大緩和現象泛指第二次世界大戰以來，尤其在工業化國家中，普遍發生的經濟成長波動持續呈現「穩定地大幅下降」的趨勢。本研究係以隨時間變動的向量自我迴歸模型(Time-varying vector autocorrelation, TV-VAR)模型下的變異數分析及衝擊反應函數嘗試找出日本經濟發生大緩和的成因並推論其理由。
　　本研究利用馬可夫轉換模型(Markov switching model)，判斷日本發生大緩和現象的時點應於1975 年第二季，此結論與Stock and Watson (2003)及Summers(2005)的實證結果相去不遠。在此時點之前，實質經濟成長波動(Volatility)為2.52，爾後驟降至1.30，緩和幅度將近一半。其餘總體環境的重要變數，例如通貨膨脹波動，也都在1975 年第二季有短時間大幅度緩和的現象發生，並從此維持在低幅波動，目前仍未有回復的跡象。
　　本研究實證結果發現，對實質經濟波動的影響程度，由大至小依序為：實質匯率波動最高，消費耐久財產量波動次之，國際石油價格波動再次之，而貨幣供給量波動在實質經濟波動中，似乎扮演較輕微的角色。 本研究結果部分與Stockand Watson(2003)及Summers(2005)一致。

　　“Great Moderation” is a substantial moderation in the volatility of real economic activity over the past 40 years. Our research aims to find out whether Japan had been through such phenomenon by performing variation decomposition and impulse responses under Time-varying vector autocorrelation (TV-VAR) model. If the answer is yes, when is the timing and what is the source of change?
　　We built up a Markov-switching model to date the Great Moderation on the second quarter of 1975, which was approximately consisted with the results of Stock and Watson (2003) and Summers (2005). The volatility of real GDP growth between 1957 and 1975 was 2.52%; however, after 1975, the volatility had dramatically dropped to 1.30%, which was only about half of the previous period. Came along with this fact, the volatility of the inflation rate had also showed similar track of reduction, only that the magnitude of moderation was milder than that of real GDP growth rate.
　　Our empirical analysis shows that, among all the variables we choose, the volatility of real exchange rate can account for the biggest proportion of the volatility of real GDP growth. The second large proportion is explained by the volatility of durable goods production, and the third will be the volatility of international crude oil price. On the other hand, the volatility of M2 growth rate seems to play little role when explaining the Great moderation. This conclusions are partly in line with Stock and Watson (2003) and Summers(2005).

目 錄
誌謝............................................................................................................. i
中文摘要.................................................................................................... ii
英文摘要.................................................................................................... iii
第一章 緒論............................................................................................... 1
第一節 研究背景................................................................................... 1
第二節 研究動機與目的....................................................................... 2
第三節 本文架構………....................................................................... 4
第二章 文獻回顧....................................................................................... 5
第一節 大緩和文獻回顧....................................................................... 5
第二節G7 大緩和文獻回顧─日本部分之結論與發現...................... 7
第三節日本大緩和現象文獻回顧……………………......................... 7
第三章 日本經濟與大緩和....................................................................... 9
第一節 日本大緩和時間點................................................................... 9
第二節 日本總體經濟現況................................................................. 10
第四章 理論模型..................................................................................... 18
第一節 ADF 單根檢定....................................................................... 18
第二節 HP 濾器.................................................................................. 19
第三節 馬可夫轉換模型.................................................................... 19
第四節 隨時間變動的自我迴歸模型................................................ 20
第五章 實證結果.................................................................................... 23
第一節 變數選擇與資料處理............................................................ 23
第二節 定態資料處理過程................................................................ 24
第三節 TV-VAR 模型下的變異數分析................................ ...........33
第五章 結論與建議................................................................................. 36
第一節 結論........................................................................................ 36
第二節 建議........................................................................................ 38
參考文獻................................................................................................... 39

一、英文部分

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2. Bai, J, and P. Perron, 2003. “Computation and Analysis of Multiple Structural Change Models,” Journal of Applied Econometrics, 18, p.1-22.
3. Bernanke, B. S., 2004. “The Great Moderation,” Remarks at the meetings of the Eastern Economic Association, Washington, DC, February 20, 2004.
4. Blanchard, Oliver & John Simon, 2001. “The Long and Large Decline in U.S. Output Volatility,” Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
5. Burns, Arthur F., 1960.“Progress Toward Economic Stability,” American Economic Review, , 50, pp. 1-19.
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7. Cogley, Timothy & Thomas J. Sargent, 2003. “Drifts and volatilities: monetary policies and outcomes in the post WWII U.S,” Working Paper 2003-25, Federal Reserve Bank of Atlanta.
8. Davis, Steven J. & James A. Kahn, 2008. “Interpreting the Great Moderation: Changes in the Volatility of Economic Activity at the Macro and Micro Levels,” Journal of Economic Perspectives, American Economic Association, vol. 22(4), p. 155-80.
9. Dynan, Karen E. & Elmendorf, Douglas W. & Sichel, Daniel E., 2006. “Can financial innovation help to explain the reduced volatility of economic activity?,” Journal of Monetary Economics, Elsevier, vol. 53(1), pages 123-150, January.
10. Gambetti, Luca & Jordi Galí, 2007. “On the sources of the Great Moderation,” Proceedings, Federal Reserve Bank of San Francisco.
11. Galí, Jordi & Luca Gambetti, 2009. “On the Sources of the Great Moderation,” American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
12. Gambetti, L., E. Pappa, and F. Canova, 2006. “The Structural Dynamics of US Output and Inflation: What Explains the Changes?,” Journal of Money, Credit, and Banking, forthcoming.
13. Kahn, James A., 2008. “Durable goods inventories and the Great Moderation,” Staff Reports 325, Federal Reserve Bank of New York.
14. Kahn, James A. & Margaret M. McConnell & Gabriel Perez-Quiros, 2002. “On the causes of the increased stability of the U.S. economy,” Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 183-202.
15. Kim, C. J., and C. Nelson, 1999. “Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business-Cycle,” Review of Economics and Statistics, 81, 608—616.
16. Kimura, T. and K. Shiotani, 2007. “Stabilized Business Cycles with Increased Output Volatility at High Frequencies,” Bank of Japan Working Paper Series No.07-E-23.
17. Ko, Jun-Hyung & Koichi Murase, 2010. “The Great Moderation in the Japanese Economy,” Research Centre for Price Dynamics, Institute of Economic Research, Hitotsubashi University, Working Paper Series No. 60.
18. McConnell, M., and G. Perez-Quiros, 2000. “Output Fluctuations in the United States: What Has Changed Since the Early 1980s?,” American Economic Review, 90, 1464—1476.
19. Mills, Terence C., and Ping Wang. 2003. “Have Output Growth Rates Stabilised? Evidence from the G-7 Economies,” Scottish Journal of Political Economy, vol.50, no. 3, pp. 232-46.
20. Moore, Geoffrey H. and Victor Zarnowitz. 1986. “The Development and Role of the National Bureau of Economic Research’s Business Cycle Chronologies.” In Gordon, Robert J., ed. 1986. The American Business Cycle: Continuity and Change. NBER Studies in Business Cycles 25: 735–79.
21. Nakajima, J., M. Kasuya & T. Watanabe, 2009. “Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy,” IMES Discussion Paper Series, 09-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
22. Primiceri, Giorgio E., 2005. “Time Varying Structural Vector Autoregressions and Monetary Policy,” Review of Economic Studies, Vol. 72, No. 3, pp. 821-852.
23. Shibamoto, Masahiko & Ryuzo Miyao, 2008. “Understanding Output and Price Dynamics in Japan: Why Have Japan's Price Movements Been Relatively Stable Since the 1990s?,” Discussion Paper Series 219, Research Institute for Economics & Business Administration, Kobe University.
24. Sims, C., and T. Zha, 2006. “Were There Regime Switches in U.S. Monetary Policy?,” American Economic Review, vol. 96(1), p.p. 54-81.
25. Smith, Penelope A. & Peter M. Summers, 2004. “Identification and normalization in Markov switching models of “business cycles”,”Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.
26. Smith, Penelope A. & Peter M. Summers, 2007. “What Caused the ‘Great Moderation’? International Evidence from a Regime-Switching Model with Time-Varying Transition Probabilities,” Working paper.
27. Smith, Penelope A. & Peter M. Summers, 2009. “Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles,” The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 9(1), pages 36.
28. Stephens Melvin & Takashi Unayama, 2011. “The Consumption Response to Seasonal Income: Evidence from Japanese Public Pension Benefits,” American Economic Journal: Applied Economics, American Economic Association, vol. 3(4), pages 86-118.
29. Stock, James H. & Mark W. Watson, 2003. “Has the Business Cycle Changed and Why?” NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
30. Stock, James H. & Mark W. Watson, 2005. “Understanding Changes In International Business Cycle Dynamics,” Journal of the European Economic Association, vol. 3(5), p. 968-1006.
31. Summers, Peter M., 2005. “What caused the Great Moderation? : some cross-country evidence,” Economic Review, Federal Reserve Bank of Kansas City, issue Q III, p. 5-32.
32. Taylor, J.B., 1999. “The Robustness and E¢ciency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank.” Journal of Monetary Economics 43, Special issue: Monetary Policy Rules, 655-679.
33. Watanabe, S., 2006. “Roles of Technology and Nontechnology Shocks in the Business Cycles,” Bank of Japan Working Paper Series, 06-E-11.
34. T. Yamashita & T. Nakamura, 2008. “Macro-Structural Bases of Consumption in an Aging Low Birth-Rate Society” The Silver Market Phenomenon, Springer Berlin Heidelberg, p.201-224.
35. Hamilton, James D. 2003. “What Is an Oil Shock?” Journal of Econometrics, vol.113, pp. 363-98.

二、中文部分
1. 方文碩，曾仁清，鄭淑青，《大緩和：五個亞洲新興國家證據》，經濟與管理論叢 7/1，第227-256頁，2011年。
2. 呂理州著，《日本戰後經濟史》，時報文化出版，1989年。
3. 李孟茂著，《日本經濟-問體與分析-高度經濟成長到泡沫經濟始末歷程》，1998年。
4. 李恩慈，《貨幣市場需求彈性因子分析--以日本經濟為例》，2001年。
5. 高超陽、盧世勳著，《日本經濟危機及因應對策》，國際金融參考資料 第四十五輯，民89年4月，第191-216頁。
6. 高超陽譯，《日本的零利率貨幣政策》國際金融參考資料 第四十五輯，民89年4月，第222-230頁。
7. 高超陽譯，《日圓陷阱的困境》國際金融參考資料 第四十五輯，民89年4月，第231-237頁。
8. 陳旭昇著，《時間序列分析--總體經濟與財務金融之應用》，東華書局出版，2007 年。
9. 張季風著，《掙脫蕭條：1990~2006年的日本經濟》社會科學文獻出版，2006年。
10. 楊德輝譯，《日本產業之現況（總體篇）》，通商產業大臣官房調查統計部著，經濟部國際貿易局出版，1991年。
11. 劉慶瑞著，《戰後日本經濟的發展軌跡-從戰後廢墟、經濟奇蹟到新挑戰的質性分析》，志良出版，2009年。