頁籤選單縮合
題名 | Is There a Peak-Reversion Asymmetry in Taiwan's Business Cycles?=臺灣景氣循環不對稱性特色之探討 |
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作者 | 陳仕偉; Chen, Shyh-wei; |
期刊 | 經濟論文叢刊 |
出版日期 | 20021200 |
卷期 | 30:4 2002.12[民91.12] |
頁次 | 頁531-562 |
分類號 | 553.15 |
語文 | eng |
關鍵詞 | 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; |
中文摘要 | 本文嘗試探討臺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影響皆具有�琱[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�琱[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,結果發現臺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。 |
英文摘要 | 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 leel of Taiwan's output. |
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