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政大典藏 > College of Social Science > Department of Economics > Periodical Articles > Item 140.119/68757

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:	[Department of Economics] Periodical Articles

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