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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/49732

    Title: 總體與財務時間序列中的趨勢、變化與景氣循環的波動 - 以經驗模態解構法觀點出發之比較與應用;On the Trend, Variability and Business Cycle Fluctuations in Macroeconomic/Financial Time Series - a New Empirical Model Decomposition Approach
    Authors: 葉錦徽
    Contributors: 財務金融學系
    Keywords: 研究領域:經濟學
    Date: 2011-08-01
    Issue Date: 2012-01-17 19:14:18 (UTC+8)
    Publisher: 行政院國家科學委員會
    Abstract: 本計畫包含了嘗試以Huang et al. (1998) 所提出的經驗模態解構法的新觀點重新驗証關於非定態非線性的總體財務時間序列中的解構、建模與預測的三個子計畫。計畫中除了述及過去兩篇文章中所初步發現的一些有趣結果外,計畫的目的主要在探究以下相關之課題: (1) 我們將比較EMD 與其他諸如Hodrick-Prescott、Band Pass 濾波器以及Beveridge-Nelson and unobservable component 解構法針對美國的實質GDP 所進行解構所得的趨勢-循環的差異,並且提出應用EMD 在認定轉折點的應用。(2) 將 EMD 的得以有效刻劃景氣的長處應用在國際景氣循環的認識與分析。尤其是其中國際景氣循環究竟如何相互影響、領先/落後的關係、以及檢視在各種頻率上的跨時期與跨域間的交互相關,都可以在本文的架構中顯現。 (3) 討論時間序列中動態的同步如何定義與認定。我們將從Liu (1990) 與Granger and Liu (1994) 對定態數列的討論開始,依循EMD 同時在時域與頻譜域皆擅場的架構下,進而擴及到非定態同時潛在性可能為非線性的時間序列上。 This proposal contains three sub-projects tries to adopt a new perspective and method, namely the Empirical Mode Decomposition (EMD) proposed by Huang et al. (1998), to reexamine the decomposition, modeling and forecasting of a non-stationary and potentially nonlinear macroeconomic time series. Besides some preliminary interesting results from our previous papers, the proposal shall concentrate on (1) comparing the trend-cycle decomposition of the EMD approach with the HP and BP filters with some remarks on the Beveridge-Nelson and unobservable component decompositions of the log post-war quarterly US real GDP and the issue of dating business turning points. (2) International business cycle synchronization:, we are in particular interested in which frequencies and how are those business cycle across borders being linked since our dynamic IMFs capture all international and intertemporal cross-correlation among the observed real log GDP. Sychronization test of the business cycle phases raised by Harding and Pagan will be examined. (3) Discuss the dynamic sychronization between series both in the time domain as well as in the frequency domain with the idea of sychronization between stationary series brought up by Liu (1990) and Granger and Liu (1994) and then generalize our discussions into the case of nonstationary time series with the framework under the EMD or Ensamble EMD decomposed series. 研究期間:10008 ~ 10107
    Relation: 財團法人國家實驗研究院科技政策研究與資訊中心
    Appears in Collections:[財務金融學系] 研究計畫

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