2012-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/678745摘要：自從美國2008 年爆發次貸危機以來, 低迷不振的消費者信心再度引起學界與政策制定者的注意, 並開始關心景氣衰退恐慌對於實質經濟波動與財務市場之影響。 本兩年期研究計畫將專注在景氣衰退恐慌與景氣波動以及財務市場之關係。第一年的研究重心將放在景氣循環研究。 透過 Probit 迴歸模型以及轉換機率因時而變的馬可夫轉換模型, 我將首先探討景氣衰退恐慌是否會提高經濟陷入衰退的機率。第二年的研究重心為景氣衰退恐慌對於財務市場的影響。我將以轉換機率因時而變的馬可夫轉換模型,研究股票市場是否會因為景氣衰退恐慌而落入空頭市場 (熊市) 。<br> Abstract: The persistent lack of consumer confidence since the 2008 US subprime crisis has attracted the attention of policymakers and macroeconomists alike, and has led to great concern about the impact of market pessimism on the economy. This two-year research project aims to investigate the impact of recession fears on economic fluctuations and financial markets. I will first examine whether the fears feed economic downturn. In particular, I will examine whether the fears of recession induce higher probability of switching to recession using a Probit regression model as well as a time-varying-transition-probability Markov switching model. In the second year, I will examine the link between lack of consumer confidence and stock returns during market fluctuations. Using a Markov-switching framework, I will examine whether the decreased confidence pushes the stock market into bear territory.景氣衰退恐慌次貸危機空頭市場recession fearssubprime crisisbear territory