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博碩士論文 etd-0716112-205338 詳細資訊
Title page for etd-0716112-205338
論文名稱
Title
經濟週期大緩和現象之成因分析-以法國為例
The Analysis of the Great Moderation in France
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
50
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2012-06-21
繳交日期
Date of Submission
2012-07-16
關鍵字
Keywords
馬可夫轉換模型、大緩和、隨時間變動自我迴歸模型、變異數分解、Hodrick-prescott濾波
Markov switching model, Hodrick-prescott filter, Variance Decomposition, Great Moderation, Time varying structural vector autoregression model
統計
Statistics
本論文已被瀏覽 5800 次,被下載 1219
The thesis/dissertation has been browsed 5800 times, has been downloaded 1219 times.
中文摘要
大緩和現象即為一國之總體經濟活動波動呈現趨緩的現象,在此依Kim and Nelson (1999)、Summers and Smith (2007)的研究,使用GDP來代表總體經濟活動。本文以馬可夫轉換模型找出法國大緩和現象發生的時間點,並參考Primiceri (2004)的隨時間變動自我迴歸模型為分析方法,探討可能與產生法國大緩和現象有關的變數與GDP的互動關係。
Abstract
The Great Moderation means the reduction in the volatility of aggregate economic activity and here we use GDP growth rate to stand for economic activity. In this paper, we apply a Markov switching model to estimate the timing of the Great Moderation in France. Subsequently, by using a Time-varying structural vector autoregression model to determine which are the main variables that cause the reduction of French GDP growth rate and to see the relationship of these variables we choose.
目次 Table of Contents
目 錄
摘要............................................................................................................. i
謝詞........................................................................................................... iii
目錄............................................................................................................iv
圖次.............................................................................................................v
表次............................................................................................................ v
第一章 緒論...............................................................................................................1
第一節 研究動機...............................................................................................2
第二節 研究目的...............................................................................................4
第三節 研究背景...............................................................................................5
第二章 文獻回顧.....................................................................................................12
第一節 大緩和現象...........................................................................................12
第二節 大緩和現象可能發生的原因...............................................................13
第三章 研究方法.....................................................................................................18
第一節 馬可夫轉換模型.................................................................................18
第二節 Hodrick-prescott濾波.......................................................................20
第三節 隨時間變動的結構向量自我相關模型.............................................21
第四章 實證結果.....................................................................................................23
第一節 資料來源.............................................................................................23
第二節 資料說明.............................................................................................23
第三節 馬可夫轉換.........................................................................................25
第四節 隨時間變動的結構向量自我相關模型.............................................28
第五章 結論.............................................................................................................36
參考文獻.....................................................................................................................38
附錄.............................................................................................................................41

圖次

圖(一) 法國1966-1979年通膨趨勢.........................................................................8
圖(二) 法國1974年至1984年的失業率.....................................................................9
圖(三) 1981-1984法國通貨膨脹率及法郎匯率.....................................................10
圖(四) 法國GDP成長率呈高波動之機率圖..........................................................27
圖(五) 法國GDP H-P濾波分解...........................................................................29
圖(六) 法國通貨膨脹率 H-P濾波分解................................................................30
圖(七) 國際油價 H-P濾波分解............................................................................30
圖(八) 法國存貨變動率 H-P濾波分解................................................................30
圖(九) 隨時間變動的GDP係數圖.........................................................................33
圖(十) 法國通貨膨脹趨勢......................................................................................34

表次

表(一) G7國家平均經濟成長率及經濟成長率標準差..........................................2
表(二) 法國、德國、美國戰後平均經濟成長率(%).............................................6
表(三) 代表大緩和潛在成因的變數(樣本期間).............................................24
表(四) 法國GDP的變異數分解...........................................................................31
表(五) 單根檢定表-法國實質GDP循環項............................................................41
表(六) 單根檢定表-通貨膨脹率循環項................................................................41
表(七) 單根檢定表-國際油價循環項....................................................................42
表(八) 單根檢定表-存貨變動循環項....................................................................42
參考文獻 References
中文參考文獻:
1.吳圳義(1995),《法國史》,台北:三民書局。
2.沈堅(2001),《當代法國》,貴州:貴州人民出版社。
3.金重遠(2004),《二十世紀的法蘭西》,上海:復旦大學出版社。
4.陳旭昇(2009),《時間序列分析-總體經濟與財務金融之應用》,台北,東華書局
5.經濟部投資業務處(2011),《法國投資環境簡介》,台北,經濟部

英文參考文獻:
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2.Bernanke Ben S. (2004), “The Great Moderation,” Speech at the meetings of the Eastern Economic Association, Washington, D.C., February 20. http://www.federalreserve.gov/boarddocs/speeches/2004/20040220/default.htm.

3.Blanchard, Olivier, and John Simon. (2001), “The Long and Large Decline in U.S. Output Volatility,” Brookings Papers on Economic Activity,no.1, pp. 135–64.

4.Burns, Arthur F. (1960), “Progress Towards Economic Stability, ” American Economic Review, 50(1), 1-19.

5.Clarida, Richard, Jordi Gali, and Mark Gertler. (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly Journal of Economics, 115(1): 147-80.

6.Crafts Nicholas, Gianni Toniolo. (1996), “Economic Growth in Europe since 1945,”Cambridge University Press,210-239.

7.Davis Steven J. and James A. Kahn. (2008), “Interpreting the Great Moderation:
Changes in the Volatility of Economic Activity at the Macro and Micro Levels” Journal of Economic Perspectives,Volume 22, Number 4,P155–180

8.Diebold, Francis X. and Glenn D. Rudebusch. (1992), “Have Postwar Economic Fluctuations Been Stabilized? ”American Economic Review, Vol. 82, No. 4, 993-1005.

9.Hamilton, James, (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, ” Econometrica, Vol. 57, No. 2, 357-384.

10.Irvine, F. Owen, and Scott Schuh. (2005), “The Roles of Comovement and Inventory Investment in the Reduction of Output Volatility.” Federal Reserve Bank of Boston Working Paper, 05-9.

11.Kahn James A. (1987), “Inventories and the Volatility of Production,” American Economic Review, 77(4): 667–79.

12.Kahn James A., Margaret McConnell, and Gabriel Perez-Quiros. (2002), “On the Causes of the Increased Stability of the U.S. Economy,” Federal Reserve Bank of New York Economic Policy Review, 8(1): 183–202.

13.Kahn James A. (2008), “Durable Goods Inventories and the Great Moderation,” Federal Reserve Bank of New York, Staff Report 325.

14.Kim, Chang-Jin. (1994), “Dynamic linear models with Markov-switching,” Journal of Econometrics, 60, l-22.

15.Kim, Chang-Jin and Charles Nelson. (1999),“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, 81(4): 608–16.

16.McConnell, Margaret, and Gabriel Perez-Quiros. (2000), “Output Fluctuations in the United States: What Has Changed since the Early 1980s?,” American Economic Review, 90(5): 1464–76.

17.Maccini, Lewis J., Bartholomew J. Moore, and Huntley Schaller. (2004), “The Interest Rate, Learning, and Inventory Investment.” The American Economic Review, 94(5): 1303–27.

18.McCarthy, Jonathan, and Egon Zakrajsek. (2007), “Inventory Dynamics and Business Cycles: What Has Changed?” Journal of Money, Credit and Banking, 39(2–3): 591–613.

19.Mills, Terence C and Ping Wang. (2003), “Have output growth rates stabilised? Evidence from the G-7 economies, ” Scottish Journal of Political Economy, Vol. 50, No. 3:232-245.

20.Primiceri, Giorgio E. (2004), “Time Varying Structural Vector Autoregressions and Monetary Policy,” The Review of Economic Studies, 72, July 2005, pp. 821-852

21.Romer, Christina, and David Romer. (2002a), “A Rehabilitation of Monetary Policy in the 1950’s.” American Economic Review, 92(2): 121–27.

22.Romer, Christina, and David Romer. (2002b), “The Evolution of Economic Understanding and Postwar Stabilization Policy.” In Rethinking Stabilization Policy, 11–78. Federal Reserve Bank of Kansas City.

23.Summers, Peter M. (2005), “What Caused The Great. Moderation? Some Cross Country Evidence,” Federal reserve bank of Kansas city Economic review, Third quarter 2005:p.5-32.

24.Smith, Penelope and Summers, Peter M. (2007), “What caused the Great Moderatio ?: international evidence from a regime switching model with time-varying transition probabilities,” webpages.ttu.edu.

25.Stock, James H., and Mark W. Watson. (2003), “Has the Business Cycle Changed and Why?” in Mark Gertler and Kenneth Rogoff, eds., National Bureau of Economic Research, Macroeconomics Annual 2002. Cambridge, Mass.: MIT Press.

26.Stock, James H., and Mark W. Watson (2005), “Understanding Changes in
International Business Cycle Dynamics,” Journal of the European Economic Association,MIT Press, vol. 3(5), pages 968-1006, 09.
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