English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 48051925      Online Users : 993
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99637


    Title: 大數據預測通貨膨脹率
    Forecasting Inflation with Big Data
    Authors: 廖珈燕
    Liao, Jia Yan
    Contributors: 林馨怡
    Lin, Hsin Yi
    廖珈燕
    Liao, Jia Yan
    Keywords: Google trends 關鍵字
    通貨膨脹率
    Google trends
    Inflation
    Date: 2016
    Issue Date: 2016-08-03 10:27:27 (UTC+8)
    Abstract: 本文主要是透過 Google trends 網站提供的關鍵字搜尋量資料,
    探討網路資料是否能夠提供通貨膨脹率的即時資訊。
    透過美國消費者物價指數的組成細項作為依據,蒐集美國2004年1月至2015年12月的 Google trends 關鍵字變數,並藉由最小絕對壓縮挑選機制(Least absolute shrinkage and selection operator)、
    彈性網絡(Elastic Net)以及主成分分析法(Principal component analysis)等等變數挑選機制,有效地整合大量的關鍵字資料。實證結果發現,透過適當變數挑選後的 Google trends 關鍵字變數確實可改善美國通貨膨脹率的即時預測表現,並為美國通貨膨脹率提供額外有效的資訊。此外,我們透過台灣的關鍵字資料檢驗,也確認Google trends 關鍵字資料可以幫助台灣通貨膨脹率的即時預測。
    Reference: Ang, A., Bekaert, G., Wei, M. 2007.
    Do macro variables, asset markets, or surveys forecast inflation better?
    Journal of Monetary Economics , 54(4), 1163--1212.


    Askitas, N., Zimmermann, K. F. 2009.
    Google econometrics and unemployment forecasting.
    Applied Economics Quarterly , 55(2), 107--120.


    Atkeson, A., Ohanian, L.E. 2001.
    Are Phillips curves useful for forecasting inflation?
    Federal Reserve Bank of Minneapolis Quarterly Review, 25, 2--11.


    Bai, J., Ng, S. 2002.
    Determining the Number of factors in approximate factor models.
    Econometrica , 70(1), 191--221.


    Bai, J., Ng, S. 2007.
    Determining the number of primitive shocks in factor models.
    Journal of Business \\& Economic Statistics , 25(1), 52--60.


    Basu, S., Michailidis, G. 2015.
    Regularized estimation in sparse high-dimensional time series models.
    The Annals of Statistics , 43(4), 1535--1567.


    Bernanke, B. S., Boivin, J., Eliasz, P. 2005.
    Measuring the effects of monetary policy: A factor augmented vector autoregressive (FAVAR) approach.
    Quarterly Journal of Economics , 120, 387--422.


    Carriere-Swallow, Y., Labbe, F. 2013.
    Nowcasting with Google trends in an emerging market.
    Journal of Forecasting , 32(4), 289--298.


    Cavallo, A. 2013.
    Online and official price indexes: Measuring Argentina’s inflation.
    Journal of Monetary Economics , 60(2), 152--165.



    Cecchetti, S., Chu, R., Steindel, C., 2000.
    The unreliability of inflation indicators.
    Federal Reserve Bank of New York Current Issues in Economics and Finance , 6, 1--6.


    Chen, Y., Turnovsky, S. J., Zivot, E. 2014.
    Forecasting inflation using commodity price aggregates.
    Journal of Econometrics , 183(1), 117--134.


    Cheung, C. 2009.
    Are commodity prices useful leading indicators of inflation??
    Bank of Canada Discussion Paper .


    Choi, H., Varian, H. 2012.
    Predicting the present with Google Trends.
    Economic Record , 88(SUPPL.1), 2--9.


    Clark, T. E., Mccracken, M. W. 2001.
    Tests of equal forecast accuracy and encompassing for nested models.
    Journal of Econometrics , 105, 85--110.


    Clark, T. E., West, K. D. 2007.
    Approximately normal tests for equal predictive accuracy in nested models.
    Journal of Econometrics , 138(1), 291--311.


    Diebold, F. X., Mariano, R. S. 1995.
    Comparing predictive accuracy.
    Journal of Business \\& Economic Statistics , 13(3), 253--263


    Fama, E.F., Gibbons, M.R. 1984.
    A comparison of inflation forecasts.
    Journal of Monetary Economics , 13, 327--348.


    Fisher, J.D.M., Liu, C.T., Zhou, R. 2002.
    When can we forecast inflation?
    Federal Reserve Bank of Chicago Economic Perspectives , 1, 30--42.


    Furlong, F., Ingenito, R. 1996.
    Commodity prices and inflation.
    Federal Reserve Bank of San Francisco Economic Review , 27--47.


    Guzman, G. 2011.
    Internet search behavior as an economic forecasting tool: The case of inflation expectations.
    Journal of Economic and Social Measurement , 36(3), 119--167.


    Hoerl, A.E. 1962.
    Application of ridge analysis to regression problems.
    Chemical Engineering Progress , 58, 54--59.



    Hoerl, A.E., Kennard, R.W. 1970.
    Ridge regression: Biased estimation for nonorthogonal problems.
    Technometrics , 12(1), 55--67.


    Knotek, E. S., Zaman, S. 2014.
    Nowcasting U.S. headline and core inflation.
    Cleveland Fed Working Paper, No.14-03R


    Mahdavi, S., Zhou, S. 1997.
    Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance.
    Journal of Economics and Business , 49(5), 475--489.


    Seabold, S. 2015.
    Nowcasting prices using Google Trends: An application to central America.
    World Bank Policy Research Working Paper, No. 7398


    Stock, J., Watson, M. W. 1998.
    Diffusion indexes.
    NBER Working Paper, No. 6702


    Stock, J., Watson, M. W.
    Forecasting inflation.
    Journal of Monetary Economics , 44, 293--335.


    Stock, J. H., Watson, M. W. 2002.
    Macroeconomic forecasting using diffusion indexes.
    Journal of Business \\& Economic Statistics , 20(2), 147--162.


    Stock, J. H., Watson, M. W. 2003.
    Forecasting output and inflation: The role of asset prices.
    Journal of Economic Literature , 41, 788--829.


    Stockton, D., Glassman, J. 1987.
    An evaluation of the forecast performance of alternative models of inflation.
    Review of Economics and Statistics , 69, 108--117.


    Tibshirani, R. 1996.
    Regression shrinkage and selection via the Lasso.
    Royal Statistical Society , 58(1), 267--288.


    Varian, H. 2014.
    Big data: New tricks for econometrics.
    The Journal of Economic Perspectives , 1--36.


    Vosen, S., Schmidt, T. 2011.
    Forecasting private consumption: Survey-based indicators vs. Google trends.
    Journal of Forecasting , 30(6), 565--578.


    Zou, H., Hastie,T. 2005.
    Regularization and variable selection via the elastic net.
    Royal Statistical Society , 67(2), 301--320.
    Description: 碩士
    國立政治大學
    經濟學系
    103258016
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103258016
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback