小型開放經濟體系下金融中介對景氣循環之影響 : 東亞四國之實證研究

Abstract

This paper provides empirical evidence that the financial intermediation disturbances can generate business cycles in small open economies. We extend the framework of Lehr and Wang (2000) to a small open economy and apply the Structural VAR technique pioneered by Blanchard and Quah (1989) in order to reexamine the role of "financial intermediation" shocks on business cycles on the four Asian countries: Taiwan, Japan, Korea, and Singapore. The results indicate that financial intermediate shocks can play a significant role in explaining business cycle fluctuations of these four Asian countries. We also find that the dynamic responses of output to financial intermediation shocks display similar patterns in all cases across countries; however, the magnitude of the one-standard-deviation financial intermediation shock completely differs. Further, the historical decompositions support the ability of our empirical model to recover the structural financial intermediation disturbance accurately. These findings are also consistent with those from Lehr and Wang (2000) and Chang and Wang (2003). The only difference from Chang and Wang (2003), in particular, is that the magnitude of output response to financial intermediation shocks is relatively large in Taiwan and Singapore and much smaller in Japan and Korea.