臺灣景氣波動不對稱性特色之檢定

Empirical Evidence of Asymmetries in Taiwan’s Business Cycles: A Simple Note

本文採用Clements and Krolzig 的檢定方法探討臺灣景氣循環不對稱性的特色， 包括以下三種： 深度， 斜度及尖度不對稱性。我們以季節調整後的實質GDP成長率進行實證分析，實證結果發現臺灣的景氣循環並不具備深度的不對稱性特色，但是支持斜度的不對稱性特色，顯示以非線性模型比線性模型更適合於描述臺灣景氣循環特色。至於尖度不對稱性則是無法得到一致的結論，檢定結果會因模型的設定不同而改變，顯示有模型相依的結果。

This paper adopts Clements and Krolzig’s parametric tests to determine the asymmetric properties of Taiwan’s business fluctuations. In particular, we investigate three types of asymmetry: deepness, steepness and sharpness. We find that although the non-deep property is overwhelmingly applicable to Taiwan’s business cycle Clement and Krolzig’s parametric tests strongly reject non-steepness. This evidence for steepness suggests that non-linearmodels are preferable to linearmodels in describing Taiwan’s business cycles. Finally, the conclusionwith regards to the sharpness property is inconclusive but itmust bemodel-dependent.