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題名 台灣經濟成長率與其組成因子之預測績效評估
The Forecast Performance of GDP and GDP components作者 陳建安 貢獻者 徐士勛
陳建安關鍵詞 預測評估 日期 2014 上傳時間 1-Jul-2015 14:59:46 (UTC+8) 摘要 本篇論文以 Sinclair and Stekler (2013) 作為基本架構，以台灣主計總處每個二、五、八及十一月所發布新聞稿內的經濟成長作為研究對象，透過多個面向來探討檢驗主計總處所提供的經濟預測，本文除了探討經濟成長外，也一併探討其組成因子，並在最後 做一個全面性的檢視。我們的實證結果顯示，主計總處在對於經濟成長及其組成因子的預測上，還具有進步的空間，其大多數的變數都不具效率性，即其預測值沒有將所有可用的訊息給包含進去。但若以組成份子的平均向量來看，主計總處的預測值和其後 一季的實現值，兩者間並沒有顯著的差異，故我們可以確認，平均來看，主計總處所提供的預測值還是可以為研究者作為參考依據。 參考文獻 梁國源、周大森 (2002)，「臺灣經濟預測引用國際數據之檢視─以WEFA、 IMF 與 OECD 為例」，《臺灣經濟預測與政策》，33(1)，41-74。 徐士勛，管中閔與羅雅惠 (2005), 「以擴散指標為基礎之總體經濟預測」，《臺灣經濟預測與政策》, 36(1), 1–28。 陳宜廷，徐士勛，劉瑞文與莊額嘉 (2011)，「經濟成長率預測之評估與更新」， 《經濟論文叢刊》，39(1)， 1-44。 [Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011),“Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review,39(1), 1-44.] Aruoba, S. B. (2008). Data revisions are not well ehaved. Journal of Money,Credit and Banking, 40, 319–340. Capistran, Carlos and Gabriel Lopez-Moctezuma. 2010. Forecast Revisions of Mexican Inflation and GDP Growth. Working Paper 2010-11, Banco de Mexico. Faust, J., Rogers, J. H., \\& Wright, J. H. (2005). News and noise in G-7 GDP announcements. Journal of Money, Credit and Banking, 37(3), 403-419. Joutz, F. L., \\& Stekler, H. O. (1998). Data revisions and forecasting. Applied Economics, 30, 1011–1016. Mankiw, N. G., Runkle, D. E., \\& Shapiro, M. D. (1984). Are preliminary announcements of the money stock rational forecasts? Journal of Monetary Economics, 14, 15-27. Mankiw, N. G., \\& Shapiro, M. D. (1986). News or noise: an analysis of GNP revisions. Survey of Current Business, 66(May), 20-25. Mincer, J., \\& Zarnowitz, V. (1969). The evaluation of economic forecasts. In J. Mincer (Ed.), Economic forecasts and expectations. New York: National Bureau of Economic Research. Morgenstern, O. (1963). On the accuracy of economic observations. Princeton: Princeton University Press. Sinclair, T. M., Gamber, E. N., Stekler, H., and Reid, E. (2012). Jointly evaluating the federal reserve forecasts of gdp growth and inflation. International Journal of Forecasting, 28(2):309-314. Sinclair, Tara M. and Herman O. Stekler (2013), Examining the quality of early GDP component estimates, International Journal of Forecasting, 2013, 29 (4), 736-750. Stekler, H. O. (1967). Data revisions and economic forecasting. Journal of the American Statistical Association, 62, 470-483. Zellner, A. (1958). A statistical analysis of provisional estimates of gross national product and its components, of selected national income components, and of personal saving. Journal of the American Statistical Association, 53, 54-65. 描述 碩士
國立政治大學
經濟學系
102258027
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102258027 資料類型 thesis dc.contributor.advisor 徐士勛 zh_TW dc.contributor.author (Authors) 陳建安 zh_TW dc.creator (作者) 陳建安 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 1-Jul-2015 14:59:46 (UTC+8) - dc.date.available 1-Jul-2015 14:59:46 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2015 14:59:46 (UTC+8) - dc.identifier (Other Identifiers) G0102258027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76246 - 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) 102258027 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本篇論文以 Sinclair and Stekler (2013) 作為基本架構，以台灣主計總處每個二、五、八及十一月所發布新聞稿內的經濟成長作為研究對象，透過多個面向來探討檢驗主計總處所提供的經濟預測，本文除了探討經濟成長外，也一併探討其組成因子，並在最後 做一個全面性的檢視。我們的實證結果顯示，主計總處在對於經濟成長及其組成因子的預測上，還具有進步的空間，其大多數的變數都不具效率性，即其預測值沒有將所有可用的訊息給包含進去。但若以組成份子的平均向量來看，主計總處的預測值和其後 一季的實現值，兩者間並沒有顯著的差異，故我們可以確認，平均來看，主計總處所提供的預測值還是可以為研究者作為參考依據。 zh_TW dc.description.tableofcontents 1 緒論------------------------------------------------- 4 2 文獻回顧--------------------------------------------- 4 2.1 國外相關文獻-------------------------------------- 4 2.2 國內相關文獻-------------------------------------- 6 3 實證模型-----------------------------------------------7 3.1 最適預測-------------------------------------------7 3.2 Mincer and Zarnowitz Regression-------------------8 3.3 Vector Autoregression---------- ------------------- 9 3.4 Mahalanobis Distance----------------------------- 9 4 實證資料--------------------------------------------- 10 5 實證分析--------------------------------------------- 14 5.1 方向偏誤之衡量----------------------------------- 14 5.2 系統性偏誤之衡量--------------------------------- 15 5.3 預測值向量以及實現值向量之間的差異----------------- 19 6 結論------------------------------------------------ 21 附錄-------------------------------------------------- 22 參考文獻----------------------------------------------- 31 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102258027 en_US dc.subject (關鍵詞) 預測評估 zh_TW dc.title (題名) 台灣經濟成長率與其組成因子之預測績效評估 zh_TW dc.title (題名) The Forecast Performance of GDP and GDP components en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 梁國源、周大森 (2002)，「臺灣經濟預測引用國際數據之檢視─以WEFA、 IMF 與 OECD 為例」，《臺灣經濟預測與政策》，33(1)，41-74。 徐士勛，管中閔與羅雅惠 (2005), 「以擴散指標為基礎之總體經濟預測」，《臺灣經濟預測與政策》, 36(1), 1–28。 陳宜廷，徐士勛，劉瑞文與莊額嘉 (2011)，「經濟成長率預測之評估與更新」， 《經濟論文叢刊》，39(1)， 1-44。 [Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011),“Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review,39(1), 1-44.] Aruoba, S. B. (2008). Data revisions are not well ehaved. Journal of Money,Credit and Banking, 40, 319–340. Capistran, Carlos and Gabriel Lopez-Moctezuma. 2010. Forecast Revisions of Mexican Inflation and GDP Growth. Working Paper 2010-11, Banco de Mexico. Faust, J., Rogers, J. H., \\& Wright, J. H. (2005). News and noise in G-7 GDP announcements. Journal of Money, Credit and Banking, 37(3), 403-419. Joutz, F. L., \\& Stekler, H. O. (1998). Data revisions and forecasting. Applied Economics, 30, 1011–1016. Mankiw, N. G., Runkle, D. E., \\& Shapiro, M. D. (1984). Are preliminary announcements of the money stock rational forecasts? Journal of Monetary Economics, 14, 15-27. Mankiw, N. G., \\& Shapiro, M. D. (1986). News or noise: an analysis of GNP revisions. Survey of Current Business, 66(May), 20-25. Mincer, J., \\& Zarnowitz, V. (1969). The evaluation of economic forecasts. In J. Mincer (Ed.), Economic forecasts and expectations. New York: National Bureau of Economic Research. Morgenstern, O. (1963). On the accuracy of economic observations. Princeton: Princeton University Press. Sinclair, T. M., Gamber, E. N., Stekler, H., and Reid, E. (2012). Jointly evaluating the federal reserve forecasts of gdp growth and inflation. International Journal of Forecasting, 28(2):309-314. Sinclair, Tara M. and Herman O. Stekler (2013), Examining the quality of early GDP component estimates, International Journal of Forecasting, 2013, 29 (4), 736-750. Stekler, H. O. (1967). Data revisions and economic forecasting. Journal of the American Statistical Association, 62, 470-483. Zellner, A. (1958). A statistical analysis of provisional estimates of gross national product and its components, of selected national income components, and of personal saving. Journal of the American Statistical Association, 53, 54-65. zh_TW
