摘 要

隨著全球化時代的來臨，不論是商品市場或是金融市場的往來都使各國的經濟活動愈趨密切，了解國家之間景氣循環的關連性儼然成為執政者不可或缺的習題，不僅要以國內的經濟情況做為決策的依據，也應將國際情勢列入考量，以更有效地穩定經濟波動。因此，研究跨國景氣循環相關性有其重要的意義。
本文以1993年歐洲聯盟（EU）成立時間為分水嶺，將研究的樣本期間區隔成兩個子樣本： 1965年第1季至1992年第4季、1993年第1季至2006年第4季，觀察七大工業國景氣循環相關性在歐洲整合前後的變化。研究方法上先運用單根檢定，確定皆為同階定態數列之後，再進行Johansen共整合檢定，觀察數列之間是否存在共整合關係。而在考慮長期資訊下，將誤差修正項加入模型中，以建構向量誤差修正模型（Vector Error Correction Model , VECM）加以討論G7景氣波動之間的短期互動情形與長期均衡關係。
實證結果指出，美國與同為英語系國家的加拿大之經濟成長，在歐盟成立後轉趨為正向相關；而美國經濟成長對位在歐洲的其他G7國家，則是由歐盟成立前的正向相關轉變為無顯著的關係存在，另一方面，歐盟經濟成長對位在歐洲的法國、德國、義大利、英國經濟成長的關係，則是在歐盟成立後轉變為顯著的正向相關，皆顯示七大工業國景氣循環區域化現象的浮現。而在具有共整合關係之下，各國景氣循環短期可能因衝擊產生短暫的偏離，但長期仍會回復到均衡狀態。

Abstract

With the processing of globalization and the large increases in international trade and openness, it is important to capture the business cycle correlation with the intimate countries for government to make better policies and keep the economy steady.

This study investigated the changes in relationships between the G7 business cycle after the European integration. Choosing 1993 the Europe Union (EU) commencement as the segment, we separated the sample period into 1965:1-1992:4 and 1993:1-2006:4.We adopted kinds of unit root tests to exam if these variables were stationary and the Johansen co-integration analysis to test whether the stationary long-run equilibrium exist or not. With the consideration of long run information, the Vector Error Correction Model (VECM) was applied to study the relationship between the business cycles of United State, EU and the other G7 countries.

By Johansen co-integration analysis, we found that the stationary long-run relationship did exist between their industrial productions（IP）. In addition, the VECM evidence supported the emergence of two cyclically coherent groups -- the Euro-zone and the English-speaking countries -- after the EU commencement in 1993. In conclusion, with the greater correlation of business cycles, the party in office should take account of the business cycle movement of the closed countries more deliberately in this regionalization era.

目 錄
第一章 緒論
第一節 研究動機 ………………………………… 1
第二節 研究目的 ………………………………… 2

第二章 文獻回顧
第一節 封閉體系下的景氣循環 ………………… 4
第二節 國際景氣循環 ………………………… 5
第三節 向量誤差修正模型之文獻回顧 ………… 11

第三章 研究方法
第一節 單根檢定 ………………………………… 14
第二節 共整合檢定 …………………………………………………… 20
第三節 向量誤差修正模型 ………………………………………………… 26

第四章 實證結果與分析
第一節 資料來源說明 …………………………… 29
第二節 單根檢定與最適落後期數選取 ………… 31
第三節 Johansen共整合檢定 …………………… 39
第四節 向量誤差修正模型之分析 ……………… 42

第五章 結論與建議
第一節 結論 ……………………………………… 49
第二節 建議 ……………………………………… 50

參考文獻
Ahmed, Shaghil; Levin, Andrew and Wilson, Beth “Recent U.S. Macroeconomic Stabiity: Good Policies, Good Practices, or Good Luck?” Review of Economics and Statistics, 2004, 86(3): 824-32
Akaike, Hirotugu “Likelihood of Model and Information Criteria.” Journal of Economics, 1981, 16(1): 3-14
Artis, Michael; Kontelemis, Zenon and Osborn, Denise “Business Cycles for G7 and European Countries.” Journal of Business, 1997, 70(2): 249-79
Artis, Michael and Zang, Wenda “International Business Cycles and the ERM: Is There A European Business Cycle?.” International Journal of Finance and Economics, 1997, 2(1):1-16
Bai, Jushan and Perron, Pierre “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica, 1998, 66(1): 47-78
Baxter, Marianne and Kouparitsas, Michael “Trade Structure, Industrial Structure, and International Business Cycles.” American Economic Review, 2003, 93(2): 51-56
Bayoumi, Tamim and Helnling, Thomas “Are They All in the Same Boat? The 2000-2001 Growth Slowdown and the G-7 Business Linkages.” 2003, International Monetary Fund, IMF Working Papers: 03-46
Blanchard, Olivier “A Traditional Interpretation of Macroeconomic Fluctuations.” American Economic Review, 1989, 79(5): 1146-64
Blanchard, Olivier and Simon, John “The Long and Large Decline in U.S. Output Volatility.” Brookings Papers on Economic Activity, 2001, 1: 135-64
Canova, Fabio and Dellas, Harris “Trade Interdependence and the International Business Cycle.” Journal of International Economics, 1993, 34(1-2): 23-47
Canova, Fabio and Jane, Marrinan “Sources and Propogation of International Output Cycles: Common Shocks or Transmission?” Journal of International Economics, 1998, 46(1): 133-166
Chang Koying; Larry Filer and Ying Yung-Hsiang “A Structural Decomposition of Business Cycles in Taiwan.” China EconomicReview, 2002, 13(1): 53-64
Dickey, David and Fuller, Wayne “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association, 1979, 74(366): 427-31
Dickey, David and Fuller, Wayne “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 1981, 49(4): 1057-1072
Doyle, Brian and Faust, Jon “An Investigation of Co-movements among the Growth Rate of the G-7 Countries.” Federal Reserve Bulletin, 2002, 427-437
Doyle, Brian and Faust, Jon “Breaks in the Variability and Co-movement of G-7 Economic Growth.” Review of Economics and Statistics, 2005, 87(4): 721-40
Engle, Robert and Granger, Clive “Co-integration and Error Correction: Representation, Estimation, and Testing.” Econometrica, 1987, 55(2): 251-76
Fiess, Norbert “Business Cycle Synchronization and Regional Integration: A Case Study for Central America.” The World Bank, 2005, Policy Research Working Paper Series: 3584
Frankel, Jeffrey and Rose, Andrew “The Endogeneity of the Optimum Currency Area Criteria.” The Political Economy of Monetary Union, 2001, 230-46
Granger, Clive “Equilibrium, Causality and Error-Correction Models.” Economic Notes, 1987, 1: 5-21
Granger, Clive and Newbold, Paul “Spurious Regressions in Econometrics.” Journal of Econometrics, 1974, 2(2): 111-20
Gregory, Allan and Head, Allen “Common and Country-Specific Fluctuations in Productivity, Investment, and the Current Account.” Journal of Monetary Economics, 1999, 44(3): 423-51
Gregory, Allan; Head, Allen and Raynauld, Jacques “Measuring World Business Cycles.” International Economic Review, 1997, 38(3): 677-701
Heahtcote, Jonathan and Fabrizio, Perri “Why Has the U.S. Economy Becomes Less Correlated with the Rest of the World?” The American Economic Review, 2003, 93(2): 63-69
Hendry, David and Mizon, Grayham “Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.” Economic Journal, 1978, 88(351): 549-63
Imbs, Jean “Technology, Growth and the Business Cycle.” Journal of Monetary Economics, 1999, 44(1): 65-80
Inklaar, Robert and de Haan, Jakob “Is There Really A European Business Cycle?: A Comment.” Oxford Economic Papers, 2001, 53(1): 215-220
Johansen, Soren and Juselius, Katarina “Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics, 1990, 52(2): 169-210
Kim, Chang-Jin and Nelson Charlse “Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle.” Review of Economics and Statistics, 1999, 81(4): 608-16
King, Robert and Plosser, Charles “Money, Credit, and Prices in a Real Business Cycle.” American Economic Review, 1984, 74(3): 363-80
Kose, Ayhan; Otrok, Christopher and Whiteman, Charles “International Business Cycles: World, Region, and Country-Specific Factors.” American Economic Review, 2003, 93(4): 1216-39
Kouparitsas, Michael “Understanding U.S. Regional Cyclical comovement: How Important Are Spillovers and Common Shocks?” Federal Reserve Bank of Chicago Economic Perspectives, 2002, 26(4): 30-41
Krugman, Paul “The Narrow and Broad Arguments for Free Trade.” American Economic Review, 1993, 83(2): 362-66
Larsson, Rolf; Lyhagen, Johan and Lothgren, Mickael “Likelihood-Based Cointegration Tests in Heterogeneous Panels.” Econometrics Journal, 2001, 4(1): 109-42
Long, John and Plosser, Charles “Real Business Cycles.” Journal of Political Economy, 1983, 91(1): 39-69
Lucas, Robert “Methods and Problems in Business Cycle Theory.” Journal of Monetary, Credit and Banking, 1980, 12(4): 696-715
Luginbuhl, Rob and Koopman, Siem “Convergence in European GDP Series: A Multivariate Common Converging Trend-Cycle Decomposition.” Journal of Applied Econometrics, 2004, 19(5): 611-36
Lumsdaine, Robin and Prasad, Eswar “Identifying the Common Component of International Economic Fluctuation: A New Approach.” The Economic Journal, 2003, 113(484): 101-27
McConnell, Margaret and Perez-Quiros, Gabriel “Output Fluctuations in the United States: What Has Changed since the Early 1980's?” American Economic Review, 2000, 90(5): 1464-76
Newey, Whitney and West, Kenneth “Hypothesis Testing with Efficient Method of Moments Estimation.” International Economic Review, 1987, 28(3): 777-87
Newey, Whitney and West, Kenneth “A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 1987, 55(3): 703-08
Norrbin, Stefan and Schlagenhauf, Don “The Role of International Factors in the Business Cycle: A Multi-Country Study.” Journal of International Economics, 1996, 40(1-2): 85-104
Perez, Pedro; Osborn, Denise and Artis, Michael “The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7” Open Economies Review, 2006, 17(3): 255-79
Sims, Christopher “Are Forecasting Models Usable for Policy Analysis?” Federal Reserve Bank of Minneapolis Quarterly Review, 1986, 10(1): 2-16
Stock, James and Watson, Mark “Has the Business Cycle Changed and Why?”NBER Macroeconomics Annual, Cambridge and London: MIT Press, 2003, 17: 159-218
Stock, James and Watson, Mark “Understanding Changes in International Business Cycle Dynamics.” Journal of the European Economic Association, 2005, 3(5): 968-1006
van Dijk, Dick; Osborn, Denise and Sensier, Marianne “Testing for Causality in Variance in the Presence of Breaks.” Economics Letters, 2005, 89(2): 193-99
Zestos, George and Tao, Xiangnan “Trade and GDP Growth: Causal Relations in the United States and Canada.” Southern Economic Journal, 2002, 68(4): 859-74