不對稱歐肯法則之臺灣實證

Asymmetry in Okun's Law: Evidence Fromtaiwan

10.29629/TEFP.200810.0001

萬哲鈺(Jer-Yuh Wan)；高崇瑋(Chung-Wei Kao)

歐肯法則 ； 門檻 ； 景氣循環 ； Okun's law ； Threshold ； Business cycles

臺灣經濟預測與政策

39卷1期（2008 / 10 / 01）

1 - 31

繁體中文

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.

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