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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 引用關係陳馨蕙
作者(外文):Lin, Jin-lungChen, 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 GDPOutput gapNAIRUSeasonal unit rootOkun's lawPhillips curve
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱: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。
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.
期刊論文
1.Apel, M.、Jansson, P.(1999)。System Estimates of Potential Output and NAIRU。Empirical Economics,24(3),373-388。  new window
2.Apel, M.、Jansson, P.(1999)。A Theory-Consistent Approach for Estimating Potential Output and the NAIRU。Economic Letters,64(3),271-275。  new window
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。  new window
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。  new window
5.Blanchard, O. J.、Quah, D.(1989)。The Dynamic Effects of Aggregate Demand and Aggregate Supply。The American Economic Review,79(4),655-673。  new window
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。  new window
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。  new window
8.Gerlach, S.、Yiu, M. S.(2004)。Estimating Output Gaps in Asia: A Cross-Country Study。Journal of Monetary Economics,18(1),115-136。  new window
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。  new window
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。  new window
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。  new window
12.Kuttner, K. N.(1994)。Estimating Potential Output as a Latent Variable。Journal of Business and Economic Statistics,12(3),361-368。  new window
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。  new window
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。  new window
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。  new window
16.Laubach, Thomas(2001)。Measuring the NAIRU: Evidence from Seven Economies。Review of Economics and Statistics,83(2),218-231。  new window
17.Watson, Mark W.(1986)。Univariate Detrending Methods with Stochastic Trends。Journal of Monetary Economics,18(1),49-75。  new window
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。  new window
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。  new window
2.Cross, R.、Darby, J.、Ireland, J.(1997)。Uncertainties Surrounding Natural Rate Estimates in the G7。  new window
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。  new window
4.Diewert, W. E.(1996)。Seasonal Commodities, High Inflation and Index Number Theory。  new window
5.Fabiani, S.、Mestre, R.(2001)。A System Approach for Measuring the Euro Area NAIRU。  new window
6.Fok, D.、Franses, P. H.、Paap, R.(2005)。Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results。  new window
7.Hjelm, G.、Jonsson, K.(2010)。In Search of a Method for Measuring the Output Gap of the Swedish Economy。  new window
8.Lin, T. F.(2010)。The Effect of Global Financial Crisis on Taiwanese Potential Output。  new window
9.Matas-Mir, A.、Osborn, D. R.(2004)。Seasonal Adjustment and the Detection of Business Cycle Phases。  new window
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。  new window
11.Staiger, D.、Stock, J. H.、Watson, M. W.(1996)。How Precise are Estimates of the Natural Rate of Unemployment?。  new window
12.Zivot, E.、Wang, J.、Koopman, S. J.(2003)。State Space Modeling in Macroeconomics and Finance Using SsfPack for S+FinMetrics。  new window
圖書
1.Durbin, J.、Koopman, S. J.(2001)。Time Series Analysis by State Space Methods。Oxford:Oxford University Press。  new window
2.Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。  new window
 
 
 
 
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