A Study of Taiwan’s Information Technology Industry Business Cycle in Applying Markov-Switching Model

• Main Authors: Lai Thi Dieu Thanh, 賴氏妙青
• Other Authors: Y. W. Shyu
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/4fv7me

碩士 === 長庚大學 === 工商管理學系 === 106 === This paper contributes to the business cycle literature by examining determinants of the Taiwan Information Technology Industry (ITI) business cycle. This study uses a Markov-Switching model (MSM) proposed by Hamilton (1989) to analyze the Taiwanese technology firm industry business cycle. The MSM decomposes the cycle into two distinct states: high-growth (HGS) and low-growth (LGS). The mean growth rate of HGS is 117.2 percent and the average growth rate of LGS is 2.25 percent during the period from January 1996 to December 2016. Moreover, the probability of staying in high-growth state is 97.8 percent and the probability of remaining in the low-growth state is 25.5 percent. The expected duration of HGS and LGS are about 46 and 2 months, respectively. Further, the paper investigates the factors (non- macroeconomic and macroeconomic variables) that keep the Taiwan Information Technology Industry in the high-growth state. Empirical test results show that the change in exchange rate, money supply are the two key factors that keep the Taiwan Information Technology Industry in the high-growth state, but the change in inflation, interest rate, unemployment rate, and GLOBALCRISIS and 921EARTHQUAKE have had an adverse effect.