Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/73951
題名: | Can the identification puzzle of Taiwan`s turning points after 1990 be solved? | 作者: | Shen, Chung-Hua;Chen, Shyh-Wei 沈中華 |
貢獻者: | 金融系 | 關鍵詞: | Turning point; Markov-switching model; Volatility switch | 日期: | 2006 | 上傳時間: | 23-Mar-2015 | 摘要: | Although the use of Hamilton`s [Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 54, 357–384.] Markov-switching model to date U.S. business cycles has recently gained respect as a reliable tool, the model failed to date the business cycle of Taiwan, a developing country, since model-dated recession indicated a recession for the whole post-1990 period, which clearly is not true. A lot of effort has been devoted to solve this identification problem of Taiwan`s business chronology, but, even so, the puzzle remains. This paper uses an extended multivariate Markov-switching factor model to solve this puzzle. We first consider a second-state variable, the variance, in addition to the conventional one-state variable, the mean. We then employ four variables to assist in the identification of the business cycles. It is determined that the new model successfully dates Taiwan`s business cycles. | 關聯: | Economic Modelling, 23(1), 174-195 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.econmod.2005.09.005 |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
S0264999305000866.pdf | 216.95 kB | Adobe PDF2 | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.