کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5056186 | 1371539 | 2006 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Can the identification puzzle of Taiwan's turning points after 1990 be solved?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 23, Issue 1, January 2006, Pages 174-195
Journal: Economic Modelling - Volume 23, Issue 1, January 2006, Pages 174-195
نویسندگان
Shyh-Wei Chen, Chung-Hua Shen,