歷經亞洲金融風暴後，東亞各國每人產出短期波動有變大的趨勢，我們想藉由本研究了解此一現象是否影響了台灣與東亞國家連動性的變化及連動途徑。為此，本文利用因素分析及景氣循環拆解方程式探討台灣每人產出短期波動與東亞國家的連動性。結果顯示，美國為影響東亞國家每人產出短期波動的因素之一，藉此我們進一步消除美國的影響，分析台灣每人產出短期波動與東亞各國的連動。我們發現除了新加坡以外的東南亞國家在亞洲金融風暴後與台灣的連動主要受到美國的影響。此外，東北亞國家對台灣的連動性高於東南亞國家，但隨著經貿的整合與全球化，兩區域在亞洲金融風暴後對台灣的連動性差距逐漸縮小。
另一方面，印尼去除美國與亞洲的影響後的產出波動與台灣為高度負相關，導致全時期每人產出短期波動與台灣幾乎無相關。最後，我們透過反事實模擬發現亞洲金融風暴後中國及香港主要透過產出偏移量的途徑與台灣連動，日本及韓國主要透過總要素生產力及投資決策偏移量的途徑與台灣連動；而多數東南亞國家在亞洲金融風暴前後皆透過產出偏移量的途徑與台灣連動

關鍵字：景氣循環拆解方程式、連動性、因素分析

The Business cycles of GDP per capita of East Asian countries fluctuate widely after Asian financial crisis. We are curious about whether the correlation between Taiwan and East Asian countries become different due to the crisis. We adopt factor analysis and business cycle accounting methodology to discuss the comovement of business cycles of GDP per capita between Taiwan and East Asian countries. It turns out the USA is a common factor of these Asian countries. Accordingly, we discuss the comovement of business cycles of GDP per capita between Taiwan and East Asian countries after taking out the USA impact. We find that South East Asian countries except Singapore correlate with Taiwan is mainly via the common factor: the USA impact. Moreover, the correlation coefficient between North East Asian countries and Taiwan is bigger than that between South East Asian countries and Taiwan. The difference between them declines due to the economic integration and globalization.
On the other hand, the business cycles of GDP per capita between Taiwan and Indonesia is uncorrelated because the correlation coefficient without the USA and Asia impact is highly negative. Lastly, we find China and Hong Kong correlate with Taiwan mainly via Income wedge after 1997, Korea and Japan correlate with Taiwan mainly via TFP and Capital wedge after 1997; South East Asian countries correlate with Taiwan mainly via Income wedge by using counterfactual simulation.

Keywords: Business cycle accounting methodology, Comovement, Factor analysis

1 緒論---p1
2 研究方法---p4
2.1 計量工具---p4
2.1.1 HP濾波器---p4
2.1.2 因素分析---p5
2.2 景氣循環拆解方程式---p5
2.2.1 模型設定---p5
2.2.2 應用細節---p7
2.2.3 反事實模擬---p8
3 資料來源與參數設定---p9
4 研究結果---p10
4.1 實際產出連動性---p10
4.2 因素分析---p12
4.3 景氣循環拆解方程式---p17
4.3.1 台灣與東亞國家各榫連動---p17
4.3.2 亞洲金融風暴前後的連動變化---p21
4.3.3 反事實模擬產出連動---p26
5 結論---p31
6 參考文獻---p32
7 附錄---p34

管中閔、徐之強、黃裕烈、徐士勛 (2014)，「臺灣金融情勢指數與總體經濟關係」, 臺灣經濟預測與政策, 44(2), 103-132。
曾怡婷 (2018)，「探討印尼成長和東協各國的關聯」, 國立清華大學經濟學研究所碩士論文。
Baxter, M. and A. C. Stockman (1989), “Business cycles and the exchange-rate regime: Some international evidence,” Journal of Monetary Economics, Elsevier, 23(3), 377-400.
Cattell, R. B. (1966), “The scree test for the number of factors,” Multivariate Behavioral Research, 1, 629-637.
Chari, V. V., Kehoe, P. J. and E. R. McGrattan (2007), “Business Cycle Accounting,” Econometrica, 75(3), 781-836
Frankel, J. A. and A. K. Rose (1996), “The Endogeneity of the Optimum Currency Area Criteria,” NBER Working Papers 5700, National Bureau of Economic Research, Inc.
Harman, H.H. (1976), “Modern Factor Analysis,” 3rd Ed, Chicago: University of Chicago Press.
Imbs, J. (2004), “Trade, Finance, Specialization, and Synchronization,” The Review of Economics and Statistics, MIT Press, 86(3), 723-734
Imbs, J. (2011), “What Happened to the East Asian Business Cycle?” The Dynamics of Asian Financial Integration: Facts and Analytics, 284-310.
Kaiser, H. F. (1960), “The application of electronic computers to factor analysis,” Educational and Psychological Measurement, 20, 141-151.

Kim, S and J.-W. Lee (2008), “Real and Financial Integration in East Asia,” Working Papers on Regional Economic Integration 17, Asian Development Bank.
Lu, S.-S. (2012), “East Asian growth experience revisited from the perspective of a neoclassical model,” Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, 15(3), 359-37
Moneta, F. and R. Rüffer (2009), “Business cycle synchronisation in East Asia,” Journal of Asian Economics, 20(1), 1-12
Ravn, M. and H. Uhlig (2002), “On adjusting the Hodrick-Prescott filter for the frequency of observations,” The Review of Economics and Statistics, MIT Press, 84(2), 371-375.
The Singapore Institute of International Affairs (2007), “Regional Integration, Trade and Conflict in Southeast Asia”, International Institute for Sustainable Development.