Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32275


Title: 三分類Qual VAR模型-美國景氣預測之應用
Authors: 蔡郁敏
Tsai,Yu-Min
Contributors: 鍾經樊
Chung,Ching-Fan
蔡郁敏
Tsai,Yu-Min
Keywords: 景氣循環
屬質變數
Qual VAR
Gibbs sampling
Probit Model
Date: 2004
Issue Date: 2009-09-14 13:33:30 (UTC+8)
Abstract: 追求長期穩定的經濟成長是每個國家欲追求的目標,在經濟發展過程中,外在衝擊常常導致經濟體系的景氣循環波動,而短期間景氣循環的大幅波動將不利於經濟體系穩定發展,因為民眾的消費、廠商的投資決策以及政府政策的規劃與實施,都深深受到景氣變動的影響。因此準確預測景氣動向,深受經濟學者、政府以及一般民眾的重視。
預估景氣循環擴張和衰退持續期間的長短並不容易,由美國國家經濟研究局 提供的資料得知,第二次世界大戰後,美國景氣擴張最長的時間,曾經延續了一百零六個月,而最短的則只有十二個月;在景氣衰退方面,最短是六個月,最長則為十六個月。而二次大戰前,時間變化的幅度就更大了。由於景氣變化前的徵兆並不是很顯著,因此許多經濟學者從各種方面來探討與分析景氣循環。
本篇論文引用 ordered Probit 模型對 Dueker (2005) 文章作一個擴展與應用,將Dueker文中原本的二分類:景氣衰退、景氣擴張延伸為景氣三分類:景氣衰退、景氣狀態不明與景氣擴張,帶入 Qual VAR 模型並利用Gibbs sampling模擬未知參數與變數,藉由統計分析,希望能對景氣循環提出一個更為詳細的詮釋。而本篇論文的目的希望在相對於二分類模型,在總體現象上能提供一個更為完善與更明確的描述,使得在分析上能更完整。參考 NBER 所公佈的景氣轉折點並輔以其他指標,將景氣區分為三分類,以 Qual VAR 模型模擬出景氣三分類的景氣指標,再對這個指標做預測分析,並比較美國景氣在二分類與三分類之下的異同。結果指出三分類模型成功的預測出 2002 年第一季到 2003 年第三季美國景氣擴張的狀態,而三選擇模型的模型比起二選擇模型,對於預測景氣狀態有更為明確的判斷,且加入一分類指標,提供新的景氣變動解釋,幫助人們做出更為合適的決策。
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Description: 碩士
國立政治大學
經濟研究所
92258027
93
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580271
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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