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    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: 2015-03-23 18:08:00 (UTC+8)
    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 連結: http://dx.doi.org/10.1016/j.econmod.2005.09.005
    DOI: 10.1016/j.econmod.2005.09.005
    顯示於類別:[金融學系] 期刊論文

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