Modelling Business Cycles in Taiwan with Time-Varying Markov-Switching Models

Abstract

本文應用變動移轉機率馬可夫轉換模型，以分析同時指標及領先指標是否有助於台灣經濟景氣循環轉折點之認定及經濟成長之預測。變動移轉機率模型較固定移轉機率模型更具有彈性，可以處理景氣轉折前後移轉機率的變動。實證結果發現同時指標與領先指標有助於景氣循環轉折點之預測，而且同時指標有助於經濟成長的預測而領先指標則無此效果。

This paper employs Hamilton’s (1989) original Markov-switching model and the time-varying Markov-switching model developed by Filardo (1994), respectively, to investigate the business cycle and evaluate the usefulness of the coincident and leading indexes in dating the business cycle and in predicting future GDP in Taiwan. The empirical results suggest that these two indexes help date the business cycle in Taiwan and improve precision in predicting turning points. As for forecasting future GDP, the coincident index is useful whereas the leading index is not.