牽拉模型與景氣循環轉折：隨機邊界法的應用

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。

關鍵字

牽拉模型；隨機邊界模型；轉折點

並列摘要

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.

並列關鍵字

Plucking Model ； Stochastic Frontier Model ； Structural Change

參考文獻

2. Aigner, D., C. A. K. Lovell and P. Schmidt. （1977） “Formulation And Estimation of Stochastic Frontier Production Function Models, ”Journal of Econometrics 6,pp.21-37.

3. Beveridge, S. and C. R. Nelson,（1981） “A new Approach to Decomposition of Economic Time Series Into Permanent And Transitory Components With Particular Attention To Measurement of The ‘Business cycle’, ”Journal of Monetary Economics,pp.151-174.

4. Battese G. E. and T. J. Coelli.（1995）“A model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data,”Empirical Economics, 20:325-332.

5. Clark, P. K.（1987） “The Cyclical Component of U.S. Economic Activity, ”The Quarterly Journal of Economics, Vol. 102, No. 4, pp.797-814.

6. Cerra, V. and S. C. Saxena.（2000） “Alternative Methods of Estimating Potential Output and the Output Gap：An Application to Sweden,” IMF Working Paper.

國際替代計量

牽拉模型與景氣循環轉折：隨機邊界法的應用

全文下載

主題瀏覽