在貿易開放與全球化同時作用下，景氣循環的波動變得更加複雜，所需考量的層面已擴及國外部門以及國際影響。現今，貿易自由化與經濟整合程度提高，一國景氣循環波動易受貿易夥伴或鄰國的外生性衝擊干擾，進而影響國內景氣波動。因此，跨國景氣波動儼然成為重要的探討議題。
本研究針對以下議題進行分析：1.區域經濟整合，是否能有效產生貿易創造效果，使貿易增加? 2.台灣為一小型開放經濟體，其穩定景氣波動的因子是否有別工業大國?貿易是否為重要穩定因子? 3. 同屬小型開放經濟體的台灣與韓國，與世界景氣循環同步抑或分離 ?影響其景氣波動的因子為何?
第二章旨在探討各國是否可透過洽簽自由貿易協定 (Free Trade Agreement；FTA) 來達到區域經濟整合 (Regional Economic Integration)，進而增進會員國間之貿易量以及提高各國的靜態福利效果 (Static Welfare Efficiency)。本研究發現，簽訂自由貿易協定卻能產生可觀的貿易創造效果，亦即各國透過洽簽自由貿易協定，確實能達到區域經濟整合效果。
第三章利用時間變動的向量自我迴歸模縮減模型 (time-varying reduced form VAR)，探討台灣大緩和的成因。本研究發現，經由各項總體經濟指標檢驗，台灣的確存在大緩和現象；大緩和現象發生前，開放程度為穩定台灣經濟波動的主要因素，但大緩和現象出現以後，國際油價衝擊的減緩(亦及文獻所謂的”好運氣”)，則成為台灣大緩和現象的主因。
第四章利用「結構因子擴充向量自迴歸模型」(Structural Factor-Augmented VAR, SFAVAR)，探討台灣與韓國的景氣循環與世界同步景氣循環或分離。本研究實證模型總計包含10個總體經濟變數，樣本期間為1970 年 第一季至2012 年第二季。由實證結果可以發現，衝擊反映函數以及變異數分解皆表明，開放程度的衝擊，對台灣及韓國的景氣循環的影響扮演了非常重要的角色。

The fluctuations in the business cycle become more and more complex under the situation of the trade liberalization and globalization; thus the levels to be considered have been extended to foreign authorities and international influence. Today, the increasing of trade liberalization and economic integration have lead a country's business cycle to be interfered by exogenous impact from neighboring trading partners; thereby affecting the domestic economy fluctuations. Therefore, the fluctuation in international economy has become an important topic to be discussed.
This study will analyze the following topics: (1) whether regional economic integration can efficiently generate trade creation effect to increase the trade? (2) Are the stable economy fluctuation factors of Taiwan, a small open economy, different from other major industrial countries? Is the trade an important stabile factor? (3) Are the business cycle of Taiwan and South Korea, belong to small open economies, synchronized or separated with the world business cycle? What are the factors affecting their business fluctuation?
The chapter two is aimed to discuss whether countries are able to sign the Free Trade Agreement (FTA) to achieve regional economic integration, and further to enhance trade between the Member States and to improve the static welfare efficiency. This study found that the signing of free trade agreements is able to generate considerable trade creation effect, that the countries can exactly achieve the effect of regional economic integration by signing the free trade agreement.
The chapter three utilizes the time-varying vector autoregression reduced form (VAR), to discuss the causes of the Great Moderation in Taiwan. This study found that the Great Moderation phenomenon does exist in Taiwan through the inspection of the overall economic indicators. Before the Great Moderation occurred, the main factor of stabilizing economic fluctuations in Taiwan is the openness; but after the Great Moderation phenomenon, the main factor to cause the Great Moderation in Taiwan is that the mitigation of international oil price impact (so-called "good luck" in this study).
The chapter four utilizes structure factor-augmented expansion vector autoregression model (SFAVAR), to discuss the business cycle of Taiwan and South Korea and their synchronization or separation with the world business cycle. This study includes a total of 10 macroeconomic variances of empirical model; the period of samples is from the first quarter of 1970 to the second quarter of 2012. The empirical results can be found that the impact of openness is playing a very important role for the business cycle of Taiwan and South Korea, which are indicated by impulse response function and analysis of variance.

審定書............................................................................................................................i
致謝...............................................................................................................................ii
摘要...............................................................................................................................iii
目錄...............................................................................................................................vi
圖目錄...........................................................................................................................ix
表目錄............................................................................................................................x

一、前言……...….........................................................................................................1
參考文獻................................................................................................................3
二、貿易創造與貿轉向效果之究................................................................ ………...........4
2.1緒言………………………………………………………………........................................4
2.2文獻回顧……………………………………………………………………......................…..6
2.3模型和方法…………………………………………………………………......................…..7
(1) 追蹤資料分量迴歸模型 ( Panel Data Quantile Regression )……….....................8
(2) 實證模型………………………………………………………...……....................….9
2.4實證結果……………………………………………………………......................………….11
2.5模型應用-貿易創造和貿易轉向的反事實估計…………………………….........................14
2.6結論…………………………………………………………….......................………………16
參考文獻…...……………………………………………………….................……………..19
三、台灣大緩和時間及成因定………………………………………………….....................…..22
3.1背景介紹...............................................................................................................22
3.2實證模型…………………………………………………………………......................…….24
(1) 持續依存的馬可夫轉換模型..................................................................................24
(2) 資料分析............................................................................................................26
(3) 馬可夫轉換實證結果分析.....................................................................................27
A.國內生產毛額..................................................................................................27
B.開放程度........................................................................................................28
C.政府支出與國際油價........................................................................................29
3.3時變參數向量自我迴歸模型(Time-Varying Vector Autoregression )............................29
(1) 條件標準差及條件相關係數..................................................................................32
(2) 衝擊反映函數………………………………………..........................……..…….……….34
A. 國際原油價格................................................................................................34
B. 開放程度.......................................................................................................35
C. 政府支出.......................................................................................................35
(3)變異數分解…………..…………………………………………….......................………...38
3.4結論與總結...........................................................................................................39
參考文獻..............................................................................................................40
附錄…………………………………………………………..………….................…………42
四、與世界同步景氣循環或分離景氣循環—以台灣與韓國為例……………......................….43
4.1前言.....................................................................................................................43
4.2文獻回顧...............................................................................................................45
4.3實證模型...............................................................................................................46
(1)動態因子模型.......................................................................................................46
(2)因子擴充向量自迴歸模型……………………..……………………….........................….48
(3)結構向量自迴歸模型（以下簡稱SVAR模型）……….………………......................…..49
4.4實證結果…………………………………………………………………......................……49
(1) 資料說明......................................................................……………..……………...49
(2) 動態因子萃取...……………………………………………..……….....................……...50
(3) SFAVA模型估計……………………..…………………………………..........................50
4.5貿易開放與跨國景氣同步性變化結論……………………......................…………………55
(1) 分期觀察…….......................……………………………………………………………...55
(2) 經濟整合程度驗證…….......................…………………………………………………...57
4.6 結論…...…………….....................…………………………………………………………62
參考文獻………………................…………………………………………………………..64
五、結論…………………………………..................…………………………………………....66

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