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CDR current depth of recession

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CDR current depth of recession

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    1. ?????????CDR (current depth of recession)???? ????????? ?????? ?????? 98?4?17?

    2. 2 ? ?

    3. 3 I. ???????(Business Cycle) ???????????????????,????????????????????(Expansion),????????????(Contraction),??????????????????????????????????????????????????? - Burns & Mitchell, Measuring Business Cycles, 1946 ???(???)??????(??)????????

    4. 4 ???????

    5. 5 ??????(Classic Business Cycles) ???????????????? ????????,??????????? ????(Growth Cycles) ?????????????(deviation to trend)?????,?????????????(?????????????) ?????????????????,???????????? ?????????????????

    6. 6 ???????( ??? turning point ) ??????,?75???????,????????,????????? ???????,???????: ??????15?? ??(???)?????5?? ???????????????? ???????(??) ,?????????

    7. ???????????????????,?????????????,????????????????,????????????????????? ????????? (National Bureau Economic Research:NBER)?????,?????????????????????????,??????????,???????????(turning point)????,????????????? ???????

    8. ????????(??)???(?1945???)

    9. ???????,??????????(???)??????????????????,??????????? ?????????????92 ?????:(1)??GDP(?)?(2)???????(3)??????(4)??????(5)?????????(6)?????????(7)???????????(8)???(???)?8 ?????????????? ?????5 ??????????: (1)??GDP;(2)??????;(3)????????;(4)?????????????;(5)?????????? ???????

    10. ?????????? (Reference date of Taiwan business cycles) ?:??????(?11????12???)???????2009?03?20?? ????????? http://www.cepd.gov.tw/

    11. 11 ???????

    13. ???????????? Hamiliton(1989) ? Hussey(1992)?Beaudry and Koop(1993) ? Pedersen and Elmer(2003)? Henry et al.(2004)?Ocal(2006) ?????????????,???????????????(?????)

    14. ???????????? ????????,?????????????,????????????,??????????? ?????????????

    15. ???????????? ?????(parametric) : ?????(Markov Switching)??:??????????????? ??(Threshold)??:????????????

    16. ????????CDR CDR(current depth of recession)??Beaudry and Koop (1993)???????? ???????????(1947:1~1989:4;???) ?????????,??CDR=0?CDR>0???,??CDR = 0??????(???)??,?CDR>0???????????

    17. ????????CDR CDR?????:

    18. ????????CDR CDR?????,???????????????????????????????,????????????????,????CDR????,???????????????????????,?????????????,???????????; ??,???????????,???????????????,???????????????,??CDR???????

    19. ????????CDR

    20. CDR??????? ARMA ??, Beaudry and Koop (1993) p152.

    21. CDR???????(???) Koop, G., M. H. Pesaran, and S. M. Potter, (1996), “Impulse Response Analysis in Nonlinear Multivariate Models,” Journal of Econometrics, 74, 119-147. Bradley, M. D. and D. W. Jansen, (1997), “Nonlinear Business Cycle Dynamics: Cross-Country Evidence on the Persistence of Aggregate Shocks,” Economic Inquiry, 35, 495-509. Pesaran, M. H. and S. M. Potter (1997), “A Floor and Ceiling Model of Us Output,” Journal of Economic Dynamics and Control, 21, 661-695. Altissimo, F. and G. L. Violant, (2001), “The Nonlinear Dynamics of Output and Unemployment in the US,” Journal of Applied Econometrics, 16, 461-486.

    22. CDR???????(???) Koop, G.. and S. M. Potter (2001) “The Vector Floor and Ceiling Model” Henry, O. T., N. Olekalns, and J. Thong, (2004), “Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model,” Empirical Economics, 29, 527-540. Parker, R. E. and Rothman, P. (1998) "The Current Depth of Recession and Unemployment Rate Forecasts," Studies in Nonlinear Dynamics and Econometrics, 2(4), 151-158. Park, J.and Ratti, R.A. 2008), “Oil price shocks and Stock markets in the U.S. and 13 European Countries,” energy Economics, 30(5), 2587-2608.

    23. CDR???????(???) Lee, Y.M., K.M Wang and Y.C. Lin (2008), “The out-of-sample forecasts of nonlinear current depth of recession model of the output in United Kingdom,” Investment Management and Financial Innovations, 5(4), 211-220. Lee, Y.M, K.M. Wang and T. T.B. Nguyen (2008) “Modified CDR: A Common-Use Proxy for Business Cycle to the Asymmetric Causality between the Stock Returns and Economic Growth”, International Journal of Business and Economics, 7(2).,101-124?

    24. CDR???????(???) CDR???:New CDR;CDR1?CDR2 Bradley and Jansen(1997)??CDR??????????,????CDR??(?????)?????????,??CDR=0(?????)????????? ???CDR (New CDR;?? NCDR) ???,???CDR????????????????????? NCDR?????,???CDR????,??????????,NCDR=0,??????????CDR????????????,??????????????,?????????(??????)????????(?????????)??????

    25. CDR???????(???) CDR???:New CDR;CDR1?CDR2 Bradley and Jansen(1997)??????NCDR???CDR1 (???????????) ?CDR2(?????????);

    26. CDR???????(???) CDR???:New CDR;CDR1?CDR2 Bradley and Jansen (1997)??G7?????GDP????????,????1950:1(??)~1993:1(??)? ????:Bradley and Jansen (1997), p503

    27. CDR???????(???) In the model of Pesaran and Potter (1997), the variables CDR1t, OH1t are lagged and entered into a standard univariate nonlinear model for output with the exception that the error variance is allowed to vary across the three regimes. univariate model : where ?p(L) is a polynomial in the lag operator of order p.

    28. CDR???????(???) Altissimo and Violant(2001)????CDR???????????,????????????????CDR??????

    29. CDR???????(???) Koop, G.. and S. M. Potter (2001) (1) It is a nonlinear extension of a VAR. (2) It contains three major regimes which we label “Floor”, “Ceiling” and “Corridor” which can be thought of as relating to recessions, expansions and normal times. (3) Within the floor and ceiling regimes there are various sub-regimes. (4) Dynamics in the sub-regimes are modelled through variables which can be thought of as reflecting the current depth of recession and the amount of overheating in the economy.

    30. CDR???????(???) Koop, G.. and S. M. Potter (2001) where a is a k × 1 vector, Fp(L) is a pth order matrix polynomial in the lag operator, T1, T2 are k×k matrices, H0, H1, H2 are k×k matrices with a lower triangular structure (i.e. Si = Hi H0i is the error covariance in regime i, i=0, 1, 2) and CDRt-1 = (CDR1t-1, CDR2t-1, . . . ,CDR4t-1), OHt-1 = (OH1t-1,OH2t-1, . . .,OH4t-1), are K × 1 vectors. In the empirical work, K = 4

    31. CDR???????(???) Henry et al. (2004) ?????????????(??)????????????1982??2??2001??4????27???????,?????????(panel data)???????(Switch model),?????????????????? ?CDR??????????????,??????,???????????????

    32. CDR???????(???) Henry et al. (2004) ?CDR??????????????,??????,??????????????? Panel ??, Henry et al. (2004), p531 ????CDR??????????(CDR=0?CDR>0??),?????????????,?????????????????? Panel switching??, Henry et al. (2004), p536

    33. CDR???????(???) ??,??CDR?????????????; Henry, O. T. and Olekalns, N. (2002), “The effect of recessions on output variability and growth,” Southern Economic Journal 68(3), 683-692.

    34. CDR???????(???) ?CDR???: (1)????????????????,????????????CDR=0; (2)???????????????????,??????????,????????,?????????

    35. CDR???????(???) Modified CDR:MCDR??? ????: (1)??????????? (2)?MCDR????????,??????????????,????????(??) ?

    36. MCDR??? MCDR????CDR?????,??????????????

    37. MCDR??? ???CDR3?????????????????,??????????????,?????CDR3??????? CDR3???-1,???CDR3??????? MCDR:

    38. MCDR??? Lee, Y.M., K.M Wang and Y.C. Lin (2008), “The out-of-sample forecasts of nonlinear current depth of recession model of the output in United Kingdom,” Investment Management and Financial Innovations, 5(4), 211-220. ????:????????????,????MCDR ?CDR ?????,????(?)??GDP??????? ???????MCDR???? ??????????????DM(Diebold and Mariano, 1995) ???,??????( bootstraps method) ?

    39. MCDR??? Lee, Y.M, K.M. Wang and T. T.B. Nguyen (2008) “Modified CDR: A Common-Use Proxy for Business Cycle to the Asymmetric Causality between the Stock Returns and Economic Growth”, International Journal of Business and Economics, 7(2).,101-124. ???????:???????????????????? ??????????????,?MCDR???????????????????????,???????????????????????? ??????CDR?NCDR??MCDR????

    40. ?????

    41. MCDR??? Threshold VAR model:

    42. CDR?????? Parker, R. E. and Rothman, P. (1998) "The Current Depth of Recession and Unemployment Rate Forecasts," Studies in Nonlinear Dynamics and Econometrics, 2(4), 151-158. ?????(1949q3~1995q1)?????? ,???AR(2) ???????

    43. CDR?????? CDR????? Park, J.and Ratti, R.A. 2008), “Oil price shocks and Stock markets in the U.S. and 13 European Countries,” energy Economics, 30(5), 2587-2608. ??1986:1~2005:12??????????13???????????????,??????????????Hamilton(1996),??NOPI (Net Oil Price Increase) ??:

    44. 44 ? ? ? ? ? ? ? ?

    45. 45 ???????

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