貿易條件與開放經濟失業率之單根－兼論台灣自然失業率之估計

Terms of Trade and the Unit Root in Taiwan's Unemployment Rates

10.29628/AEP.200503.0002

李秀雲(Hsiu-Yun Lee)

失業率 ； 自然失業率 ； 貿易條件 ； 單根 ； 磁滯 ； Natural rate ； Structural breaks ； Terms of trade ； Unemployment rate ； unit root

經濟論文

33卷1期（2005 / 03 / 01）

35 - 66

繁體中文

在勞動供需為訊息不對稱之市場均衡架構下，本文透過小型開放經濟模型來解釋台灣失業率的非定態。當出口與進口品各有不同之生產速度時，會形成貿易條件之隨機趨勢，說業因受貿易條件影響，貿易條件具有單根說可能導致失業率亦呈現非定態。本文不僅檢定出台灣失業率無法拒絕單根假說，並發現光靠結構轉變仍不足以解釋此現象。根據最大概似估計與檢定，台灣資料支持「貿易條件之隨機趨勢導致開放經濟失業率呈現非定態走勢」的假說；同時估計出台灣的自然失業率在1996年後即有上升的趨勢，而且2001年實際的失業更高於自然失業之期望值。

Results of DF-GLS unit-root test and unit-root tests with both exogenous structural breaks and endogenous ones indicate the non-stationarity of Taiwan's unemployment rates. This paper therefore uses a small-open economy model to analyze the hysteresis of Taiwan's unemployment rates. Assuming uneven technology progress between the small-open economy and the rest of the world, its terms of trade would embed a stochastic trend and its natural rate of unemployment, affected by the terms of trade, thus has a unit root. The model is estimated by using the Kalman filter and tested with the maximum likelihood ratio test. Our empirical results support the hypothesis that the unit root in unemployment rates is driven by terms of trade. Furthermore, we find that considering structural breaks only insignificantly improves the explanation of our model.

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1. (2017)。應用勞動市場流動率探討台灣自然失業率。中央銀行季刊，39(2)，1-32。