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題名 A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model
作者 Shen, Chung-Hua;Chen, Chien-Fu;Andy Wang, Chien-an
沈中華
貢獻者 金融系
關鍵詞 Granger causality; Markov-Switching VAR; Nonlinear Granger causality; Business cycle
日期 2007
上傳時間 23-Mar-2015 18:07:09 (UTC+8)
摘要 This paper examines the lead–lag relationships among the output of Taiwan, Japan and the U.S. Three testing methods are employed: the traditional linear Granger causality test, Hiemstra and Jones` [Hiemstra, C., Jones, J.D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664] nonlinear Granger causality test and Warne`s [Warne, A., 2000. Causality and regime inference in a Markov-S switching VAR, Working Paper no. 118, Sveriges Riksbank, Stockholm.] Granger causality test under the Markov-Switching model. We find that the causal ordering is unclear and depends on the model we used. Because Markov-Switching model imposes few restrictions in estimation, we tend to use its estimated results but bear in mind that the evidence is sensitive. First, the common shock hypothesis is found that most probably exists between Taiwan and the U.S. Next, we conclude that Japan tends to lead Taiwan`s output, to a certain extent. Last, there is no causal ordering between the U.S. and Japan economies.
關聯 Economic Modelling, 24(1), 1-14
資料類型 article
DOI http://dx.doi.org/10.1016/j.econmod.2006.04.012
dc.contributor 金融系
dc.creator (作者) Shen, Chung-Hua;Chen, Chien-Fu;Andy Wang, Chien-an
dc.creator (作者) 沈中華zh_TW
dc.date (日期) 2007
dc.date.accessioned 23-Mar-2015 18:07:09 (UTC+8)-
dc.date.available 23-Mar-2015 18:07:09 (UTC+8)-
dc.date.issued (上傳時間) 23-Mar-2015 18:07:09 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73946-
dc.description.abstract (摘要) This paper examines the lead–lag relationships among the output of Taiwan, Japan and the U.S. Three testing methods are employed: the traditional linear Granger causality test, Hiemstra and Jones` [Hiemstra, C., Jones, J.D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664] nonlinear Granger causality test and Warne`s [Warne, A., 2000. Causality and regime inference in a Markov-S switching VAR, Working Paper no. 118, Sveriges Riksbank, Stockholm.] Granger causality test under the Markov-Switching model. We find that the causal ordering is unclear and depends on the model we used. Because Markov-Switching model imposes few restrictions in estimation, we tend to use its estimated results but bear in mind that the evidence is sensitive. First, the common shock hypothesis is found that most probably exists between Taiwan and the U.S. Next, we conclude that Japan tends to lead Taiwan`s output, to a certain extent. Last, there is no causal ordering between the U.S. and Japan economies.
dc.format.extent 169742 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Economic Modelling, 24(1), 1-14
dc.subject (關鍵詞) Granger causality; Markov-Switching VAR; Nonlinear Granger causality; Business cycle
dc.title (題名) A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.econmod.2006.04.012en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.econmod.2006.04.012en_US