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研究生:賴氏妙青
研究生(外文):Lai Thi Dieu Thanh
論文名稱:台灣信息技術產業經濟周期應用研究:馬爾科夫轉換模型
論文名稱(外文):A Study of Taiwan’s Information Technology Industry Business Cycle in Applying Markov-Switching Model
指導教授:徐憶文徐憶文引用關係
指導教授(外文):Y. W. Shyu
學位類別:碩士
校院名稱:長庚大學
系所名稱:工商管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:英文
論文頁數:64
中文關鍵詞:信息技術產業馬爾可夫轉換模型產業周期非宏觀經濟宏觀經濟
外文關鍵詞:Information Technology IndustryMarkov-switching modelIndustry cycleNon-macroeconomicMacroeconomic
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本文通過考察台灣信息技術產業 ITI 商業周期的決定因素,為商業 周期文獻做出貢獻。本研究採用 Hamilton 1989 提出的馬爾可夫轉 換模型 Markov-Switching model,MSM 對台灣技術企業產業經濟 周期進行分析。 MSM 將周期分解為兩個不同的狀態:高增長 HGS 和低增長 LGS) 。 HGS 的平均增長率為 117.2%,LGS 的平均增長 率為 1996 年 1 月至 2016 年 12 月期間的 2.25%。此外,處於高增長 狀態的可能性為 97.8%,而留在低增長狀態是 25.5%。 HGS 和 LGS 的預計持續時間分別為 46 和 2 個月。此外,本文調查了使台灣信息 技術產業處於高增長狀態的因素 非宏觀經濟和宏觀經濟變量 。實 證檢驗結果顯示,匯率變動,貨幣供給是保持台灣信息技術產業處於 高增長狀態的兩個關鍵因素,但通貨膨脹,利率,失業率的變化以及 GLOBALCRISIS 和 921EARTHQUAKE 不利的影響。
This paper contributes to the business cycle literature by examining determinants of the Taiwan Information Technology Industry (ITI) business cycle. This study uses a Markov-Switching model (MSM) proposed by Hamilton (1989) to analyze the Taiwanese technology firm industry business cycle. The MSM decomposes the cycle into two distinct states: high-growth (HGS) and low-growth (LGS). The mean growth rate of HGS is 117.2 percent and the average growth rate of LGS is 2.25 percent during the period from January 1996 to December 2016. Moreover, the probability of staying in high-growth state is 97.8 percent and the probability of remaining in the low-growth state is 25.5 percent. The expected duration of HGS and LGS are about 46 and 2 months, respectively. Further, the paper investigates the factors (non- macroeconomic and macroeconomic variables) that keep the Taiwan Information Technology Industry in the high-growth state. Empirical test results show that the change in exchange rate, money supply are the two key factors that keep the Taiwan Information Technology Industry in the high-growth state, but the change in inflation, interest rate, unemployment rate, and GLOBALCRISIS and 921EARTHQUAKE have had an adverse effect.
RECOMMENDA TION LETTER FROM THE THESIS ADVISOR .................................
THESIS/DISSERTATION ORAL DEFENSE COMMITTEE CERTIFICA TION ................
ACKNOWLEDGEMENTS...........................................................................................iii
中文摘要 ...................................................................................................................v
ABSTRACT............................................................................................................... vi
TABLE OF CONTENTS ............................................................................................ vii
LIST OF FIGURES .................................................................................................... ix
LIST OF TABLES.........................................................................................................x
CHAPTER I INTRODUCTION ......................................................................................1
1.1 Research Background ...........................................................................................1
1.1.1 Global IT Industry Overview ............................................................................1
1.1.2. Defining the Information Technology (IT) Industry........................................4
1.2. Research Motivation ...........................................................................................6
1.3. Research Structure ............................................................................................7
CHAPTER II LITERA TURE REVIEW ..........................................................................8
2.1 Taiwan IT Industry ..............................................................................................8
2.2. Markov Switching Model .................................................................................12
CHAPTER III RESEARCH DESIGN AND METHODOLOGY .......................................16
3.1 Database..........................................................................................................16
3.2 Markov-Switching Model Development ........................................................17
3.3 Hypothesis Development................................................................................21
3.3.1. Markov Two-Regime Switching Model .......................................................21
3.3.2. Non-macroeconomic Events.............................................................22
3.3.3. Macroeconomic Factors. ..........................................................................23
3.4 Statistical Analysis Method ............................................................................27
CHAPTER IV RESULTS AND EMPIRICAL TESTS ...........................................30
4.1 Estimation Results ..........................................................................................30
4.2 Empirical Test. ................................................................................................32
4.2.1. Markov two-regime switching model ...............................................32
4.2.2. Regression Model with Non-Macroeconomic Variables...................33
4.2.3. Regression Model with Macroeconomic Variables..........................35
4.4 Determinants of the Taiwanese ITI Cycle. ..................................39.
CHAPTER V CONCLUSION ..............................................................44.
5.1. Summary the Results ..................................................................44
5.2. Major Findings............................................................................46
5.3. Implication for Management ......................................................46
REFERENCES .........................................................................................47

LIST OF FIGURES
Figure 1-1: The Global Information Technology Industry ........................2.
Figure 1-2: The global IT market...............................................................3.
Figure 1-3: Five distinct grouping of technology entails...........................5.
Figure 1-4: The elements of Information Technology...............................6.
Figure 2-1: IT industry competiveness index ............................................9.
Figure 3-1: Total sales revenue of Taiwan technology companies (1996-2016). .......................................................................................16
Figure 3-2: Sale growth rate.....................................................................29
Figure 4-1: Probabilities of the Taiwanese ITI being in high-growth
phase and low-growth phase...................................................................31

List of Tables
Table 3-1. SBC and AIC of AR(q) Models......................... 21
Table 3-2. Summary Statistic of the sales growth rate the Taiwanese ITI..........................28
Table 4-2. Correlation Coefficient Matrix of Non-macroeconomic Events and Sales Revenue. ........................................................................................................................................34
Table 4-3. Multiple Regression Results of The Electronic Sales Revenue On Non-Macroeconomic Variables ......................................................................................................35
Table 4-4. Correlation Coefficient Matrix of Macroeconomic Variables And Sale Revenue........36
Table 4-5. Multiple regression results of the electronic sales revenue on macroeconomic variables.......................................................................................................38
Table 4-6. Multiple Regression Results of the Electronic Sales Revenue on Non-macroeconomic Events and Macroeconomic Variables......................................................................................40
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