产业波动与台湾地区经济波动——基于VAR模型的实证分析

根据1961年至2008年台湾地区的相关数据,利用摩尔结构变动指数测度了台湾总体产业结构变动情况,并采用CF滤波分离出台湾总体产业波动与经济波动的数据指标,并通过脉冲响应函数及方差分解的分析,论证了台湾产业波动与经济波动的因果联系和相互影响的动态关系。实证结果不仅证实了由真实经济周期理论演绎出来的产业波动会造成经济波动这一逻辑命题的可信性,而且还表明经济波动反过来也会引起产业波动。

Empirical Analysis of Industrial and Economic Fluctuations in Taiwan

On the basis of the relative data of Taiwan from 1961 to 2008,we have measured the general industrial structure of Taiwan with the Moore Structure Fluctuation Index. With CF filter method and the results of Granger causal relation examination and the pulse response function and the variance decomposition,we have discussed the dynamic relations of causality and mutual influence in Taiwan＇ s industrial and economic fluctuations. Not only do the findings confirm the credibility of proposition deducted by the real business cycle theory that industrial fluctuation could cause economic fluctuation,but also indicated that economic fluctuation in turn could cause industrial fluctuation.