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題名 When Wall Street conflicts with Main Street—The divergent movements of Taiwan`s leading indicators
作者 Shen, Chung-Hua;Chen, Shyh-Wei
沈中華
貢獻者 金融系
關鍵詞 Wall Street; Main Street; Business cycle; Markov Switching model
日期 2006
上傳時間 23-Mar-2015 18:12:20 (UTC+8)
摘要 This paper argues that the simultaneous use of all leading indicators may result in the blending of two different sets of information, which could lead to less accurate predictions of a future recession. We divide six of Taiwan`s leading indicators into two different sectors, the real and financial sectors, and distinctly demonstrate that the two sectors may very well reveal different information. Three inconsistent, or even divergent, movements are found for 1988, 1991 and 1994, implying that the factor extracted from the real side may be different from that from the financial side. Thus, in contrast to the one-factor model typically used, we suggest a two-factor model. We compare four Markov Switching models, and it is evident that the predicted recessions based on the two-factor one-state model seem to outperform other models. The second best is the one-factor model which is only based on the real side variables, followed by the one-factor model with four variables. The worst model is that which simply uses financial variables. The results support our argument to use the two-factor model.
關聯 International Journal of Forecasting - INT J FORECASTING , vol. 22, no. 2, pp. 317-339
資料類型 article
DOI http://dx.doi.org/10.1016/j.ijforecast.2005.09.005
dc.contributor 金融系
dc.creator (作者) Shen, Chung-Hua;Chen, Shyh-Wei
dc.creator (作者) 沈中華zh_TW
dc.date (日期) 2006
dc.date.accessioned 23-Mar-2015 18:12:20 (UTC+8)-
dc.date.available 23-Mar-2015 18:12:20 (UTC+8)-
dc.date.issued (上傳時間) 23-Mar-2015 18:12:20 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73954-
dc.description.abstract (摘要) This paper argues that the simultaneous use of all leading indicators may result in the blending of two different sets of information, which could lead to less accurate predictions of a future recession. We divide six of Taiwan`s leading indicators into two different sectors, the real and financial sectors, and distinctly demonstrate that the two sectors may very well reveal different information. Three inconsistent, or even divergent, movements are found for 1988, 1991 and 1994, implying that the factor extracted from the real side may be different from that from the financial side. Thus, in contrast to the one-factor model typically used, we suggest a two-factor model. We compare four Markov Switching models, and it is evident that the predicted recessions based on the two-factor one-state model seem to outperform other models. The second best is the one-factor model which is only based on the real side variables, followed by the one-factor model with four variables. The worst model is that which simply uses financial variables. The results support our argument to use the two-factor model.
dc.format.extent 377049 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) International Journal of Forecasting - INT J FORECASTING , vol. 22, no. 2, pp. 317-339
dc.subject (關鍵詞) Wall Street; Main Street; Business cycle; Markov Switching model
dc.title (題名) When Wall Street conflicts with Main Street—The divergent movements of Taiwan`s leading indicators
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.ijforecast.2005.09.005en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.ijforecast.2005.09.005en_US