Business cycle fluctuations in Taiwan — A Bayesian DSGE analysis

Yi Chun Lin

Journal of Macroeconomics, 2021, vol. 70, issue C

Abstract: This paper examines the Taiwanese economy in a small open economy DSGE model using Bayesian estimation. The model consists of two countries and 12 exogenous shocks with stochastic volatility to capture the fluctuations in the business cycle. The main results are: (1) shock innovations with stochastic volatility increase the model fit, (2) shocks originated from outside the country are important sources of fluctuations in the Taiwanese business cycle.

Keywords: Business cycle; Bayesian analysis; DSGE models; Small open economy models; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C11 E32 F41 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:70:y:2021:i:c:s0164070421000513

DOI: 10.1016/j.jmacro.2021.103349

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