英文摘要 |
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. |