Is There a Peak-Reversion Asymmetry in Taiwan's Business Cycles?

台灣景氣循環不對稱性特色之探討

10.6277/ter.2002.304.4

陳仕偉(Shyh-Wei Chen)

頂峰回復 ； 景氣循環不對稱性 ； 雙因子馬可夫轉換模型 ； peak-reversion ； business cycle ； Markov-switching factor model

經濟論文叢刊

30卷4期（2002 / 12 / 01）

531 - 562

英文

本文嘗試探討台灣景氣循環的特色中是否同時存在Hamilton及Friedman所分別定義之不對稱性？Hamilton型式的不對稱性認為外生的衝擊對於景氣擴張及收縮的景響皆具有恒久的效果，而Friedman型式的不對稱性則認為外生的衝擊對於景氣擴張有恒久的影響效果，但在收縮期時只有暫時性的影響。我們同時以未經季節調整的資料及季節調整後的消費、投資及進出口資料，利用雙因子馬可夫轉換模型進行實證研究，結果發現台灣景氣循環的確存在Hamilton型式的不對稱特色，但並不存在Friedman型式的不對稱性。

This paper investigates the asymmetric nature of Taiwan's business cycles. We employ a two-factor Markov-switching model which allows us to simultaneously analyze both types of asymmetry, i.e., the Hamilton-type asymmetry and the peak-reversion asymmetry. Both seasonally-unadjusted and seasonally-adjusted data are taken into account in the empirical studies. The empirical results suggest that the Hamilton-type asymmetry is evident in Taiwan's business fluctuations. However, the peak-reversion phenomenon is not shown by Taiwan's data, implying that recessions have permanent effects on the level of Taiwan's output.

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