题名

景氣波動變異對景氣轉折點認定之影響:跨國的實證研究

并列篇名

An Analysis of the Effect of Output Volatility on Turning Points Identification: International Evidence

DOI

10.6350/JSSP.200603.0037

作者

陳仕偉(Shyh-Wei Chen)

关键词

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

期刊名称

人文及社會科學集刊

卷期/出版年月

18卷1期(2006 / 03 / 01)

页次

37 - 76

内容语文

繁體中文

中文摘要

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台灣為實證對象,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、日本及台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,其中以日本及台灣最為嚴重。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。為了能夠同時刻劃景氣非線性、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,並以台灣為例進行探討。

英文摘要

Despite the abundance of studies on the feature of asymmetry and co-movement of the business cycle in the extant literature, rarely has 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 trough dates.

主题分类 人文學 > 人文學綜合
社會科學 > 社會科學綜合
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被引用次数
  1. 陳仕偉(2005)。再探台灣景氣循環轉折點之認定:兼論台灣第十次的循環日期。中國統計學報,43(4),387-406。
  2. 林向愷、岳俊豪(2009)。政經結構變遷與景氣波動—台灣的實證研究。經濟論文,37(4),411-456。
  3. 謝志昇、陳宜廷(2006)。台灣實質國民生產毛額年成長率的狀態變化意涵。經濟論文,34(1),41-91。
  4. (2007)。國際油價、股市與景氣循環之相關分析-馬可夫轉換向量誤差修正模型的運用。永豐金融季刊,39,121-171。
  5. (2018)。景氣波動、成員心理不確定感與組織承諾之關聯性:以繼任者來源為干擾效果。中華管理評論,21(1),300-319。