Why Did the Sign of the Price-Output Correlation Change? Evidence from a Structural VAR with GARCH E
2008/12/19
研討會日期 : 2008-12-19
時間 : 14:30
主講人 : 洪嘉陽副教授
地點 : B棟110室
演講者簡介 : 洪嘉陽教授為美國威斯康辛大學麥迪遜分校(University of Wisconsin _Madison)經濟學博士(1997)。目前為美國西密西根大學經濟系副教授。其主要研究領域為Economic Growth and Business Cycle、Asset Pricing and Stock Market Fluctuations及Applied Time Series Econometrics。
演講摘要 : It is generally agreed that the price-output correlation in the United States was positive prior to the Second World War, but became negative during the postwar period (at least by 1972). This paper offers evidence that the price-output correlation changed signs because of a decrease in the variability of aggregate demand. A structural VAR with bivariate GARCH (1,1) errors is used to estimate a times series of price-output correlations as well as of the conditional variances of the structural shocks to AD and AS. It is found that during the postwar period the price-output correlation is negative and significantly different from zero only when the standard deviation of the AD shock is less than that of the AS shock.
