总体经济时间序列分析.doc

總體經濟時間序列分析 授課老師：林向愷 研究室：經研所316室 聯絡電話：2351-9641轉669或0952-068664 課程目標 本課程為總體經濟時間序列的計量分析 (econometric analysis of macroeconomic time series) 而非統計分析。本課程著重時間序列模型 (尤其 是向量自迴歸模型) 的認定與估計。時間序列模型需要額外條件才能讓模 型得以認定。第一種方法是以結構性向量自迴歸模型 (structural VAR model) 為架構，並透過額外認定條件賦予干擾項經濟意義。這種方法主要係藉由經 濟理論對干擾項變異數，共變異數矩陣中待定係數找出認定所需的額外條 件。由於額外條件僅讓結構性向量自迴歸模型足以認定 (just identified)，故 有無法利用統計檢定方法檢驗認定這些條件是否成立缺點。第二種方法則是 利用完整設定的經濟模型以及理性預期假設說導出對模型待估的結構性參 數 (structural parameters) 的跨式限制條件 (crss-equation restrictions)。 介紹不同類型認定條件後，本課程亦將介紹如何估計結構性時間序列模 型以及檢定不同型式的限制條件。 課程內容 結構性向量自迴歸模型 Ahmed, S., Ickes, B.W., Wang, P. and Yoo, B.S. (1993). “International Business Cycles.” American Economic Review, 83:335-359. Benassy, Jean-Pascal (1995). “Money and Wage Contracts in an Optimizing Model of the Business Cycle.” Journal of Monetary Economics. 35:303-315. Bernanke, B. (1986). “Alternative Explanations of the Money-Income Correlation.”Carnegie-Rochester Conference Series on Public Policy, 25:49-100. Blanchard, O.J. (1989). “A Traditional Interpretation of Macroeconomic Fluctuations.” American Economic Review. 79:1146-64. Blanchard, O.J. and Quah, D. (1989). “The Dynamic Effect of Aggregate Demand and Supply Disturbances.” American Economic Review. 79:655-673. Blanchard, O.J and Perotti, R. (2002). “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output.” Quarterly Journal of Economics. 117:1329-1368. Cogley, Timothy and Nason, James M. (1993). “Impulse Dynamics and Propagation Mechanism in a Real Business Cycle Model.” Economics Letter. 43(4):77-81. Cogley, Timothy and Nason, James M. (1995). “Output Dynamics in Real-Business-Cycle Models.” The American Economic Review. 85(3):492-511. Cooley, T.F. and Dwyer, M. (1998). “Business Cycle Analysis without Much Theory: A Look at Structural VARs.” Journal of Econometrics. 83:57-88. Gali, Jordi (1992). “How Well D