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https://ah.lib.nccu.edu.tw/handle/140.119/81140| 題名: | 預測實質產出：期間利差的可預測性 Forecasting Real Output: The Role of Term Spread |
作者: | 李忠彥 Lee, Chung Yen |
貢獻者: | 饒秀華<br>徐士勛 Rau, Hsiu Hua<br>Hsu, Shih Hsun 李忠彥 Lee, Chung Yen |
關鍵詞: | 期間利差 經濟預測 term spread real output forecasting |
日期: | 2015 | 上傳時間: | 3-Feb-2016 | 摘要: | 由於1980年代開始，期間利差(term spread)被發現對於預測未來經濟狀況，存在良好的預測能力，也奠定了期間利差在對於預測未來經濟研究中的地位。因此，本文主要著重於檢視利用台灣利率資料所建構出的期間利差對於預測台灣實質經濟產出，是否也扮演著如此重要的角色。\n我們利用台灣過往的利率資料，從2002年第一季開始到2013年第四季，台灣十年期中央政府公債殖利率與31-90天期國庫券次級市場利率所建構之期間利差，除了使用樣本內(in-sample)結果的分析與樣本外(out-of-sample)的預測結果，搭配Haubrich and Dombrosky (1996)的預測方程式與均方根誤差RMSE(Root Mean Square Error)來檢視期間利差的預測實質經濟狀況的能力是否良好。\n實證結果發現，樣本內的結果顯示，期間利差的解釋能力大約延續的三個季度；而樣本外的預測結果雖不理想，但期間利差在預測方程式中仍可扮演良好的預測變數之一。\n本文發現，雖然在2007第三季發生結構性的轉變，但期間利差對於實質經濟成長率仍有良好的解釋能力，這並不影響預測的結果。而造成預測能力不佳的因素可能有幾點：第一，由Smets and Tsatsaronis(1997)所稱的總和供給面與總和需求面的衝擊導致期間利率的預測能力下降相同；第二，Wright(2006)所稱期間溢酬(term premium)在相對較低情況下，導致預測能力下降；第三，美國的貨幣政策與台灣的貨幣政策執行上有所不同。 | 參考文獻: | 一.中文文獻\n\n楊奕農，(2009)，時間序列分析：經濟與財務上之應用 第二版，雙葉書廊。\n李賢源、林玫吟，(1996)，臺灣票券市場報酬率特性之研究，中國財務學刊 4:1，頁23-48。\n朱宇琴，(1996)，利率特性與景氣循環—臺灣地區貨幣市場實證分析，國立政治大學銀行學系碩士論文。\n許原唐，(2006)，期間利差，重貼現率與不景氣之預測，國立政治大學國際貿易學系碩士論文。\n陳大文，(2003)，期間利差可預測性與台灣總體經濟預測，世新大學經濟學系碩士論文。\n蔡培倫，(1997)，長短期利率預測及其應用，東吳大學經濟學系碩士論文。\n中華民國行政院主計總處 http://www.dgbas.gov.tw/\n\n二.英文文獻\nBlanchard, O., and D. 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Hardouvelis., (1991). “The Term Structure as a Predictor of Real Economic Activity,” The Journal of Finance, 46:2, pp. 555-76.\nEstrella, A. and F. S. Mishkin., (1997). “The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank,” European Economics Review, 41, pp. 1375-401.\nEstrella, A., A., P. Rodrigues and S. Schich., (2003). “How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States,” Review of Economics and Statistics, 85:3.\nGiacomini, R. and B. Rossi., (2005). “How Stable is the Forecasting Performance of the Yield Curve for Output Growth,” mimeo, Duke University and University of California Los Angeles.\nHamilton, J. D. and D. H. Kim., (2000). “A Re-Examination of the Predictability of Economic Activity Using the Yield Spread,” NBER Working Paper No. 7954\nHarvey, C. R., (1991). “The Term Structure and World Economic Growth,” The Journal of Fixed Income, June, pp. 7-19.\nHarvey, C. R., (1988). “The Real Term Structure and Consumption Growth,” Journal of Financial Economics, 22, pp. 305-333. \nHarvey, C. R., (1989). "Forecasts of Economic Growth from the Bond and Stock Markets," Financial Analysts Journal, 45:5, pp. 38-45.\nHaubrich, J. G. and A. M. Dombrosky., (1996). “Predicting Real Growth Using the Yield Curve,” Federal Reserve Bank Cleveland Economics Review, 32:1, pp. 26-34.\nHu, Z. L., (1993). “The Yield Curve and Real Activity,” IMF Staff Papers, 40, pp. 781-806.\nLaurent, R. D., (1988). “An Interest Rate-Based Indicator of Monetary Policy,” Federal Reserve Bank Chicago Economics Perspectives, 12:1, pp. 3-14.\nLaurent, R. D., (1989).”Testing the Spread,” Federal Reserve Bank Chicago Economics Perspectives, 13, pp. 22-34.\nPandl, Z.,(2013).”The Bond Risk Premium,” ColumbiaManagement.\nSmets, F. and K. Tsatsaronis., (1997). “Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States?” BIS work. paper ,49.\nSims, C. A.,(1980). ”Comparison of Interwar and Postwar Cycles: Monetarism Reconsidered,” The American Economic Review, Vol. 70, May pp. 250-257\nStock, J. H. and M. W. Watson., (1989). “New Indexes of Coincident and Leading Economic Indicators,” NBER Macroeconomics Annual ,1989.\nStock, J. H. and M. W. Watson., (2003). “Forecasting Output and Inflation:The Role of Asset Prices,” Journal of Economic Literature, Vol XLI, pp788-829.\nKozicki,., (1997). “Predicting Real Growth and Inflation with the Yield Spread,” Federal Reserve Bank Kansas City Economic Review, 82, pp. 39-57.\nWheelock David C. and Wohar Mark E., (2009). “Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature,” Federal Reserve Bank of St. Louis Review, pp 419-440\nWright J. H., (2006-07). “The Yield Curve and Predicting Recessions,” Finance and Economics Discussion Series Paper,No. 7, Federal Reserve Board. “The yield curve and the term premium,” November 13 2006, http://econbrowser.com/archives/2006/11/the_yield_curve_2\n“The yield curve and predicting recessions,” April 4 2006, http://econbrowser.com/archives/2006/04/the_yield_curve | 描述: | 碩士 國立政治大學 經濟學系 102258021 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0102258021 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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