本文利用 Hsu et al. (2018) 所計算的台灣的總體不確定指數進行分析，探討台灣在受到不確定衝擊後產出、物價以及其他總體經濟變數的反應程度。透過平滑轉換向量自回歸模型 (Smooth-Transition VAR model) 將經濟衰退期與經濟擴張期劃分出來，估計經濟與金融變數受到不確定衝擊後，在衰退期與擴張期的不對稱反應程度。本文分成兩個實質面模型與一個金融模型，發現不確定衝擊對台灣總體經濟活動確實存在負面反應，產出成長下降、出口成長下降、銀行放款餘額也會降低，雖然物價並無顯著影響。另外，發現在三個模型中大部分變數在衰退期較擴張期的反應強烈，約為 1.3 至 2.5 倍，實證結果顯示產出成長、出口變動、銀行放款以及利率在衰退期有較強烈反應。

This paper studies the effects of uncertainty shocks on macroeconomic activities in recessions and expansions. In Taiwan, related literature about uncertainty is less because there is not a measure of macroeconomic uncertainty in public. We use the macroeconomic uncertainty index constructed by Hsu et al. (2018) to analyze the impact of uncertainty shocks. Through three STVAR model, we find that uncertainty shocks exist a negative response to macroeconomic activities. Main results show that the response of output, export, bank loan and interest rate are larger in economic recessions.

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