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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73951

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73951

Title:	Can the identification puzzle of Taiwan`s turning points after 1990 be solved?
Authors:	Shen, Chung-Hua;Chen, Shyh-Wei 沈中華
Contributors:	金融系
Keywords:	Turning point;Markov-switching model;Volatility switch
Date:	2006
Issue Date:	2015-03-23 18:08:00 (UTC+8)
Abstract:	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.
Relation:	Economic Modelling, 23(1), 174-195
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.econmod.2005.09.005
DOI:	10.1016/j.econmod.2005.09.005
Appears in Collections:	[金融學系] 期刊論文

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