Business cycle fluctuations in Taiwan - A Bayesian DSGE analysis

被引：1

作者：

Lin, Yi Chun ^{[1
]}

机构：

[1] Washington Univ, Dept Econ, One Brookings Dr, St Louis, MO 63130 USA

来源：

JOURNAL OF MACROECONOMICS | 2021年 / 70卷

关键词：

Business cycle; Bayesian analysis; DSGE models; Small open economy models; Stochastic volatility; VOLATILITY; MODEL;

D O I：

10.1016/j.jmacro.2021.103349

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the Taiwanese economy in a small open economy DSGE model using Bayesian estimation. The model consists of two countries and 12 exogenous shocks with stochastic volatility to capture the fluctuations in the business cycle. The main results are: (1) shock innovations with stochastic volatility increase the model fit, (2) shocks originated from outside the country are important sources of fluctuations in the Taiwanese business cycle.

引用

页数：20

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