學術產出-Theses
Article View/Open
Publication Export
-
題名 探討期間利差、領先指標與同時指標對台灣景氣衰退機率預測能力-Probit模型應用
A study on predicting Taiwan’s recession probability using the term spread , leading indicators and coincident indicators： An application of Probit model作者 鄧宇文
Deng, Yu-Wen貢獻者 蕭明福
Shaw, Ming-Fu
鄧宇文
Deng, Yu-Wen關鍵詞 期間利差
領先指標
同時指標
景氣衰退日期 2020 上傳時間 2-Sep-2020 12:46:17 (UTC+8) 摘要 本文主要探討臺灣期間利差、國發會所編制的領先指標綜合指數、同時指標綜合指數以及其組成成分對台灣景氣衰退機率的預測能力，資料期間為2001年1月至2019年12月，資料型態為月資料，經PROBIT模型實證結果顯示，當估計期間是針對一至三個月後的景氣狀態做預測，股價指數與同時指標綜合指數與景氣衰退機率有顯著的負向關係；當估計期間是針對一至六個月後的景氣狀態做預測，領先指標綜合指數對於景氣衰退機率有顯著的負向關係；當估計期間是針對六至九個月後的景氣狀態做預測，期間利差對於景氣衰退機率有顯著的負向關係；當估計期間是針對十二個月至二十四個月的景氣狀態，期間利差對於景氣衰退機率有顯著的負向關係，領先指標綜合指數對於景氣衰退機率有顯著的正向關係，而領先指標綜合指數內的外銷訂單動向指數、半導體設備進口值及建築物開工樓面積可能已經失去提供景氣訊號的能力。 參考文獻 參考文獻一.中文文獻利秀蘭、陳惠薇(2005)，台灣景氣領先及同時變數之探討，國家發展委員會經濟研究期刊第五期，頁27-53李承璟(2004)，台股趨勢與景氣指標之分析，台灣大學經濟學研究所學位論文林大超(2003)，台灣與美國兩地景氣循環指標關聯性之研究，成功大學企業管理研究所學位論文曾惠淇(2005)，台灣領先指標綜合指數與總體經濟活動關聯性之研究，逢甲大學財務金融研究所學位論文黃明隆(2011)，貨幣供給、銀行信用與景氣循環及台股指數先後順序關係之探 討，國立東華大學管理學院高階經營管理碩士在職專班學位論文黃建銘(2012)，利用動態Probit模型預測台灣景氣衰退，中正大學國際經濟研究所學位論文劉欣姿(2013)，領先指標預測能力之研究，國家發展委員會經濟研究期刊第十三期，頁79-108劉欣姿(2018)，經濟結構變遷下對台灣景氣同時指標之影響與檢討改進，國家發展委員會經濟研究期刊第十八期，頁1-23蔡佩珍(2018)，精進領先指標對台灣景氣動向預測之能力，國家發展委員會經濟研究期刊第十八期，頁24-58簡劭騏(2019)，以Probit模型預測景氣衰退機率，國家發展委員會經濟研究期刊第二十期，頁17-46簡瑀萱(2014)，以財務與能源變數預測台灣景氣衰退─ Probit模型應用，中正大學國際經濟研究所學位論文二.英文文獻Bernard, H., & Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International journal of finance & economics, 3(3), 195-215.Bordo, M. D., & Haubrich, J. G. (2008). The yield curve as a predictor of growth: long-run evidence, 1875–1997. The review of economics and statistics, 90 (1), 182-185.Borio, C. E., Drehmann, M., & Xia, F. D. (2019). Predicting recessions: financial cycle versus term spread, BIS working papers No.818,Basel.Burns, A. F., and W. C. Mitchell.(1946). Measuring business cycles,New York: National bureau of economic research.Camacho, M., & Perez‐Quiros, G. (2002). This is what the leading indicators lead. Journal of applied econometrics, 17 (1), 61-80.Chang, D., Mattson, R. S., & Tang, B. (2019). The predictive power of the user cost spread for economic recession in China and the US. International journal of financial studies, 7(2), 34.Chauvet, M., & Potter, S. (2005). Forecasting recessions using the yield curve. Journal of forecasting, 24 (2), 77-103.Diebold, F. X., & Rudebusch, G. D. (1989). Scoring the leading indicators. Journal of business, 369-391.Diebold, F. X., & Rudebusch, G. D. (1991). Forecasting output with the composite leading index: A real-time analysis. Journal of the American statistical association, 86 (3), 603-610.Dueker, M. J. (1997). Strengthening the case for the yield curve as a predictor of US recessions. Federal Reserve Bank of St. Louis review, 79 (2), 41.Estrella, A., & Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European economic review, 41 (7), 1375-1401.Fossati, S. (2015). Forecasting US recessions with macro factors. Applied economics, 47(53), 5726-5738.Giacomini, R., & Rossi, B. (2006). How stable is the forecasting performance of the yield curve for output growth?. Oxford bulletin of economics and statistics, 68, 783-795.Hao, L., & Ng, E. C. (2011). Predicting Canadian recessions using dynamic probit modelling approaches. Canadian journal of economics revue canadienne d`économique, 44(4), 1297-1330.Hsu, T. (2016).U.S. recession forecasting using Probit models with asset index predictor variables.Economics department,The university of Maryland Baltimore County.Kauppi, H., & Saikkonen, P. (2008). Predicting US recessions with dynamic binary response models. The review of economics and statistics, 90 (4), 777-791.Lange, R. H. (2018). The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations. The North American journal of economics and finance, 44, 80-91.Lin, A. J., Chang, H. Y., & Hsiao, J. L. (2019). Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?. Transportation research part e:Logistics and transportation review, 127, 265-283.Lucas Jr, Robert.E. (1977). Understanding business cycles.Carnegie-Rochester conference series on public policy,5,7–29.Nyberg, H. (2010). Dynamic probit models and financial variables in recession forecasting. Journal of forecasting, 29 (1‐2), 215-230.Stock, J. H., & Watson, M. W. (1991). A Probability Model of the Coincident Economic Indicators . Leading economic indicators: New approaches and forecasting records, K. Lahiri and G. Moore, Eds.Wright, J. H. (2006). The yield curve and predicting recessions. Finance and economics discussion paper 2006-07 , Board of government of the Federal Reserve. 描述 碩士
國立政治大學
經濟學系
107258029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107258029 資料類型 thesis dc.contributor.advisor 蕭明福 zh_TW dc.contributor.advisor Shaw, Ming-Fu en_US dc.contributor.author (Authors) 鄧宇文 zh_TW dc.contributor.author (Authors) Deng, Yu-Wen en_US dc.creator (作者) 鄧宇文 zh_TW dc.creator (作者) Deng, Yu-Wen en_US dc.date (日期) 2020 en_US dc.date.accessioned 2-Sep-2020 12:46:17 (UTC+8) - dc.date.available 2-Sep-2020 12:46:17 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2020 12:46:17 (UTC+8) - dc.identifier (Other Identifiers) G0107258029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131787 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 107258029 zh_TW dc.description.abstract (摘要) 本文主要探討臺灣期間利差、國發會所編制的領先指標綜合指數、同時指標綜合指數以及其組成成分對台灣景氣衰退機率的預測能力，資料期間為2001年1月至2019年12月，資料型態為月資料，經PROBIT模型實證結果顯示，當估計期間是針對一至三個月後的景氣狀態做預測，股價指數與同時指標綜合指數與景氣衰退機率有顯著的負向關係；當估計期間是針對一至六個月後的景氣狀態做預測，領先指標綜合指數對於景氣衰退機率有顯著的負向關係；當估計期間是針對六至九個月後的景氣狀態做預測，期間利差對於景氣衰退機率有顯著的負向關係；當估計期間是針對十二個月至二十四個月的景氣狀態，期間利差對於景氣衰退機率有顯著的負向關係，領先指標綜合指數對於景氣衰退機率有顯著的正向關係，而領先指標綜合指數內的外銷訂單動向指數、半導體設備進口值及建築物開工樓面積可能已經失去提供景氣訊號的能力。 zh_TW dc.description.tableofcontents 第一章 緒論 1第一節 研究背景及動機 1第二節 研究目的 3第二章 文獻回顧 5第一節 景氣循環相關文獻 5第二節 以期間利差作為預測變數的相關文獻 6第三節 領先指標綜合指數與同時指標綜合指數 8第三章 實證模型 10第一節 前言 10第二節 實證方法 11第三節 樣本內配適度 13第四節 樣本外預測與樣本外配適度 14第四章 資料說明 16第一節 景氣循環基準日期 16第二節 預測景氣衰退機率的經濟變數 18第五章 實證分析 25第一節 樣本內實證結果 25第二節 樣本外估計結果 32第六章 結論與建議 35參考文獻 37 zh_TW dc.format.extent 929498 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107258029 en_US dc.subject (關鍵詞) 期間利差 zh_TW dc.subject (關鍵詞) 領先指標 zh_TW dc.subject (關鍵詞) 同時指標 zh_TW dc.subject (關鍵詞) 景氣衰退 zh_TW dc.title (題名) 探討期間利差、領先指標與同時指標對台灣景氣衰退機率預測能力-Probit模型應用 zh_TW dc.title (題名) A study on predicting Taiwan’s recession probability using the term spread , leading indicators and coincident indicators： An application of Probit model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻一.中文文獻利秀蘭、陳惠薇(2005)，台灣景氣領先及同時變數之探討，國家發展委員會經濟研究期刊第五期，頁27-53李承璟(2004)，台股趨勢與景氣指標之分析，台灣大學經濟學研究所學位論文林大超(2003)，台灣與美國兩地景氣循環指標關聯性之研究，成功大學企業管理研究所學位論文曾惠淇(2005)，台灣領先指標綜合指數與總體經濟活動關聯性之研究，逢甲大學財務金融研究所學位論文黃明隆(2011)，貨幣供給、銀行信用與景氣循環及台股指數先後順序關係之探 討，國立東華大學管理學院高階經營管理碩士在職專班學位論文黃建銘(2012)，利用動態Probit模型預測台灣景氣衰退，中正大學國際經濟研究所學位論文劉欣姿(2013)，領先指標預測能力之研究，國家發展委員會經濟研究期刊第十三期，頁79-108劉欣姿(2018)，經濟結構變遷下對台灣景氣同時指標之影響與檢討改進，國家發展委員會經濟研究期刊第十八期，頁1-23蔡佩珍(2018)，精進領先指標對台灣景氣動向預測之能力，國家發展委員會經濟研究期刊第十八期，頁24-58簡劭騏(2019)，以Probit模型預測景氣衰退機率，國家發展委員會經濟研究期刊第二十期，頁17-46簡瑀萱(2014)，以財務與能源變數預測台灣景氣衰退─ Probit模型應用，中正大學國際經濟研究所學位論文二.英文文獻Bernard, H., & Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International journal of finance & economics, 3(3), 195-215.Bordo, M. D., & Haubrich, J. G. (2008). The yield curve as a predictor of growth: long-run evidence, 1875–1997. The review of economics and statistics, 90 (1), 182-185.Borio, C. E., Drehmann, M., & Xia, F. D. (2019). Predicting recessions: financial cycle versus term spread, BIS working papers No.818,Basel.Burns, A. F., and W. C. Mitchell.(1946). Measuring business cycles,New York: National bureau of economic research.Camacho, M., & Perez‐Quiros, G. (2002). This is what the leading indicators lead. Journal of applied econometrics, 17 (1), 61-80.Chang, D., Mattson, R. S., & Tang, B. (2019). The predictive power of the user cost spread for economic recession in China and the US. International journal of financial studies, 7(2), 34.Chauvet, M., & Potter, S. (2005). Forecasting recessions using the yield curve. Journal of forecasting, 24 (2), 77-103.Diebold, F. X., & Rudebusch, G. D. (1989). Scoring the leading indicators. Journal of business, 369-391.Diebold, F. X., & Rudebusch, G. D. (1991). Forecasting output with the composite leading index: A real-time analysis. Journal of the American statistical association, 86 (3), 603-610.Dueker, M. J. (1997). Strengthening the case for the yield curve as a predictor of US recessions. Federal Reserve Bank of St. Louis review, 79 (2), 41.Estrella, A., & Mishkin, F. S. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European economic review, 41 (7), 1375-1401.Fossati, S. (2015). Forecasting US recessions with macro factors. Applied economics, 47(53), 5726-5738.Giacomini, R., & Rossi, B. (2006). How stable is the forecasting performance of the yield curve for output growth?. Oxford bulletin of economics and statistics, 68, 783-795.Hao, L., & Ng, E. C. (2011). Predicting Canadian recessions using dynamic probit modelling approaches. Canadian journal of economics revue canadienne d`économique, 44(4), 1297-1330.Hsu, T. (2016).U.S. recession forecasting using Probit models with asset index predictor variables.Economics department,The university of Maryland Baltimore County.Kauppi, H., & Saikkonen, P. (2008). Predicting US recessions with dynamic binary response models. The review of economics and statistics, 90 (4), 777-791.Lange, R. H. (2018). The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations. The North American journal of economics and finance, 44, 80-91.Lin, A. J., Chang, H. Y., & Hsiao, J. L. (2019). Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?. Transportation research part e:Logistics and transportation review, 127, 265-283.Lucas Jr, Robert.E. (1977). Understanding business cycles.Carnegie-Rochester conference series on public policy,5,7–29.Nyberg, H. (2010). Dynamic probit models and financial variables in recession forecasting. Journal of forecasting, 29 (1‐2), 215-230.Stock, J. H., & Watson, M. W. (1991). A Probability Model of the Coincident Economic Indicators . Leading economic indicators: New approaches and forecasting records, K. Lahiri and G. Moore, Eds.Wright, J. H. (2006). The yield curve and predicting recessions. Finance and economics discussion paper 2006-07 , Board of government of the Federal Reserve. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001472 en_US
