政經結構變遷與景氣波動－－台灣的實證研究

DEMOCRATIZATION GLOBALIZATION AND BUSINESS CYCLES EVIDENCE FROM TAIWAN

本文發展一套探討景氣波動是否存在跨時異質現象的統計檢定方法，並發現1987年後台灣主要總體經濟變數景氣波動變異程度明顯下降，而民間投資與每人平均工時於2000年後再度上升。本文再利用EGA- RCH-X模型以了解1987年後，民主化、全球化以及產業結構變遷對上述景氣波動變異程度的影響，估計結果顯示民主化是導致台灣景氣波動變異程度下降最關鍵的因素，但2000年後台灣資金外流無法解釋民間投資與每人平均工時景氣波動變異程度持續變大的現象。

This paper investigates the time-varying volatility of business cycles in Taiwan from an institutional perspective. Test results reveal that the volatility has substantially declined for most macroeconomic variables since 1987, and private investment and hours worked per capita rose again after 2000. Then, we use an EGARCH-X model to identify the empirical link between democratization, globalization, and other structural changes and time-varying properties of volatility, and find that democratization is the most significant contributing factor.