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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王泓仁(Hung-Jen Wang) | |
dc.contributor.author | Cheng-Yang Yen | en |
dc.contributor.author | 顏晨陽 | zh_TW |
dc.date.accessioned | 2021-06-16T03:02:57Z | - |
dc.date.available | 2016-07-20 | |
dc.date.copyright | 2015-07-20 | |
dc.date.issued | 2015 | |
dc.date.submitted | 2015-07-01 | |
dc.identifier.citation | 參考文獻
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Saxena.(2000) “Alternative Methods of Estimating Potential Output and the Output Gap:An Application to Sweden,” IMF Working Paper. 7. DeLong, J. B. and L. H. Summers.(1986) “Are Business Cycles Symmetric? ” NBER Working Paper No. 1444. 8. Feller, W.(1956) “Trends and cycles in economic activity,” Henry Holt,New York. 9. Friedman, M.(1993) “The ‘plucking model of Business Fluctuations Revisited,” Economic Inquiry, pp.171-177. 10. Hodrick, R. J. and E. C. Prescott.(1997) “Postwar U.S. Business Cycles: An Empirical Investigation,” Journal of Money, Credit and Banking, Vol. 29, No. 1., pp. 1-16. 11. Hamilton, J. D.(1989) “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,” Econometrica Vol. 57, No. 2, pp. 357-384. 12. Keynes, J. M.(1936) “The General Theory of Employment,Interest,and Money,” marxists.org 2002. 13. Kim C.J. and C. R. Nelson.(1999)“Has the U.S. Economy Become More Stable?A Bayesian Approach Based on a Markov-Switching Model of Business Cycle,” The Review of Economics and Statistics, MIT Press, vol. 81(4), pp. 608-616. 14. Koop G. and P. Beaudry.(1993)“Do recessions permanently change output?”Journal of Monetary Economics 31,pp.149-163. 15. Kim C. J. and C. R. Nelson.(1999)“Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, ” Journal of Money,Credit and Banking,Vol. 31,No. 3, Part 1,pp.317-334. 16. Koop, G., J. Osiewalski and M. F. J. Steel.(2000)“A Stochastic Frontier Analysis of Output Level and Western Economics, ”Economics of Planning 33:185-202. 17. Kumbhakar, S. C. and H. J. Wang.(2005)“Estimation of growth convergence using a stochastic production frontier approach,” Economics Letters 88,pp.300-305. 18. Lebergott, S.(1986)“Is the Stabilization of the Postwar Economy a Figment of the Data?”The American Economic Review Vol. 76, No. 3,pp.314-334. 19. Lam, P. S. (1990)“The Hamilton Model with a General Autoregressive Component,” Journal of Monetary Economics, 26, 409-432. 20. Luo, S. and R. Startz.(2014)“Is it one break or ongoing permanent shocks that explains U.S. real GDP?” Journal of Monetary Economics 66, pp.155-163. 21. Meeusen W. and J. v. d. Broeck.(1977)“Efficiency Estimation from Cobb-Douglas Production Function with Composed Error,” International Economic Review, vol. 18, issue 2. pp, 435-44. 22. Mester, L. J.(1997)“Measuring Efficiency At U.S. Banks:Accounting For Heterogeneity Is Important,” European Journal of Operational Research, Elsevier, vol. 98(2), pp. 230-242. 23. Mcconnell, M. M. and G. P. Quiros.(1999)“Output Fluctuations in the United States: What Has Changed Since the Early 1980’s?”Federal Reserve Bank of New York, Domestic Research. 24. Neftci, S. N.(1984)“Are Economic Time Series Asymmetric over the Business Cycle?”Journal of Political Economy, Vol. 92, No. 2, pp.307-328. 25. Perron, P. and T. Wada.(2009)“Let’s take a break:Trends and cycles in US real GDP,” Journal of Monetary Economics 56, pp.749-765. 26. Romer, C.(1986a)“New Estimates of Prewar Gross National Product and Unemployment,” Journal of Economic History. 46(2).341-52. 27. Romer, C.(1986b)“Is the Stabilization of the Postwar Economy a Figment of the Data?” Americam Economic Review. 76.314-39. 28. Romer, C.(1989)“The Prewar Business Cycle Reconsidered:New Estimates of Gross National Product,1869-1908, ”Journal of Political Economy. 97 (1).1-37. 29. Romer, C.(1991)“The Cyclical Behavior of Individual Production Series,1889-1984,”The Quarterly Journal of Economics. 30. Romer, C.(1994)“The End od Economic History?” Journal of Economic Education. 25 (1).49-66. 31. Shapiro, M. D.(1988)“The Stabilization of the U.S. Economy: Evidence from the Stock Market,” American Economic Review, 78(5), pp.1067-79. 32. Sichel, D. E.(1993)“Business cycle Asymmetry:A deeper look,” Economic Inquiry, Western Economic Association International, Vol. 31(2),pp.224-36. 33. Sichel, D. E., F. X. Diebold and G. D. Rudebusch.(1992)“Further Evidence on Business-Cycle Duration Dependence,” National Bureau of Economic Research, pp. 255-284. 34. Stock, J. H. and M. W. Watson.(2002)“Has the Business Cycle Changed and Why? ”NBER Macroeconomics Annual, Vol. 17. 35. Watson, M. W.(1994)“Business-Cycle Durations and Postwar Stabilization of the U.S. Economy,” American Economic Review, 84(1), pp.24-46. 36. Zheng T., Y. Teng and T. Song.(2010)“Business Cycle Asymmetry in China: Evidence from Friedman’s Plucking Model,” China & World Economy. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54538 | - |
dc.description.abstract | 在市場全球化及金融商品日趨複雜下,景氣波動的幅度及週期變得更加難以預測,因此本文將研究重心放在短期循環上。本文研究使用Friedman (1964) 牽拉模型的架構,以隨機邊界模型估計之,並進一步分析景氣循環的轉折點。估計變數方面,本文考慮領先景氣指標、聯邦資金利率、政府財政政策等估計變數。樣本期間的選擇為1955第一季至2014第三季的資料。
實證結果發現,在不同的資料處理與變數設定下,最有可能的轉折點有1969年、1973年、1984年、2003年、2006年及2008年等,其中1973年、1984年及2006年與文獻中趨勢的轉折點相同,因此我們發現趨勢的轉折點與循環的轉折點是有密切關係的,反映經濟結構的改變,不僅影響長期趨勢的發展,也影響短期循環的狀態。另外,2008年的轉折點,也反應嚴重的金融風暴,對經濟體帶來的影響。 | zh_TW |
dc.description.abstract | The globalization of markets and the increasing complexity of financial products, the magnitude of fluctuations in the economy cycle has become more difficult to predict, so this thesis will focus on the short-term cycle. In this thesis, we used the stochastic frontier model to estimate Friedman (1964) plucking model, and further analyzed break points of business cycle. We use the US quarterly data from 1955:Q1 to 2014:Q3 as the empirical sample, and also considered the effect of variables leading business index, the federal funds rate, and the government financial policy.
Our results show that with different data variables set, the most likely break points there in 1969, 1973, 1984, 2003, 2006 and 2008. In particular, 1973, 1984 and 2006 are same with the literature break points in the trend, so we found break points in the trend and cycle are closely related to,the change of economic structure not only affects the long-term trend of development, but also affect the state of the short-term cycle. In addition, the break point 2008 also showed the impact on the economy during serious financial crisis. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T03:02:57Z (GMT). No. of bitstreams: 1 ntu-104-R02323047-1.pdf: 701623 bytes, checksum: 9b2c4ee1c6b416727fcf0dc9db998389 (MD5) Previous issue date: 2015 | en |
dc.description.tableofcontents | 目 錄
1.前言 1 2.文獻回顧 3 3.資料來源 6 4.模型: 12 5.實證結果: 18 6.結論: 35 | |
dc.language.iso | zh-TW | |
dc.title | 牽拉模型與景氣循環轉折:隨機邊界法的應用 | zh_TW |
dc.title | A Stochastic Frontier Approach to the Plucking Business Cycle Model with Structural Changes in Cyclicality | en |
dc.type | Thesis | |
dc.date.schoolyear | 103-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳南光(Nan-Kuang Chen),蔡宜展(Yi-Chan Tsai) | |
dc.subject.keyword | 牽拉模型,隨機邊界模型,轉折點, | zh_TW |
dc.subject.keyword | Plucking Model,Stochastic Frontier Model,Structural Change, | en |
dc.relation.page | 40 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2015-07-01 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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