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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68757

    Title: 以擴散指標為基礎之總體經濟預測
    Other Titles: Macroeconomic Forecasting Based on Diffusion Indexes
    Authors: 徐士勛
    Hsu, Shih-Hsun
    Contributors: 經濟系
    Keywords: 擴散指標;經濟成長率;因子;主成分分析
    Diffusion index;Economic growth rate;Factor;Principal component analysis
    Date: 2005
    Issue Date: 2014-08-14 16:40:55 (UTC+8)
    Abstract: 本文以Stock and Watson(1995)的方法為基礎,建立一個兩步驟的「擴散指標」預測模型,並應用於經濟成長率的預測。除了依循Stock and Watson(1998)的作法外,我們也將變數依其特性區分為商品市場變數,貨幣市場變數與勞動市場變數,再分別針對各市場變數估計其擴散指標,然後根據這些指標進行預測。實證結果顯示,「擴散指標」預測模型具有相當好的預測績效,也優於國內一些經濟單位所作的預測,因此可以作為未來總體經濟預測上的另一種選擇。
    In this paper, we construct a two-step model for forecasting Taiwan`s economic growth rates based on the "diffusion indexes" method proposed by Stock and Watson (1998). In addition to Stock and Watson`s original approach, we also classify the macroeconomic variables into three markets (namely, the commodity, monetary and labor markets) and compute their respective diffusion indexes. A forecasting model is then constructed using these market-specific indexes. Our results show that, based on various evaluation criteria, the diffusion-index-based forecasting models usually perform better than those reported by other forecasting agencies in Taiwan. Hence, the models proposed here are good alternatives in macroeconomic forecasting.
    Relation: 台灣經濟預測與政策, 36(1), 1-28
    Data Type: article
    Appears in Collections:[經濟學系] 期刊論文

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