台灣與世界各國的貿易關聯──GVAR模型之應用

International Economic Linkages between Taiwan and the World: A Global Vector Autoregressive Approach

本文主要是利用Pesaran et al.（2004）以及Dees et al.（2007）所設定的（global vector autoregression）模型來探討當台灣主要貿易國家（例如美國、日本以及中國大陸）發生外生衝擊時，透過各國之間彼此的貿易關聯，如何影響台灣國內總體經濟。不同於現有文獻，GVAR模型因為多考量了國與國之間的關聯性，因此該模型可以更深入地去描述各國之間的經濟相關情況。而我們的實證結果也證實，相較於傳統的VAR（vector autoregression）模型，GVAR模型所得到的結果比較合乎經濟理論的結果。

This paper applies the global vector autoregression (GVAR) model proposed by Pesaran et al. (2004) and Dees et al. (2007) to analyze how a shock to the economies of Taiwan’s major trading partners (such as U.S., Japan and China) affects Taiwan economy and the rest of the world. In contrast to existing literature on the standard vector autoregression (VAR) model of Taiwan economy, this study emphasizes the modeling of intricate interrelationships across economies in the world while evaluating the impacts of domestic and global shocks on Taiwan economy. Our results indicate that the performance of the GVAR model is encouraging in the sense that the effects of various macroeconomic shocks on core macro variables of interest are generally consistent with the predictions based on standard macroeconomic theory.