| dc.contributor.advisor | 徐士勛 | zh_TW |
| dc.contributor.advisor | Hsu, Shih Hsun | en_US |
| dc.contributor.author (Authors) | 張慈恬 | zh_TW |
| dc.contributor.author (Authors) | Chang, Ci Tian | en_US |
| dc.creator (作者) | 張慈恬 | zh_TW |
| dc.creator (作者) | Chang, Ci Tian | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 5-Oct-2011 14:52:15 (UTC+8) | - |
| dc.date.available | 5-Oct-2011 14:52:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Oct-2011 14:52:15 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0098258013 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51390 | - |
| 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) | 98258013 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文擴充Ang et al. (2007)之基本架構,分別建構台灣各式月資料與季資料的物價指數預測模型,並進行預測以及實證分析。我們用以衡量通貨膨脹率的指標為 CPI 年增率與核心CPI 年增率。我們比較貨幣模型、成本加成模型、6 種不同設定的菲力浦曲線模型、3 種期限結構模型、隨機漫步模型、 AO 模型、ARIMA 模型、VAR 模型、主計處(DGBAS)、中經院(CIER) 及台經院(TIER) 之預測。藉由此研究,我們可以完整評估出文獻上常用之各式月資料及季資料預測模型的優劣。我們實證結果顯示,在月資料預測模型樣本外預測績效表現方面, ARIMA 模型對 2 種通貨膨脹率指標的樣本外預測能力表現最好。至於季資料預測模型樣本外預測績效表現, ARIMA 模型對未來核心 CPI 年增率的樣本外預測能力表現最好; 然而,對於 CPI 年增率為預測目標的預測模型則不存在最佳的模型。此外,實證分析中我們也發現本研究所建構的模型預測表現仍遜於主計處的預測,但部份模型的樣本外預測能力表現則比中經院與台經院的預測為佳。 | zh_TW |
| dc.description.abstract (摘要) | This paper compares the forecasting performance of inflation in Taiwan. We conduct various inflation forecasting methods (models) for two inflation measures(CPI growth rate and core-CPI growth rate) by using monthly and quarterly data. Besides the models of Ang et al. (2007), we also consider some macroeconomic models for comparison. We compare some Monetary models, Mark-up models, six variants of Phillips curve models, three variants of term structure models, a Random walk model, an AO model, an ARIMA model, and a VAR model. We also compare the forecast ability of these model with three different survey forecasts (the DGBAS, CIER, and TIER surveys).We summarized our findings as follows. The best monthly forecasting model for both inflation measures is ARIMA model. For quarterly core-CPI inflation, ARIMA model is also the best model; however, when comparing the quarterly forecasts for CPI inflation, there does not exist the best one. Besides, we also found that the DGBAS survey outperforms all of our forecasting methods/models, but some of our forecasting models are better than the CIER and TIER surveys in terms of MAE. | en_US |
| dc.description.tableofcontents | 第一章 緒論 31.1 研究動機與目的 31.2 研究架構 6第二章 文獻回顧 72.1 國外通貨膨脹率預測相關文獻探討 72.2 國內通貨膨脹率預測相關文獻探討 14第三章 實證模型建立 163.1 總體經濟模型 163.1.1 貨幣模型 163.1.2 成本加成模型 163.1.3 菲力浦曲線模型 183.1.4 期限結構模型 193.2 時間序列模型 203.2.1 隨機漫步模型 203.2.2 ARIMA 模型 203.2.3 VAR 模型 22第四章 研究方法 234.1 ADF 單根檢定 234.2 共整合檢定 244.3 Hodrick-Prescott 濾器 264.4 評估預測模型準則 274.4.1 調整後判定係數 274.4.2 絕對平均誤差 274.4.3 均誤差平方根 274.5 評估預測模型檢定 28第五章 證結果與分析 295.1 資料來源與說明 295.1.1 資料來源 295.1.2 研究期間 295.1.3 研究對象 305.2 月資料預測模型實證分析 325.2.1 ADF 單根檢定與共整合檢定 325.2.2 模型配適能力比較 335.2.3 模型樣本外預測績效評估 345.3 季資料預測模型實證分析 365.3.1 ADF 單根檢定與共整合檢定 365.3.2 模型配適能力比較 375.3.3 模型樣本外預測績效評估 385.4 與其他文獻結果作比較 41第六章 結論 42圖 43表 44參考文獻 63附錄 67 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0098258013 | en_US |
| dc.subject (關鍵詞) | 通貨膨脹率預測 | zh_TW |
| dc.subject (關鍵詞) | 樣本外預測 | zh_TW |
| dc.subject (關鍵詞) | 貨幣模型 | zh_TW |
| dc.subject (關鍵詞) | 成本加成模型 | zh_TW |
| dc.subject (關鍵詞) | 菲力浦曲線 | zh_TW |
| dc.subject (關鍵詞) | 期限結構 | zh_TW |
| dc.subject (關鍵詞) | 隨機漫步模型 | zh_TW |
| dc.subject (關鍵詞) | ARIMA 模型 | zh_TW |
| dc.subject (關鍵詞) | VAR 模型 | zh_TW |
| dc.subject (關鍵詞) | Forecasting inflation | en_US |
| dc.subject (關鍵詞) | out-of-sample forecast | en_US |
| dc.subject (關鍵詞) | monetary model | en_US |
| dc.subject (關鍵詞) | mark-up model | en_US |
| dc.subject (關鍵詞) | Phillips curve | en_US |
| dc.subject (關鍵詞) | term structure | en_US |
| dc.subject (關鍵詞) | random walk model | en_US |
| dc.subject (關鍵詞) | ARIMA model | en_US |
| dc.subject (關鍵詞) | VAR model | en_US |
| dc.title (題名) | 台灣消費者物價指數的預測評估與比較 | zh_TW |
| dc.title (題名) | The evaluations and comparisons of consumer price index`s forecasts in Taiwan | en_US |
| dc.type (資料類型) | thesis | en |
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