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題名 | 大緩和:五個亞洲新興國家證據=The Great Moderation: Evidence from Five Asian Emerging Countries |
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作者 | 方文碩; 曾仁清; 鄭淑青; | 書刊名 | 經濟與管理論叢 |
卷期 | 7:2 2011.07[民100.07] |
頁次 | 頁227-256 |
分類號 | 553.01 |
關鍵詞 | 實質GDP成長與波動; 大緩和; 特異值; 平均值與變異數結構改變; ARCH-M; Real GDP growth and volatility; The great moderation; Outliers; Structural changes in mean and variance; |
語文 | 中文(Chinese) |
英文摘要 | Most of the literature that investigates the Great Moderation of real gross domestic product (GDP) growth focuses on OECD developed countries, and few studies discuss emerging economies in Asia. By employing quarterly real GDP growth rates over the period 1960-2009 for China, Hong Kong, Korea, Singapore, and Taiwan, we find evidence of a structural change in GDP growth volatility for each of the five countries. The break date, however, differs among the countries. The Great Moderation emerges in China, Hong Kong, Korea, and Taiwan, while the growth volatility increases in Singapore. Using the autoregressive conditional heteroskedasticity in the mean (ARCH-M) model, we find that the volatility of output growth negatively affects output growth in China, Hong Kong and Singapore, and is only significant in Singapore. The volatility positively affects the growth rate in Korea and Taiwan, and is only significant in Taiwan. The policy implications are discussed. Finally, Taiwan experiences different relationships between economic growth volatility and growth in different volatility regimes. |
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