Series Models。Computational Statistics and Data Analysis,51(2),885-903。
11.
Koopman, S. J.、Shephard, N.、Doornik, J. A.(1999)。Statistical Algorithms for Models in State Space Using SsfPack 2.2。Econometrics Journal,2(1),107-160。
12.
Kuttner, K. N.(1994)。Estimating Potential Output as a Latent Variable。Journal of Business and Economic Statistics,12(3),361-368。
13.
Matas-Mir, A.、Osborn, D. R.、Lombardi, M. J.(2008)。The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes。Journal of Applied Econometrics,23(2),257-278。
14.
Stephanides, G.(2006)。Measuring the NAIRU: Evidence from the European Union, USA and Japan。International Research Journal of Finance and Economics,1(3),29-35。
15.
Wu, C. S.、Lin, J. L.(2002)。Estimating Potential GDP for Taiwan and Its Application to Policies。Industry of Free China,92(10),1-34。
16.
Laubach, Thomas(2001)。Measuring the NAIRU: Evidence from Seven Economies。Review of Economics and Statistics,83(2),218-231。
17.
Watson, Mark W.(1986)。Univariate Detrending Methods with Stochastic Trends。Journal of Monetary Economics,18(1),49-75。
18.
Hodrick, Robert J.、Prescott, Edward C.(1997)。Postwar U.S. Business Cycles: An Empirical Investigation。Journal of Money, Credit and Banking,29(1),1-16。
研究報告
1.
Cerra, V.、Saxena, S. C.(2000)。Alternative Methods of Estimating Potential Output and the Output Gap: An Application to Sweden。
2.
Cross, R.、Darby, J.、Ireland, J.(1997)。Uncertainties Surrounding Natural Rate Estimates in the G7。
3.
Denis, C.、Mcmorrow, K.、Roger, W.(2002)。Production Function Approach to Calculating Potential Growth and Output Gaps Estimates for the EU Member States and the US。
4.
Diewert, W. E.(1996)。Seasonal Commodities, High Inflation and Index Number Theory。
5.
Fabiani, S.、Mestre, R.(2001)。A System Approach for Measuring the Euro Area NAIRU。
6.
Fok, D.、Franses, P. H.、Paap, R.(2005)。Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results。
7.
Hjelm, G.、Jonsson, K.(2010)。In Search of a Method for Measuring the Output Gap of the Swedish Economy。
8.
Lin, T. F.(2010)。The Effect of Global Financial Crisis on Taiwanese Potential Output。
9.
Matas-Mir, A.、Osborn, D. R.(2004)。Seasonal Adjustment and the Detection of Business Cycle Phases。
10.
Richardson, P.、Boone, L.、Giorno, C.、Meacci, M.、Rae, D.、Turner, D.(2000)。The Concept, Policy Use and Measurement of Structural Unemployment: Estimating a Time Varying NAIRU across 21 OECD Countries。
11.
Staiger, D.、Stock, J. H.、Watson, M. W.(1996)。How Precise are Estimates of the Natural Rate of Unemployment?。
12.
Zivot, E.、Wang, J.、Koopman, S. J.(2003)。State Space Modeling in Macroeconomics and Finance Using SsfPack for S+FinMetrics。
圖書
1.
Durbin, J.、Koopman, S. J.(2001)。Time Series Analysis by State Space Methods。Oxford:Oxford University Press。
2.
Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。
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