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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25178
標題: | 跨國景氣循環:
雙變量馬可夫轉換模型之應用 Modeling the International Business Cycle Using Bivariate Markov-Switching Models |
作者: | Ting-wei Lai 賴廷緯 |
指導教授: | 管中閔 |
關鍵字: | 一般化模型,跨國景氣循環,馬可夫轉換,同步化指標,美國, 加拿大, 和日本, generalized model,international business cycle,Markov switching,synchronization index,the U.S., Canada, and Japan., |
出版年 : | 2007 |
學位: | 碩士 |
摘要: | In this study, we compare the performance of various bivariate Markov switching~(MS) models, including models for the independence case, the perfect-synchronization case, and for the general case, in characterizing the international business cycles~(IBC) of the U.S. and Canada and that of the U.S. and Japan. This empirical study
shows that, compared to the independence model and the perfect-synchronization model, the general model is capable of explaining the IBC in a better way. Meanwhile, this generalized model also permits us to define a time-varying synchronization index for the IBC by the smooth probability of the common recession or expansion state. Using this synchronization index, we find that the IBC of the U.S. and Canada has been further strengthened in the 1990's; in comparison, the IBC of the U.S. and Japan has been less synchronized in the same period. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25178 |
全文授權: | 未授權 |
顯示於系所單位: | 經濟學系 |
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