近期台灣景氣循環峰谷之認定

Dating the Latest Business Cycle Turning Points

台灣自2004年3月達到第11次景氣循環高峰後，迄2008年底已將近60個月，超過歷次景氣循環之平均延續期間；若配合近來景氣指標及對策信號的變化過程，應可初步研判第11次景氣循環業已結束，正邁入後續循環週期。有鑑於此，本研究旨在應用合適的計量方法，並搭配經濟情勢判斷，透過研析2004年來景氣循環的動態特徵，據以認定出第11次景氣循環谷底與後續可能的峰谷日期。技術上，本研究主要採取二階段HP濾波程序之綜合指數法、擴散指數法、馬可夫轉換模型等量化工具，同時輔以景氣循環之3P分析，並參酌當時國內外經濟情勢，與景氣指標及對策信號表現。根據實證結果的綜合分析，本文研判台灣第11次景氣循環谷底落於2005年2月，第12次景氣循環高峰則於2008年3月。若以上開日期為準，台灣第11次景氣循環自2001年9月展開為期30個月擴張期，於2004年3月抵達高峰，後受國際景氣擴張減緩影響，出口動能轉趨疲弱，在經歷11個月收縮期後，於2005年2月觸底，旋即邁入第12次景氣循環，經歷37個月擴張期後，於2008年3月抵達高峰。

As of year-end 2008, nearly sixty months had passed since the official reference date of Taiwan’s 11th business cycle peak in March 2004, exceeding the historic average for the duration of business cycles in Taiwan. Coupled with the recent changes of business cycle indicators and signals, it can be tentatively judged that the 11th business cycle has concluded and Taiwan has entered the next cycle. Hence, the purpose of this study is to apply appropriate measurement methods, in conjunction with diagnosis of the economic situation, to analyze the dynamic characteristics of the business cycle since 2004, as the basis for identifying the trough of the 11th business cycle and the likely date of the subsequent peak. The study employs a double HP filter based composite index, diffusion index, and Markov switching model as dating tools, in conjunction with 3P analysis of the business cycle, consideration of current internal and external economic conditions, and examination of business cycle indicators and signals. Based on overall analysis of the empirical results, it is concluded that the trough of Taiwan’s 11th business cycle occurred in February 2005, and that the peak of the 12th business cycle occurred in March 2008. If those dates are correct, then Taiwan’s 11th business cycle followed a 30-month period of expansion from September 2001 to its peak in March 2004, and then went into an 11-month period of contraction under the impact of slowing international economic expansion and the weakening of export momentum, reaching its trough in February 2005. The 12th business cycle then followed a 37-month period of expansion, reaching its peak in March 2008.