台灣實質國民生產毛額年成長率的狀態變化意涵

On the Regime-Switching Behavior of Taiwan Real GNP Growth Rate

10.29628/AEP.200603.0002

陳宜廷(Yi-Ting Chen)；謝志昇(Chih-Sheng Hsieh)

馬可夫轉換自我迥歸模型 ； 長短期狀態變換 ； 景氣循環 ； 模型區別檢定 ； Markov Switching autoregressive model ； Long-term and short-term regime-switching ； Business cycles ； Specification test

經濟論文

34卷1期（2006 / 03 / 01）

41 - 91

繁體中文

過去的文獻經常採用只允許位置參數變化的MSAR模型，直接以估計結果解釋景氣循環，但普遍發現此類模型對台灣曾經發生過的多次景氣循環不具長期的解釋能力。本文說明，這個實證現象有可能來自於「模型設定」與「未區分長短期狀態變換」這兩個計量問題。我們藉由區別檢驗決定出適當的MSAR模型，用以解釋長期狀態變換效果，並以此狀態轉折取代饒秀華等(2001)先驗判斷的樣本分期。之後，再更進一步定義出只具短期效果的「分段標準化」成長率序列，用以重新估計傳統的MSAR模型。本文的實證顯示，對台灣實質GNP年成長率的長期原始序列而言，區別檢定非常顯著地拒絕只允許位置參數變化的MSAR模型；相反地，接受了同時具有位置變化與波動變遷之狀態意義的MSAR模型。台灣過去的經濟背景說明，計量檢定接受的MSAR模型所解釋的是成長率在隨著不同經濟發展階段而異的長期位置變換與波動變遷，故非傳統文獻所欲直接解釋的景氣循環現象。而以分段標準化成長率序列估計傳統MSAR模型所得出的結果，支持適當的處理前述的兩個計量問題，是使傳統MSAR模型恢復對景氣循環之長期解釋能力的重要關鍵。文中亦與部分相關文獻進行過詳細的比較分析。

The location-MSAR models, which impose the Markov chain on the location parameters but not other parameters, are widely used in the empirical studies of business cycles. These simple models are found unable to interpret the business cycles of Taiwan in the long-term, however. By the use of Taiwan real GNP growth rate series, we illustrate that this problem is likely due to two econometric deficiencies of such models: the misspecification of models and the inability to discriminate between the long-term and short-term regime-switching behavior involved in the raw growth rate series. (The long-term effect is driven by economic development and the short-term effect is determined by business cycles.) To circumvent these two deficiencies, we first conduct model specification tests to determine suitable long-term MSAR models for the raw series. Then, we use these long-term models to define a ”segment-standardized” growth rate series that includes only the short-term effect. This segment-standardization may serve as an alternate to the sample-splitting method of Rau et al. (2001, Academia Economic Papers). Finally, we utilize this standardized series to re-estimate a simple location-MSAR model. The empirical study shows that our method is useful for recovering the performance of this simple model on explaining the business cycles of Taiwan in the long-term.

1. Chen, S.-W.,J.-L. Lin(2000).Modelling Business Cycles in Taiwan with Time-Varing Markov-Switching Models.Academia Economic Papers,28,17-42.
   連結：
2. Chen, S.-W.,J.-L. Lin(2000).Identifying Turning Points and Business Cycles in Taiwan:.Academia Economic Papers,28,289-320.
   連結：
3. 陳仕偉(2005)。景氣波動變異對景氣轉折點認定之影響: 跨國的實證研究。人文及社會科學集刊
   連結：
4. 饒秀華、林修葳、黎明淵(2001)。藉由分期MS模型分析台灣經濟景氣狀況。經濟論文，29，297-319。
   連結：
5. Altman, M.(1995).Business Cycle Volatility and Economic Growth: The Historical Record 1870-1986.Journal of Post Keynesian Economics,17,561-577.
6. Andrews, D. W. K.(1991).Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation.Econometrica,59,817-858.
7. Backus, D. K.,P. J. Kehoe(1992).International Evidence on the Historical Properties of Business Cycles.American Economic Review,82,864-888.
8. Blanchard, O.,J. Simon(2001).The Long and Large Decline in U.S. Output Volatility.Brookings Papers on Economic Activity,1,135-163.
9. Breusch, T.(1978).Testing for Autocorrelation in Dynamic Linear Models.Australian Economic Papers,17,334-355.
10. Chauvet, M.,S. Potter(2001).Recent Changes in the U.S. Business Cycle.Manchester School,5,481-508.
11. Cox, D. R.(1961).Proceedings of the Fourth Berkeley Symposium 1.Berkeley:University of California Press.
12. Davidson, R.,J. G. MacKinnon(1981).Several Tests for Model Specification in the Presence of Alternative Hypotheses.Econometrica,49,781-793.
13. DeLong, J. B.,L. H. Summers(1986).The American Business Cycle.Chicago, IL:National Bureau of Economic Research and University of Chicago Press.
14. Diebold, F. X.,R. S. Mariano(1995).Comparing Predictive Accuracy.Journal of Business and Economic Statistics,13,253-263.
15. Eitrheim, O.,T. Ter asvirta(1996).Testing the Adequacy of Smooth Transition Autoregressive Models.Journal of Econometrics,74,59-75.
16. Engel, C.,J. D. Hamilton(1990).Long Swing in the Dollar: Are They in the Data and Do Markets Know It?.American Economic Review,80,689-713.
17. Filardo, A. J.(1994).Business-Cycle Phases and Their Transition Dynamics.Journal of Business and Economic Statistics,12,299-308.
18. Friedman, M.(1993).The Plucking Model of Business Fluctuations Revisited.Economic Inquiry,31,171-177.
19. Godfrey, L. G.(1978).Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables.Econometrica,46,1293-1301.
20. Goodwin, T. H.(1993).Business-Cycle Analysis with a Markov-Switching Model.Journal of Business and Economic Statistics,11,331-339.
21. Granger, C. W. J.,T. Ter asvirta(1993).Modelling Nonlinear Economic Relationships.Oxford:Oxford University Press.
22. Hamilton, J. D.(1989).A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.Econometrica,57,357-384.
23. Hamilton, J. D.(1994).Time Series Analysis.Princeton, NJ:Princeton University Press.
24. Hamilton, J. D.(1996).Specification Testing in Markov Switching Time Series Models.Journal of Econometrics,70,127-157.
25. Hamilton, J. D.,G. Perez-Quiros(1996).What Do Leading Indicators Lead?.Journal of Business,69,27-49.
26. Hansen, B. E.(1992).The Likelihood Ratio Test under Nonstandard Conditions:.Journal of Applied Econometrics,7,S61-S82.
27. Huang, C.-H.(1998).Phases and Characteristics of Taiwan Business Cycles: A Markov Switching Analysis.Taiwan Economic Review,26,185-214.
28. Hylleberg, S.,R. F. Engle,C. W. J. Granger,B. S. Yoo(1990).Seasonal Integration and Cointegration.Journal of Econometrics,44,215-238.
29. Karras, G.,F. Song(1996).Sources of Business-Cycle Volatility: An Exploratory Study on Sample of OECD Countries.Journal of Macroeconomics,18,621-637.
30. Kim, C. J.,C. R. Nelson(1999).State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approach and Applications.Cambridge, MA:The MIT Press.
31. Kim, C. J.,C. R. Nelson(1999).Has the U.S. Economy Become More Stable?.Review of Economics and Statistics,81,608-616.
32. Kneller, R.,G. Young(2001).Business Cycle Volatility, Uncertainty and Long-Run Growth.Manchester School,69,534-552.
33. Kose,M. A.,E. S. Prasad,M. E. Terrones(2003).Working Paper.International Monetary Fund..
34. Krolzig, H.-M.(1997).Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis.Berlin:Springer-Verlag.
35. Luukkonen, R.,P. Saikkonen,T. Ter asvirta(1988).Testing Linearity against Smooth Transition Autoregressive Models.Biometrika,75,491-499.
36. McConnell, M. M.,G. Perez-Quiros(2000).Output Fluctuations in the United States: What Has Changed Since the Early 1980's?.American Economic Review,90,1464-1476.
37. Mizon, G. E.,J. F. Richard(1986).The Encompassing Principle and Its Application to Testing Non-Nested Hypotheses.Econometrica,54,657-678.
38. Newey, W. K.(1985).Maximum Likelihood Specification Testing and Conditional Moment Tests.Econometrica,53,1047-1070.
39. Newey, W. K.,K D. West(1987).A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistean Covariance Matrix.Econometrica,55,703-708.
40. Politis, D. N.,J. P. Romano(1994).The Stationary Bootstrap.Journal of the American Statistical Association,89,1303-1313.
41. Ramsey, J.(1969).Test for Specification Errors in Classical Linear Leasst Squares Regression Analysis.Journal of the Royal Statistical Society,B31,350-371.
42. Sensier, M.,D. van Dijk(2001).Working Paper.University of Manchester.
43. Stock, J. H.,M.W.Watson(2003).Working Paper.National Bureau of Economic Research.
44. Stock, J. H.,M.W.Watson(2002).Working Paper.National Bureau of Economic Research..
45. Teräsvirta, T.(1994).Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models.Journal of the American Statistical Association,89,208-218.
46. Teräsvirta, T.,H. M. Anderson(1992).Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models.Journal of Applied Econometrics,7,119-136.
47. Tong, H.(1978).Pattern Recognition and Signal Processing.Sijthoff and Noordhoff:Sijthoff and Noordhoff.
48. Tong, H.,K. S. Lim(1980).Threshold Autoregressions, Limit Cycles, and Data.Journal of the Royal Statistical Sociery,42,245-292.
49. Vuong, Q. H.(1989).Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses.Econometrica,57,307-333.
50. 行政院主計處(2001)。中華民國台灣地區國民所得按季統計
51. 林向愷、黃裕烈、管中閔(1998)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊，26，431-457。
52. 徐士勛、管中閔(2001)。九零年代台灣的景氣循環。人文及社會科學集刊，13，515-540。
53. 謝志昇(2004)。狀態變換時間序列模型的比較: 台灣實質GNP年成長率的實證研究

1. Ho, Tai-Kuang(2011).Accounting for Taiwan's First Post-War Negative Economic Growth.臺灣經濟預測與政策,41(2),1-49.
2. 蕭宇翔,林依伶(2020)。臺灣景氣狀態之預測。臺灣經濟預測與政策，51(1)，1-56。
3. 朱浩榜(2021)。即時認定台灣的景氣轉折。經濟論文叢刊，49(3)，335-370。