以擴散指標為基礎之總體經濟預測

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.