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題名：不對稱歐肯法則之臺灣實證
書刊名：臺灣經濟預測與政策
作者：萬哲鈺 引用關係／高崇瑋 引用關係
作者(外文)：Wan, Jer-yuh／Kao, Chung-wei
出版日期：2008
卷期：39:1
頁次：頁1-31
主題關鍵詞：歐肯法則；門檻；景氣循環；Okun's law；Threshold；Business cycles
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(6) 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:6
  • 共同引用共同引用:9
  • 點閱點閱:49
本文主要在研究歐肯法則(Okun's law)中的歐肯係數，是否會因經濟狀態不同而出現不對稱的非線性調整變化。不同於江靜儀(2006)以門檻值為已知的設定，文中使用Hansen(1996， 2000)門檻檢定與估計方式，對臺灣資料進行驗證與分析。實證結果指出，不論是差分模型或缺口模型，歐肯係數的確有隨景氣狀態不同而變化之非線性性質。此與江靜儀(2006)指出歐肯係數的不對稱性，只在差分模型出現有所不同。同時差分模型與BN缺口模型一致地指出，景氣收縮階段的歐肯係數，比景氣擴張階段時為大。至於HP缺口模型的結果，則與使用之門檻變數不同而有所差異。
A regime-dependent specification of Okun's law is estimated for the Taiwan economy. Contrary to the dummy specification and treating the threshold value as a known value in Chiang (2006), we employ the Hansen (1996, 2000)methodology to test whether asymmetry in Okun's law exists. The empirical results indicate Okun's coefficient is asymmetric under different phases of business cycles. From the results of the difference model and gap model where the permanent component in output and unemployment is defined in terms of Beveridge and Nelson decomposition, Okun's coefficient during contraction is larger than the one during expansion.
期刊論文
1.Virén, M.(2001)。The Okun Curve Is Non-linear。Economics Letters，70(2)，253-257。  new window
2.MacKinnon, James G.、Haug, Alfred A.、Michelis, Leo(1999)。Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration。Journal of Applied Econometrics，14(5)，563-577。  new window
3.Beveridge, Stephen、Nelson, Charles R.(1981)。A New Approach to Decomposition of Economic Time 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
4.Elliott, G.、Rothenberg, T. J.、Stock, J. H.(1996)。Efficient test for an autoregressive unit root。Econometrica，64(4)，813-836。  new window
5.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics，21(1)，520-533。  new window
6.Lee, J.(2000)。The Robustness of Okun's Law: Evidence from OECD Countries。Journal of Macroeconomics，22(2)，331-356。  new window
7.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association，93(443)，1188-1202。  new window
8.Neftçi, Salih N.(1984)。Are Economic Time Series Asymmetric over the Business Cycle?。Journal of Political Economy，92(2)，307-328。  new window
9.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics，11(6)，601-618。  new window
10.Rothman, P.(1991)。Further evidence on the asymmetric behavior of unemployment rates over the business cycle。Journal of Macroeconomics，13，291-298。  new window
11.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics，19(2)，166-176。  new window
12.江靜儀(20060900)。歐肯法則（Okun's Law）--臺灣實證研究。經濟論文，34(3)，355-389。new window  延伸查詢new window
13.Lee, J.、Strazicich, M. C.(2003)。Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks。The Review of Economics and Statistics，85(4)，1082-1089。  new window
14.Gregory, A. W.、Hansen, B. E.(1996)。Residual-based tests for cointegration in models with regime shifts。Journal of Econometrics，70(1)，99-126。  new window
15.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society，64(2)，413-430。  new window
16.Hansen, B. E.(2000)。Sample splitting and threshold estimation。Econometrica，68(3)，575-604。  new window
17.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics，16(3)，304-311。  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
19.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
20.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
21.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 and Economic Statistics，10(3)，251-270。  new window
22.Attfield, Clifford L. F.、Silverstone, Brian(1998)。Okun's Law, Cointegration and Gap Variables。Journal of Macroeconomics，20(3)，625-637。  new window
23.Prachowny, Martin F. J.、Prachowny, M. F. J.(1993)。Okun's Law: Theoretical Foundations and Revised Estimates。The Review of Economics and Statistics，75(2)，331-336。  new window
24.Weber, Christian E.(1995)。Cyclical Output, Cyclical Unemployment, and Okun's Coefficient: A New Approach。Journal of Applied Econometrics，10(4)，433-445。  new window
25.Gordon, R. J.(1984)。Unemployment and Potential Output in the 1980s。Brooking Papers on Economic Activity，2，537-564。  new window
26.Breitung, J.(2002)。Nonparametric Tests for Unit Roots and Cointegration。Journal of Econometrics，108(2)，343-363。  new window
27.Bierens, H. J.、Guo, S.(1993)。Testing Stationarity and Trend Stationarity against the Unit Root Hypothesis。Econometric Reviews，12(1)，1-32。  new window
28.Kaufman, R. T.(1988)。An International Comparison of Okun's Law。Journal of Comparative Economics，12(2)，182-203。  new window
29.Mayes, D.、Virén, M.(2002)。Asymmetry and the Problem of Aggregation in the Euro Area。Empirica，29(1)，47-73。  new window
30.Silvapulle, P.、Moosa, I. A.、Silvapulle, M. J.(2004)。Asymmetry in Okun's Law。Canadian Journal of Economics，37(2)，353-374。  new window
31.Harris, R.、Silverstone, B.(2001)。Testing for Asymmetry in Okun's Law: A Cross-country Comparison。Economics Bulletin，5(2)，1-13。  new window
32.Cuaresma, J. C.(2003)。Okun's Law Revisited。Oxford Bulletin of Economics and Statistics，65(4)，439-451。  new window
33.Palley, T. I.(1993)。Okun's Law and the Asymmetric and the Changing Cyclical Behaviour of the USA Economy。International Review of Applied Economics，7(2)，144-162。  new window
34.Bierens, H. J.(1997)。Nonparametric Cointegration Analysis。Journal of Econometrics，77(2)，379-404。  new window
35.Brunner, A. D.(1997)。On the Dynamic Properties of Asymmetric Models of Real GNP。The Review of Economics and Statistics，79(2)，321-352。  new window
36.Silvapulle, M. J.(1992)。Robust Tests of Inequality Constraints and One-sided Hypotheses in the Linear Model。Biometrika，79(3)，621-630。  new window
37.Moosa, I. A.(1999)。Cyclical Output, Cyclical Unemployment, and Okun's Coefficient: A Structural Time Series Approach。International Review of Economics and Finance，8(3)，293-304。  new window
38.Silvapulle, M. J.(1992)。Robust Wald-type Tests of One-sided Hypotheses in the Linear Model。Journal of the American Statistical Association，87(417)，156-161。  new window
會議論文
1.Okun, A. M.(1962)。Potential GNP: its measurement and significance。The Business and Economic Statistics Section of the American Statistical Association。American Statistical Association。98-104。  new window
研究報告
1.Dupasquier, C.、Ricketts, N.(1998)。Non-linearities in the Output-inflation Relationship: Some Empirical Results for Canada。0。  new window
學位論文
1.Courtney, H. G.(1991)。The Beveridge Curve and Okun's Law: A Re-examination of Fundamental Relationships in the United States，Cambridge, MA。  new window
圖書
1.Harvey, A. C.(1989)。Forecasting, Structural Time Series Models and the Kalman Filter。Cambridge：Cambridge University Press。  new window
2.Enders, Walter(2004)。Applied Econometric Time Series。New York：John Wiley & Sons。  new window
3.Heij, C.、De Boer, P.、Franses, P. H.、Kloek, T.、Van Dijk, H. K.(2004)。Econometric Methods with Applications in Business and Economics。Econometric Methods with Applications in Business and Economics。New York, NY。  new window
 
 
 
 
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