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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/73946

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 link:	http://dx.doi.org/10.1016/j.econmod.2006.04.012
DOI:	10.1016/j.econmod.2006.04.012
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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