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題名：景氣波動變異對景氣轉折點認定之影響：跨國的實證研究
書刊名：人文及社會科學集刊
作者：陳仕偉 引用關係
作者(外文)：Chen, Shyh-wei
出版日期：2006
卷期：18:1
頁次：頁37-76
主題關鍵詞：景氣波動變異；非線性；共同波動；馬可夫轉換模型；Business cycle volatility；Nonlinear；Co-movement；Markov switching model
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(3) 博士論文(2) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:43
  • 點閱點閱:53
文獻上有關景氣循環的非線性及共同波動特徵的探討非常多，但有關於景氣波動變異行為的研究則不多，本文以五個先進國家及臺灣為實證對象，進行景氣波動變異的跨國研究。我們發現各國的景氣波動的變異都有改變的現象，而且美國、加拿大、英國、義大利、日本及臺灣等國所得成長率的變異都有縮小趨勢。實證模型若不考慮這個特點，在認定各國的景氣轉折點的過程中將產生偏誤的狀況，其中以日本及臺灣最為嚴重。如何在總體經濟模型內納入景氣波動變異改變的特色，是未來總體經濟學者在建構理論模型時可以思考的一個方向。為了能夠同時刻劃非線性、共同波動行為及景氣波動的變異行為等三個特徵，我們進一步修正實證模型，並以臺灣為例進行探討。
Despite the abundance of studies on the feature of asymmetry and co-movement of the business cycle in the extant literature, rarely had this issue been investigated for the volatility behavior of the business cycle. This paper fills this gap and we investigate the volatility of the rates of output growth for the US, Canada, the UK, Italy, Japan and Taiwan. The empirical results show that there have been structural changes in the volatility of output growth for these countries. While the Markov Switching heteroscedasticity model can capture this feature very well for all six countries, the modified Markov Switching heteroscedasticity model introduced here not only performs extremely well in modeling the volatility behavior of the growth rate of real GDP, but, at the same time, also successfully identifies business cycle peak and through dates.
期刊論文
1.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
2.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
3.Albert, J.、Chib, S.(1993)。Bayesian Analysis via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts。Journal of Business and Economic Statistics，11，1-5。  new window
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5.Chen, S. W.(2001)。A Note on Taiwan’s Business Chronologies in Terms of the Markov-Switching Factor Model。Taiwan Economic Review，29，153-176。  new window
6.Durland, J. M.、McCurdy, T. H.(1994)。Duration-dependent Transitions in a Markov Model of U.S. GNP Growth。Journal of Business and Economic Statistics，12，279-288。  new window
7.Artis, M. J.、Kontolemis, Z. G.、Osborn, D. R.(1997)。Business cycles for G7 and European countries。Journal of Business，70(12)，249-279。  new window
8.Bhar, R.、Hamori, S.(2003)。Alternative Characterization of the Volatility in the Growth Rate of Real GDP。Japan and the World Economy，15，223-231。  new window
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10.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicator。The Journal of Business，62，369-391。  new window
11.Filardo, A. J.(1994)。Business-cycle phases and their transitional dynamics。Journal of Business and Economic Statistics，12，299-308。  new window
12.Friedman, M.(1993)。The 'Plucking Model of Business Fluctuations Revised。Economic Inquiry，31(2)，171-177。  new window
13.Ghysels, E.(1994)。On the Periodic Structure of the Business Cycle。Journal of Business & Economic Statistics，12(3)，289-298。  new window
14.Goodwin, T. H.(1993)。Business-cycle Analysis with a Markov-switching Model。Journal of Business & Economic Statistics，11，331-339。  new window
15.Hamilton, J. D.、Perez-Quiros, G.(1996)。What Do Leading Indicators Lead?。The Journal of Business，69，27-49。  new window
16.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(2)，188-201。  new window
17.Kim, M. J.、Yoo, Ji-Sung(1995)。New Index of Coincident indicators: A Multivariate Markov Switching Factor Model Approach。Journal of Monetary Economics，36，607-630。  new window
18.Lahiri, K.、Wang, Jiazhuo G.(1994)。Predicting Cyclical Turning Points with Leading Index in A Markov Switching Model。Journal of Forecasting，13，245-263。  new window
19.Layton, A. P.(1998)。A Further Test of the Influence of Leading Indicators on the Probability of US Business Cycle Phase Shifts。International Journal of Forecasting，14，63-70。  new window
20.McConnel, M. M.、Mosser, P. C.、Perez-Quiros, G.(1999)。A Decomposition of the Increased Stability of GDP Growth。Current Issues in Economics and Finance，5，1-6。  new window
21.Mills, T. C.、Wang, P.(2002)。Plucking Models of Business Cycle Fluctuations: Evidence from the G-7 Countries。Empirical Economics，27，255-276。  new window
22.徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環：馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊，13(5)，515-540。new window  延伸查詢new window
23.McConnel, M. M.、Perez-Quiros, G.(2000)。Output fluctuations in the United States: What has changed since the early 1980's?。American Economic Review，90，1464-1476。  new window
24.Teräsvirta, T.(1994)。Specification Estimation and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89，208-218。  new window
25.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
26.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。  new window
27.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
28.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics，8(2)，225-234。  new window
29.Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society，57(6)，1361-1401。  new window
30.Diebold, F. X.、Rudebusch, G. D.(1996)。Measuring Business Cycles: A Modern Perspective。The Review of Economics and Statistics，78，67-77。  new window
31.Chauvet, M.(1998)。An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching。International Economic Review，39，969-996。  new window
32.Diebold, F. X.(1986)。Modelling the Persistence of Conditional Variance: A Comment。Econometric Reviews，5，51-56。  new window
33.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
34.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。  new window
35.Chauvet, M.、Piger, J. M.(2003)。Identifying Business Cycle Turning Points in Real Time。Federal Reserve Bank of St. Louis Review，85，47-61。  new window
36.Fountas, S.、Karanasos, M.、Kim, J.(2002)。Inflation and Output Growth Uncertainty and Their Relationship with Inflation and Output Growth。Economics Letters，75，293-301。  new window
37.Granger, G. W. J.(1993)。Strategies for Modelling Nonlinear Time-series Relationships。The Economic Record，69，233-238。  new window
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研究報告
1.Arias, A.、Hansen, G. D.、Ohanian, L. E.(2004)。Why Have Business Cycle Fluctuations Become Less Volatile?。  new window
2.Fritsche, U.、Kouzine, V.(2002)。Delcine Output Volatility and Monetary Policy in Germany。  new window
圖書
1.Tong, H.(1990)。Non-Linear Time Series: A Dynamic System Approach。Oxford：Oxford University Press。  new window
2.Friedman, M.(1969)。The Optimum Quantity of Money: and Other Essays。Chicago, IL：Aldine。  new window
3.Kim, C. J.、Nelson, C. R.(1999)。State-space models with regime switching: classical and gibbs sampling approaches with applications。MIT Press。  new window
4.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
5.Farmer, R. E. A.(2002)。Macroeconomics。South-Western。  new window
 
 
 
 
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