|
English
|
正體中文
|
简体中文
|
Post-Print筆數 : 27 |
Items with full text/Total items : 113656/144643 (79%)
Visitors : 51720587
Online Users : 617
|
|
|
Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/73946
|
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
|
Files in This Item:
File |
Description |
Size | Format | |
S0264999306000538.pdf | | 165Kb | Adobe PDF2 | 834 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
著作權政策宣告 Copyright Announcement1.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.