Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/76469


Title: 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
Authors: 李勁宏
Contributors: 徐士勛
李勁宏
Keywords: 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
Date: 2015
Issue Date: 2015-07-13 11:16:25 (UTC+8)
Abstract: 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。
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Description: 碩士
國立政治大學
經濟學系
102258035
103
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102258035
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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