Identifying the Turning Points of Business Cycles and Forecasting Real GNP Growth Rates in Taiwan
Resource
經濟論文叢刊, 26(4), 431-457
Journal
經濟論文叢刊
Journal Volume
26
Journal Issue
4
Pages
431-457
Date Issued
1998-12
Date
1998-12
Author(s)
Abstract
In thsi paper we analyze business cycles in Taiwan usign real GNP data. We first examine the effects of different time trend specifications on turning point identification. A two-state Markov switching model is then employed to characterize the annual growth rate of real GNP. The empirical results suggest that this model is suitable for identifying the troughs of Taiwan's business cycles. The Markov switching model also compares favorably with linear time series models in outof-sample predictions.
Subjects
實質國民生產毛額
馬可夫轉換模型
景氣循環
轉折點
Business cycles
Markov switching model
Real GNP
Turning points
Type
journal article
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