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https://ah.lib.nccu.edu.tw/handle/140.119/76469| 題名: | 台灣景氣轉折點預測-Probit模型與組合預測的應用 Forecasting the Turning Points of Taiwan Business Cycles by using Probit Model and Combined Forecasts |
作者: | 李勁宏 | 貢獻者: | 徐士勛 李勁宏 |
關鍵詞: | 景氣轉折點 Probit模型 期間利差 領先指標 組合預測 business cycle turning point Probit model yield spread leading indicator combination forecasting |
日期: | 2015 | 上傳時間: | 13-Jul-2015 | 摘要: | 本文使用具有事前訊息的領先指標與期間利差作為預測變數,根據不同利差與落後期選擇的 Probit 模型,利用遞迴的方式預測景氣轉折點發生機率,並進一步將個別預測結果進行組合,試圖找出能降低不確定性且優於個別預測結果的方法。實證結果發現,使用 Diebold and Mariano 檢定的預測包容法為其中最優的組合方法,無論是轉折點訊號或預測誤差都能優於半數以上的個別預測。此外,本文亦估計即期景氣轉折點的發生機率,根據模型的估計結果推斷,自 2012 年 2 月至 2015 年 3 月為止,景氣仍處於擴張階段。 | 參考文獻: | 何棟欽(2011),影響景氣循環的因素,台灣經濟論衡,9,55-82。\n\n徐之強、黃裕烈(2005)，運用領先指標預測景氣變化之研究，行政院經濟建設委員會委託研究報告。\n\n徐志宏、周大森(2010),近期台灣景氣循環峰谷之認定,經濟研究,10,1-35。\n\n劉瑞文、管中閔、陳思寬(2014),台灣真實經濟成長率的估計:卡門過濾法之應用,應用經濟論叢,95,1-33。\n\nBry and Boschan(1971). Cyclical analysis of times series: selected procedures and computer programs. NBER.\n\nChikako and Turgut (2011).Predicting Recessions: A New Approach for Identifying Leading Indicators and Forecast Combinations\n\nC. Primo, C. A. T. Ferro , I. T. Jolliffe and D. B. Stephenson (2008).Combination and Calibration Methods for Probabilistic Forecasts of Binary Events. Working Paper.\n\nChristian R. Proano and Thomas Theobald(2014). Predicting recessions with a composite real-time dynamic probit model. International Journal of Forecasting ,30,898-917.\n\nC. Genest , Zidek and J. V. (1986). Combining probability distributions: A critique and an annotated bibliography. Statistical Science, 1, 114-148.\n\nEstrella, A. and Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity. Journal of Finance, 46, 555-576.\n\n\nEstrella, A. and Mishkin, F. S. (1998). Predicting US recessions: financial variables as leading indicators. Review of Economics and Statistics,80, 45-61.\n\nHenri Nyberg (2010). Dynamic probit models and financial variables in recession forecasting. Journal of Forecasting\n\nH. Nyberg (2010). Dynamic probit models and financial variables in recession forecasting. Journal of Forecasting, 29, 215-230.\n\nJ. Scott Armstrong(2001).Combining forecasts Principles of forecasting. 417-439\n\nJoseph Atta-Mensah and Greg Tkacz(1998). Predicting Canadian Recessions Using Financial Variables: A Probit Approach. Working Papers 98-5, Bank of Canada.\n\nKauppi, H. and Saikkonen, P. (2008). Predicting US recessions with dynamic binary response models. The Review of Economics and Statistics, 90,777–791.\n\nMonica Billio , Roberto Casarin, Francesco Ravazzolo and Herman K. van Dijk(2011).Econometrics and Tinbergen Institutes\n\n\nR. T. Clemen and R. L. Winkler(1987). Calibrating and combining precipitation probability forecasts.Probability and Bayesian Statistics ,97-110.\n\nRudebusch, G. D. and Williams, J. C. (2009). Forecasting recessions: the puzzle of the enduring power of the yield curve. Journal of Business and Economic Statistics, 27(4), 492-503.\n\nRoopesh Ranjan and Tilmann Gneiting(2008).Combining Probability Forecasts,Technical Report, 543\n\nThomas Theobald(2012).Combining Recession Probability Forecasts from a Dynamic Probit Indicator.Macroeconomic Policy Institute.\n\nT. S. Wallsten , D. V. Budescu , I. Erev and A. Diederich (1997): Evaluating and Combining Subjective Probability Estimates. Journal of Behavioral Decision Making, 10, 243-268.\n\nRudebusch, G. D. and Williams, J. C. (2009). Forecasting recessions: the puzzle of the enduring power of the yield curve. Journal of Business and Economic Statistics, 27(4), 492-503.\n\nRoopesh Ranjan and Tilmann Gneiting(2008).Combining Probability Forecasts,Technical Report, 543\n\nTimmermann, A. (2006). Forecast combinations. In Handbook of economic forecasting ,135-196.\n\nUlrich Fritsche and Vladimir Kuzin, (2005). Prediction of Business Cycle Turning Points in Germany,Journal of Economics and Statistics 225(1), 22-43.\n\nWright, J.H. (2006). The yield curve and predicting recessions. Technical report, Division of Monetary Affairs, Federal Reserve Board. | 描述: | 碩士 國立政治大學 經濟學系 102258035 103 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0102258035 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| 803501.pdf | 1.38 MB | Adobe PDF2 | View/Open |
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