景氣循環與總體不確定性

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姓名

戴郁珍(Yu-Chen Tai) 查詢紙本館藏

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經濟學系

論文名稱

景氣循環與總體不確定性
(Business Cycle and Macroeconomic Uncertainty)

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摘要(中)

本文使用 Hsu et al.(2018)根據 Jurado et al.(2015)之計算方式所計算的台灣總體經濟不確定性指標，利用平滑轉換向量自我迴歸(Smooth Transition Vector Autoregressive, STVAR)之非線性模型估計自 1995 年 1 月至 2018 年 9 月景氣循環與總體不確定之關係，並利用一般化衝擊反應函數分析總體不確定性的衝擊對總體變數的影響是否在景氣擴張期與景氣衰退期中有不對稱的現象。實證結果發現，總體不確定性的衝擊對總體變數在不同景氣期間都有不對稱的現象，在景氣衰退期間總體不確定性的衝擊對各總體變數的影響較大，尤其在衰退期間總體不確定性對同時指標和失業率的衝擊分別是擴張期間的 4.34 倍和 2.08 倍。

摘要(英)

This paper uses macroeconomic uncertainty index of Taiwan from Hsu et al. (2018) which calculates according to Jurado et al. (2015). We apply the Smooth Transition Vector Autoregressive model to study the relationship with business cycle and macroeconomic uncertainty from January 1995 to September 2018. Furthermore, we use the generalized impulse response function to study the effects of unanticipated increases in macroeconomic uncertainty in recessions and expansions. The empirical results show that the impact of macroeconomic uncertainty is asymmetric. The impact of macroeconomic uncertainty during the recession has a greater impact on macroeconomic variables. We find that the response of coincident index in recessions is 4.34 times larger than the response in expansions, and the response of unemployment in recessions is 2.08 times larger than the response in expansions.

關鍵字(中)

★ 景氣循環
★ 總體不確定性
★ 平滑轉換向量自我迴歸模型

關鍵字(英)

★ Business cycle
★ Macroeconomic uncertainty
★ Smooth Transition Vector Autoregressive model

論文目次

第一章緒論 1
第二章文獻回顧 4
2-1 衡量不確定性指數相關文獻 .……………………………… 4
2-2 不確定性在景氣循環中的不對稱效應相關文獻 …………... 6
2-3 平滑轉換自我迴歸模型相關文獻 …………………………. 8
第三章研究方法與模型架構 10
3-1 平滑轉換向量自我迴歸模型 .……………………………… 10
3-2 一般化衝擊反應函數 ………………………………………. 13
第四章資料與實證結果 15
4-1 資料來源與處理 …………………………………………… 15
4-2 敘述統計 …………………………………………………… 21
4-3 相關係數矩陣 ……………………………………………… 23
4-4 線性檢定 …………………………………………………… 24
4-5 平滑轉換向量自我迴歸模型估計 ………………………… 25
4-6一般化衝擊反應分析 ………………………………………. 27
第五章結論 31
參考文獻 32
附錄一總體不確定性指數納入指標 35
附錄二總體不確定性指數建構方式 39

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指導教授

徐之強(Chih-Chiang Hsu)

審核日期

2019-7-2

推文