In this thesis, we use the dynamic factor model in state space, proposed by Stock and Watson (1989), to estimate the fluctuations of common factor by using lots of macroeconomic variables. Besides, with the combination of two stage dynamic factor analysis model which is proposed by Aruba et. al (2010), we want to discuss the possibility for the correlation of economic fluctuations across countries to change with different time periods.
The thesis verifies the following three conclusions: First, the correlations of the economic fluctuations across countries are significant due to the regional economics. Second, the global or regional common shocks will increase the correlations of the economic fluctuations across countries. Finally, developed countries and emerging countries response differently during the Financial Tsunami from 2008 to 2009.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0727111-140640 |
| Date | 27 July 2011 |
| Creators | Wang, Bao-Huei |
| Contributors | Yung-nian Tung, Ming-Jang Weng, Yung-hsiang Ying |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727111-140640 |
| Rights | not_available, Copyright information available at source archive |
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