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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/73946
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| Title: | A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model |
| Authors: | Shen, Chung-Hua;Chen, Chien-Fu;Andy Wang, Chien-an
沈中華 |
| Contributors: | 金融系 |
| Keywords: | Granger causality;Markov-Switching VAR;Nonlinear Granger causality;Business cycle |
| Date: | 2007 |
| Issue Date: | 2015-03-23 18:07:09 (UTC+8) |
| Abstract: | 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. |
| Relation: | Economic Modelling, 24(1), 1-14 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.econmod.2006.04.012 |
| DOI: | 10.1016/j.econmod.2006.04.012 |
| Appears in Collections: | [金融學系] 期刊論文
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