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研究生:陳怡心
研究生(外文):Yi-Shin Chen
論文名稱:七大工業國景氣循環相關性之研究
論文名稱(外文):The Study of G7 Business Cycle Correlation
指導教授:印永翔印永翔引用關係
指導教授(外文):Yung-hsiang Ying
學位類別:碩士
校院名稱:國立中山大學
系所名稱:中山學術研究所
學門:社會及行為科學學門
學類:政治學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:62
中文關鍵詞:景氣循環共整合向量誤差修正模型七大工業國
外文關鍵詞:Vector Error Correction Modelco-integrationbusiness cycleG7
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摘 要

隨著全球化時代的來臨,不論是商品市場或是金融市場的往來都使各國的經濟活動愈趨密切,了解國家之間景氣循環的關連性儼然成為執政者不可或缺的習題,不僅要以國內的經濟情況做為決策的依據,也應將國際情勢列入考量,以更有效地穩定經濟波動。因此,研究跨國景氣循環相關性有其重要的意義。
本文以1993年歐洲聯盟(EU)成立時間為分水嶺,將研究的樣本期間區隔成兩個子樣本: 1965年第1季至1992年第4季、1993年第1季至2006年第4季,觀察七大工業國景氣循環相關性在歐洲整合前後的變化。研究方法上先運用單根檢定,確定皆為同階定態數列之後,再進行Johansen共整合檢定,觀察數列之間是否存在共整合關係。而在考慮長期資訊下,將誤差修正項加入模型中,以建構向量誤差修正模型(Vector Error Correction Model , VECM)加以討論G7景氣波動之間的短期互動情形與長期均衡關係。
實證結果指出,美國與同為英語系國家的加拿大之經濟成長,在歐盟成立後轉趨為正向相關;而美國經濟成長對位在歐洲的其他G7國家,則是由歐盟成立前的正向相關轉變為無顯著的關係存在,另一方面,歐盟經濟成長對位在歐洲的法國、德國、義大利、英國經濟成長的關係,則是在歐盟成立後轉變為顯著的正向相關,皆顯示七大工業國景氣循環區域化現象的浮現。而在具有共整合關係之下,各國景氣循環短期可能因衝擊產生短暫的偏離,但長期仍會回復到均衡狀態。
Abstract

With the processing of globalization and the large increases in international trade and openness, it is important to capture the business cycle correlation with the intimate countries for government to make better policies and keep the economy steady.

This study investigated the changes in relationships between the G7 business cycle after the European integration. Choosing 1993 the Europe Union (EU) commencement as the segment, we separated the sample period into 1965:1-1992:4 and 1993:1-2006:4.We adopted kinds of unit root tests to exam if these variables were stationary and the Johansen co-integration analysis to test whether the stationary long-run equilibrium exist or not. With the consideration of long run information, the Vector Error Correction Model (VECM) was applied to study the relationship between the business cycles of United State, EU and the other G7 countries.

By Johansen co-integration analysis, we found that the stationary long-run relationship did exist between their industrial productions(IP). In addition, the VECM evidence supported the emergence of two cyclically coherent groups -- the Euro-zone and the English-speaking countries -- after the EU commencement in 1993. In conclusion, with the greater correlation of business cycles, the party in office should take account of the business cycle movement of the closed countries more deliberately in this regionalization era.
目 錄
第一章 緒論
第一節 研究動機 ………………………………… 1
第二節 研究目的 ………………………………… 2

第二章 文獻回顧
第一節 封閉體系下的景氣循環 ………………… 4
第二節 國際景氣循環 ………………………… 5
第三節 向量誤差修正模型之文獻回顧 ………… 11

第三章 研究方法
第一節 單根檢定 ………………………………… 14
第二節 共整合檢定 …………………………………………………… 20
第三節 向量誤差修正模型 ………………………………………………… 26

第四章 實證結果與分析
第一節 資料來源說明 …………………………… 29
第二節 單根檢定與最適落後期數選取 ………… 31
第三節 Johansen共整合檢定 …………………… 39
第四節 向量誤差修正模型之分析 ……………… 42

第五章 結論與建議
第一節 結論 ……………………………………… 49
第二節 建議 ……………………………………… 50
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