| 期刊詳細資料 Journal detailed information |
| 作者(Author) | Chen, Shu-Ling, Chao-Hsi Huang, and Yu-Lieh Huang |
| 篇名(Article title) | International Economic Linkages between Taiwan and the World: A Global Vector Autoregressive Approach |
| 期刊名(Journal name) | Academia Economic Papers (經濟論文) |
| 國際期刊(International Journal) | Econlit, TSSCI |
| 中文摘要(Abstrct) | 本文主要是利用 Pesaran et al. (2004) 以及 Dees et al. (2007) 所設定的GVAR (global vector autoregression) 模型來探討當台灣主要貿易國家 (例如美國、日本以及中國大陸) 發生外生衝擊時，透過各國之間彼此的貿易關聯，如何影響台灣國內總體經濟。不同於現有文獻，GVAR 模型因為多考量了國與國之間的關聯性，因此該模型可以更深入地去描述各國之間的經濟相關情況。而我們的實證結果也證實，相較於傳統的 VAR (vector autoregression) 模型，GVAR 模型所得到的結果比較合乎經濟理論的結果。 |
| ABSTRCT | This paper applies the global vector autoregressive (GVAR) model proposed by Pesaran et al. (2004) and Dees et al. (2007) to analyze how a shock to the economies of Taiwan’s major trading partners (such as U.S., Japan and China) affects Taiwan economy and the rest of the world. In contrast to existing literature on the standard vector autoregressive (VAR) model of Taiwan economy, our paper emphasizes the modeling of intricate interrelationships across economies in the world while evaluating the impacts of domestic and global shocks on Taiwan economy. Our results indicate that the performance of the GVAR model is encouraging in the sense that the effects of various macroeconomic shocks on core macro variables of interest are generally consistent with the predictions based on standard macroeconomic theory. |
| 中文關鍵字(Keyword) | |
| KEYWORD | global vector autoregressive (GVAR) model, international linkage, macroeconomy, Taiwan |
| 卷期(Volume No) | Vol. 40 No. 3 |
| 頁數(Page number) | pp. 343~375 |
| 年份(Year) | 2012 |
| 語言(Language) | 英文 English |