探討導致景氣循環發生的原因，雖然沒有單一的答案，但長久以來各國政府對景氣循環的現象卻相當地重視， 並極力運用各種貨幣與財政政策試圖迴避景氣之衰退， 然而對於景氣循環轉折點之認定或預測卻沒有一致且較嚴謹的看法。
　　由於國內外學者研究顯示，景氣循環之波動與供給面之國際石油價格波動具有密切的關係，因此本文嘗試以實質景氣循環理論（business cycle theory）為基礎，利用Markov-switching model之計量方法，探討國內景氣循環波動與油價之長期相關性，將此相關性資訊（油價上升所帶來之衝擊亦往往具有落後期的效應），提供政府及相關單位面臨高油價時，研議相關的因應措施及配套辦法之參考，冀能減少高油價對經濟體之衝擊。
　　根據本模型所推算之結果，對於經建會所公布之景氣谷底，皆大致吻合，唯有在1996及1998兩次谷底無準確估算，但比較實際GDP成長率資料，此兩次谷底下降之幅度皆不明顯。此外本模型在1993-1994間有小幅的景氣波動，但幅度亦不大，且經建會景氣資料也未顯示出來。就此結果而言，本模型估算尚屬準確。
　　綜合WTI與Dubai油價所估算之結果，發現相同處為第4落後期的油價變動，對當期的GDP成長影響最大。可能的原因是，當石油價格上漲時，石油業者可藉由使用庫存量以支應需求，短期內可以不需調高油價。然一旦油價維持高檔，而庫存數量若不足以支應時，業者勢必購入高油價之石油，亦必將此增加之購油成本反映在售價上，連帶影響各產業的生產成本，造成景氣的波動。
關鍵字：馬可夫轉換、景氣循環。

中文部分
任淑怡（2001），「台灣景氣循環與原油價格－共整合及共特徵分析」，輔仁大學經濟研究所碩士論文。
汪育義（1989），「台灣景氣波動基本性質之分析」，經濟論文叢刊，17（2），頁157-77。
吳致寧、陳秀淋（1993），「戰後台灣之實質景氣循環－動差配適」，經濟論文，頁395-423。
林向愷、黃裕烈、管中閔（1998），「景氣循環轉折點認定與經濟成長率預測」，經濟論文叢刊，26（4），頁431-457。
林向愷、黃朝熙(1993)，「臺灣同時與領先經濟指標的估計與認定： 1968-1991」， 經濟論文叢刊， 21（2）， 頁123 - 159。
陳國鐘（2001），「台灣勞動市場之動態分析：馬可夫轉換向量均衡修正模型(MS-VECM)」，中國文化大學經濟研究所碩士論文。
楊奕農（2005），「時間序列分析－經濟與財務上之運用」，雙葉書廊有限公司。

外文部分
Abeysinghe, T.（2000）”Estimation of Direct and Indirect Impact of Oil Price on Growth,” Economics Letter, 73, 147-153.
Barro, R. J.（1976）, “Rational Expectations and the Role of Monetary Policy,” Journal of Monetary Economics, 2, pp.1-32.
Cai, J.（1994） “A Markov Model of Switching-Regime ARCH,” Journal of Business & Economic Statistics, 12, 309-317.
Chen S.W and Lin J. L (1999),“ Econometric Modeling Business Cycle in Taiwan with Markov-Switching Vector Autoregressions,” working paper, National Chengchi University.
Chen S. W and Lin J. L (2000a),“ Modelling Business Cycles in Taiwan with Time-Varing Markov-Switching models,” Academic Economic Papers, 28： 1, 17- 24.
Chen S. W and Lin J. L (2000b),“ Identifying Turning Points And Business Cycles In Taiwan： A Multivariate Dynamic Markov-Switching Factor Model Approach,” Academia Economic Papers, 28： 3, 289-320.
Clements, M. P and Krolzig, H. M.（2000） ” Can oil shocks explain asymmetries in the US Business Cycle?,” working paper, Department of Economics University of Kent Keynes College.
Dellas, H.（1986）, “A Real Model of the World Business Cycle,” Journal of International Money and Finance, 5:3, 381-94.
Daniel B.C.（1997）, “International Interdependencd of National growth rates: A Structural Trends Analysis,” Journal of Monetary Economics, 40, 73-96.
Engle, R. and Granger, C. (1987),“Co-Integration and Error Correction： Representation, Estimation and Testing ,” Econometrica, Vol. 55, 251-276.
Filardo, A. J.（1994） “Business-Cycle Phases and Their Transitional Dynamics,” Journal of Business & Economic Statistics, 12, 299-308.
Gisser, M. and Goodwin,T. H. （1986）, “ Crude Oil and the Macroeconomy: Tests of Some Popular Notions,” Journal of Money, Credit and Banking, 18, 94-103.
Granger, C. (1989),“Developments in the study of cointegrated variables,” Oxford Bulletin of Economics and Statistics, 48, 213-228.
Hamilton, J. D. (1989), “ A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle,” Econometrica, 57,357-384.
Hamilton, J. D. (1994), “ Time Series Analysis , ” Princeton： Princeton University Press.
Hamilton, J. D.(1996), “Specification Testing in Markov Switching Time Series Models,” Journal of Econometrics, 70, 127-157.
Holmes, M. J. and Wang, P.（2001）,” Oil and The Asymmetric Adjustment of UK Output: A Markov-Switching Approach,” working paper, Department of Economics Loughborough University.
Huang, C. H. (1998),“ Phases and Characteristics of 67 Taiwan Business Cycles：A Markov Switching Analysis,” Taiwan Economic Review, 27, 185-214.
Hylleberg, S., Engle, R. F., Granger, C., Yoo, B. S.（1990）, “Seasonal Integration and Cointegration,” Journal of Econometrics, 44, 215-238.
IEA (2004),”Analysis of the Impact of High Oil Price on the Global Economic,” IEA.
Jeroen de Jode etc., (2003), Energy Policies ans Risks on energy Markets: A Cost-Benefit Analysis, Netherlands Bureau for Economic Policy Analysis, Netherlands, p.38.
King, R. and Plosser, C. (1984),“ Money, Credit and Prices in a Real Business Cycle Economy ,” American Economic Review, 74, 363-380.
King, R. G. and Plosser, C. (1994),“ Real Business Cycles and the Test of the Adelmans ,” Journal of Monetary Economics, 33, 405-438.
Kim, C. J. and Nelson, C. R. (1998),“ Business Cycle Turning Points, a New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model with Regime Switching ,” The Review of Economics and Statistics, 80, 188-201.
Kim, C. J. and Yoo, S. (1995),“ New Index of Coincident Indicators： A Multivariate Regime-Shift Approach ,” Journal of Monetary Economics, 36, 607-630.
Kins, G. J.（1973）,”Oil Economists Handbook 5th edition v.1,”Elsevier Applied Science.
Kydland, F. and Prescott, E.（1982）, “Time to Build and Aggregate Fluctuations,” Econometrica, 50, 1345-1370.
Long, J. B. and Plosser, C. I.（1983）, “Real Business Cycles,” Journal of Political Economy, 91, 39-69.
Lucas, R. E . J .（1972）,“Exceptions and the Neutrality of Money , ” Journal of Economic , 4 ,103-124.
Lucas, R. E. J. （1976）, “Understanding Business cycle,” Carnegie-Rochester Conference Series on Public Policy, 7-29.
Mork, K. A. （1989）, “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results,” Journal of Political Economy, 97, 740-44.
Raymond, J. E. and Rich , R. W. （1997）, “Oil and the Macroeconomy : A Markov State-Switching Approach,” Journal of Money Credit, and Banking, 29:2, 193-213.
Wai, M. F. and Kim H. S.（2002）, “A Markov Switching Model of the Conditional Volatility of Crude Oil Futures Prices,” Energy Economics, 24, 71-95.
Yoon, J. H.（2004）“Oil and the G7 business cycle : Friedman’s Plucking Markov Switching Approach,” POSCO Research Institute Working Paper 2004.