本文使用 Hsu et al.(2018)根據 Jurado et al.(2015)之計算方式所計算的台 灣總體經濟不確定性指標，利用平滑轉換向量自我迴歸(Smooth Transition Vector Autoregressive, STVAR)之非線性模型估計自 1995 年 1 月至 2018 年 9 月景氣循 環與總體不確定之關係，並利用一般化衝擊反應函數分析總體不確定性的衝擊對 總體變數的影響是否在景氣擴張期與景氣衰退期中有不對稱的現象。實證結果發 現，總體不確定性的衝擊對總體變數在不同景氣期間都有不對稱的現象，在景氣 衰退期間總體不確定性的衝擊對各總體變數的影響較大，尤其在衰退期間總體不 確定性對同時指標和失業率的衝擊分別是擴張期間的 4.34 倍和 2.08 倍。

This paper uses macroeconomic uncertainty index of Taiwan from Hsu et al. (2018) which calculates according to Jurado et al. (2015). We apply the Smooth Transition Vector Autoregressive model to study the relationship with business cycle and macroeconomic uncertainty from January 1995 to September 2018. Furthermore, we use the generalized impulse response function to study the effects of unanticipated increases in macroeconomic uncertainty in recessions and expansions. The empirical results show that the impact of macroeconomic uncertainty is asymmetric. The impact of macroeconomic uncertainty during the recession has a greater impact on macroeconomic variables. We find that the response of coincident index in recessions is 4.34 times larger than the response in expansions, and the response of unemployment in recessions is 2.08 times larger than the response in expansions.

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