This paper intends to investigate the duration dependent feature of Taiwan's business cycles. The constant Markov switching model is revised to take account of the duration dependent feature. The most innovative findings herein are that there is no duration dependence for contraction for the...

This paper finds an asymmetric swing in Taiwan's exchange rate. In contrast to the developed countries, whose exchange rates exhibit long swings in both appreciation and depreciation regimes, the long swing only exists in an appreciation regime for Taiwan. A short swing, however, is found during...

This article examines the relation between stock returns and the World Index for four Pacific Rim economies, i.e. that of Taiwan, Hong Kong, South Korea and Malaysia. When the constant International Capital Asset Pricing Model (ICAPM) and the regime-switching ICAPM are considered, the evidence...

Using Taiwan data, this empirical study delves into the causal links among four disaggregate real government expenditures, real government revenue and real output. The results substantiate that there is (i) neutrality between real government revenue and real government expenditure on economic...

This study tests for the presence of Evans’ (1991) periodically collapsing bubbles in four real estate investment trust (REIT) classifications in the US by employing the momentum threshold autoregressive (MTAR) model and the MTAR model with smooth transition in trend (i.e., the LNV-MTAR...

Chen (2011) [Are current account deficits really sustainable in the G-7 countries? Japan and the World Economy, 23(3), 190–201.] examines whether or not the current account deficits of the US can be characterized by a unit root process with regime switching (MS-ADF). In this paper, we find...

Whether or not a government deficit is sustainable has important implications for policy. If the debt of a nation is sustainable, then it implies that the government should have no incentive to default on its internal debt. In this article we examine whether or not the debt-GDP ratios of the G-7...

This paper investigates the volatility of the rates of output growth for the U.S., Canada and the UK. We empirically characterize the volatility of the growth rate of real GDP and, at the same time, we hope we can successfully identify business cycle turning points. The empirical results show...

This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our...