消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：31

、訪客IP：3.141.0.61

姓名

劉南宏(Nan-Hung Liu) 查詢紙本館藏

畢業系所

經濟學系

論文名稱

消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用

相關論文

★ 股票市場報酬與波動性外溢效果分析	★ 中國大陸勞動合同法與企業所得稅法對台商的衝擊與因應
★ 結構FAVAR模型與台灣貨幣政策分析	★ 通貨膨脹率預測:考慮結構變動之動態因子模型應用
★ 匯率因子與市場基要之預測表現	★ 台灣大小公司報酬與流動性之實證研究
★ 台灣外匯暨股票市場流動性與景氣循環關係之探討	★ 台灣經濟成長率之混合頻率預測-MIDAS迴歸應用
★ 油價對匯率預測能力之分析	★ 重新驗證遠期匯率不偏性假說: Bonferroni Q 檢定之應用
★ 台灣期貨市場處份效果之研究	★ 寡占廠商成本歧異下之最適產業與貿易政策
★ The Macroeconomic Effects of Foreign Direct Investment	★ 平行輸入、仿冒與服務品質
★ 經濟成長、消費者信心與銀行風險	★ 台灣動態隨機一般均衡模型之實證研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

消費財富效果, 一直是財務與總體經濟所關心的研究議題, 過去的文獻都發現財富上顯著的變動會在當期或是未來影響消費者支出的變動。不同於傳統的看法, Lettau and Ludvigson (2004) 卻認為家計資產財富的變動只有很小的比例跟總消費支出有關。最主要的原因是, 以往的文獻在探討消費跟財富間的關係時, 未將財富中的趨勢成分 (trend) 跟波動成分 (cycle) 分開, 導致估計結果都誇大了財富的變動對消費的影響。但由於 Lettau and Ludvigson (2004) 用共整合方法與誤差修正模型探討消費與財富之間的關係時, 未考慮均衡誤差修正的非對稱動態過程, 因此在探討消費財富效果時, 除了須了解趨勢與波動在消費財富效果中所扮演角色的重要性外, 進一步應用非線性調整機制模型探討消費與財富間的關係更是值得探究的課題。因此本文採 Camacho (2005) 的馬可夫轉換共同趨勢模型 (MS-CTM), 將序列分解成恆常性因子與暫時性因子, 且均因景氣循環而有不對稱現象。擬重新檢驗在考慮了均衡誤差修正不對稱的情況下消費與財富之間的關係。實証結果顯示, 在考慮了均衡誤差修正不對稱的情況下, 消費大部分的變動是來自於恆常性衝擊, 而財富大部分的變動是來自於暫時性衝擊, 與 Lettau and Ludvigson (2004) 的觀點一致, 消費的變動主要是受到恆常性衝擊的影響, 與大部分變動來自於暫時性衝擊的財富無關。

摘要(英)

The empirical linkage between wealth and consumption is a classic research problem at the intersection of finance and macroeconomics. Conventional estimates are find that significant movements in wealth will be associated with movements in consumer spending, either contemporaneously or subsequently. Contrary to conventional wisdom, Lettau and Ludvigson (2004) find that a surprisingly small fraction of the variation in household net worth is related to variation in aggregate consumer spending. They argue that conventional estimates do not distinguish trend from cycle in asset values. Therefore it leads to estimates of the wealth effect greatly overstate the
response of consumption to a change in wealth. Lettau and Ludvigson (2004) use cointegration approach and error correction model to discuss the consumption-wealth relationship. But they did not consider the assymmetry in the dynamics of the equilibrium errors. For this purpose, we use the Markov-switching common trends model of Camacho (2005). This leads to a decomposition of the series into permanent and transitory components that behave asymmetrically within the business cycles. We find that consider the assymmetry in the dynamics of the equilibrium errors, most variation in consumption is dominated by permanent shocks, but most variation in
household net worth is generated by transitory innovations. Finally, in line with Lettau and Ludvigson (2004), we find most changes in wealth are transitory and are uncorrelated with consumption.

關鍵字(中)

★ 消費財富效果
★ 馬可夫轉換共同趨勢模型
★ 非線性誤差修正

關鍵字(英)

★ Markov-switching common trends model
★ Non-linear error correction
★ Wealth effect on consumption

論文目次

1 緒論 1
1.1 研究動機與目的--------------------------------------1
2 文獻回顧 5
3 研究方法 7
3.1 馬可夫轉換基本概念----------------------------------7
3.1.1 馬可夫鏈性質-------------------------------------8
3.1.2 當期機率與全期機率------------------------------10
3.2 馬可夫轉換模型-------------------------------------11
3.2.1馬可夫轉換向量自我迴歸模型-----------------------13
3.2.2馬可夫轉換共同趨勢模型---------------------------14
3.2.3 參數估計----------------------------------------16
4 實證結果分析 17
4.1 資料說明-------------------------------------------17
4.2 初步資料分析---------------------------------------19
4.2.1 單根檢定----------------------------------------19
4.2.2 共整合檢定--------------------------------------21
4.3 均衡誤差的不對稱-----------------------------------23
4.4馬可夫轉換共同趨勢模型------------------------------27
4.4.1 實證模型與估計結果------------------------------27
4.5 預測誤差變異數分解---------------------------------31
5 結論與建議 34
References 36

參考文獻

Balke, N. and Fomby, T. (1997). Threshold cointegration. International Economic
Review, 38(3), pp. 627-645.
Bernanke, Ben S. and Gertler, Mark. (2001). Should Center Banks Respond to Move- ments in Asset Prices? American Economic Review, 91(2), pp. 253-257.
Caballero, J. and Hammour, M. (1994). The cleansing effect of recessions. American
Economic Review, 84, pp. 1350-1368.
Camacho, M. (2005). Markov-Switching Stochastic trends and economic fluctuations.
Journal of Economic Dynamics and Control, 29, pp. 135-158.
Ehrmann, M. (2000). Firm size and monetary policy transmission: evidence from
German business survey data. ECB working Paper 21.
Ehrmann, M. Elison, M. and Valla, N. (2001). Regime-dependent impluse response functions in a Markov-switching vector autoregression model. Bank of Finland Working Paper No. 11.
Ehrmann, M. Elison, M. and Valla, N. (2003). Regime-dependent impluse response functions in a Markov-switching vector autoregression model. Economics Letters, pp. 295-299.
Enders, W. and Siklos, P. (2001). Cointegration and Threshold Adjustment. Journal
of Business and Economic Statistics, 19, pp. 166-177.
Engle, R. F.. and C. W. J. Granger. (1987). Co-integration and Error-Correction: Representation, Estimation and Testing. Econometrica, 55, pp. 251-276.
Francis, N. and Owyang, M. (2003). Asymmetric Common Trends: An Application of Monetary Policy in Markov-Switching VECM. Federal Reserve Bank of St. Louis Working Paper 2003-001B.
Gordon, Robert J. (1993). Macroeconomics, 6th Ed. New York: HarperCollins.
Garcia, R. and Schaller, H. (2002). Are the Effects of Monetary Policy Asymmetric?
Economic Inquiry, 40, pp. 102-119.
Gonzalo, Jesus and Ng, Serena. (2001). A Systematic Framework for Analyzing the
Dynamic Effects of Permanent and Transitory Shocks. Journal of Economic Dy- namics and Control, 25(10), pp. 1527-1546.
Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary
Time Series and the Business Cycle. Econometrica, 57, pp. 357-384.
Johansen, Soren. (1991). Estimation and Hypothesis Testing of Cointegration Vectors
in Gaussian Vector Autoregressive Models. Econometrica, 56(6), pp. 1551-1580.
Kim, C.-J. and Piger, J. (2002). Common Stochastic Trends, Common Cycles, and
Asymmetry in Economic Fluctuations. Journal of Monetary Economics, 49, pp.
1189-1211.
Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statis- tical Inference and Application to Business Cycle Analysis. Lecture Notes in Economics and Mathematical Systems, 454. Springer, Berlin.
Krolzig, H.-M. (1999). Statistical Analysis of Cointegrated VAR Processes with Marko- vian Regime Shifts. Mimeo, University of Oxford.
Krolzig, H.-M. and Toro, J. (1999). A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment. European University Institute Working Paper NO. 99/30.
Krolzig, H.-M., Marcellino, M. and Mizon, G. (2002). A Markov-Switching Vector
Equilibrium Correction Model of the UK Labour Market. Empirical Economics,
27, pp. 233-254.
Lettau, Martin and Ludvigson, Sydney C. (2004). Understanding Trend and Cycle
in Asset Values: Reevaluating the Wealth Effect on Consumption. American
Economic Review, 94(1), pp. 276-299.
Ludvigson, Sydney C. and Steindel, Charles. (1999). How Important Is the Stock
Market Effect on Consumption? FRBNY Economic Policy Review, 5(2), pp.
29-51.
Mehra, Y. P. (2001). The Wealth Effect in Empirical Life-Cycle Aggregate Consump- tion Equations. Federal Reserve Bank of Richmond Economic Quarterly, 87(2), pp. 45-68.
Modigliani: Franco. (1971). Consumer Spending and Monetary Policy: The Linkages.
Federal Reserve Bank of Boston Conference: 5: pp. 9-84.
Nelson: Charles R.: and Charles I. Plosser. (1982). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications. Journal of Mon- etary Economics: 10: pp. 139-162.
Paap: R. and van Dijk: H.K. (2003). Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to US Consumption and Income. Journal of Business and Economics Statistics: 21: pp. 547-563.
Peel: D. and Davidson: J. (1998). A Non-Linear Error Correction Mechanism Based on the Bilinear Model. Economics Letters: 58: pp. 165-170.
Poterba: James M. (2000). Stock Market Wealth and Consumption. Jornal of Eco- nomic Perspectives: 14(2): pp. 99-118.
Psaradakis: Z.: Sola: M. and Spagnolo: F. (2001). On Markov Error-Correction Mod- els. Mimeo: School of Economics: Mathematics and Statistics: Brikbeck College: London.
Rothman: P.: van Dijk: D. and Franses: P. (2001). A Multivariate Analysis of the
Relationship between Money and Output. Macroeconomic Dynamics: 5: pp. 506-
532.
Stock: J. and Watson: W. (1988). Testing for Common Trends. Journal of the Royal
Statistical Association: 83(404): pp. 1097-1107.
van Dijk: D. and Frances: P. (2000). Nonlinear Error-Correction Models for Inter-
est Rates in the Netherlands • In: Barnett: W.A.: Hendry: D.F.: Hylleberg: S.: Tera¨svirta: T.: Tjøstheim: D.: Wu¨rtz: A. (Eds.): Nonlinear Econometric Modelling- Proceedings of the Sixth (EC) 2nd Meeting. Cambridge University Press: Cam- bridge: pp. 203-227.

指導教授

徐之強(Chih-chiang Hsu)

審核日期

2007-6-25

推文