政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/73946
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114205/145239 (79%)
造访人次 : 52843784      在线人数 : 1236
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73946


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/73946


    题名: 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
    贡献者: 金融系
    关键词: Granger causality;Markov-Switching VAR;Nonlinear Granger causality;Business cycle
    日期: 2007
    上传时间: 2015-03-23 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
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.econmod.2006.04.012
    DOI: 10.1016/j.econmod.2006.04.012
    显示于类别:[金融學系] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    S0264999306000538.pdf165KbAdobe PDF2848检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈