預測熊市的總體經濟聯合指標

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姓名

梁可靖(Ko-Chin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

預測熊市的總體經濟聯合指標
(Aligned Macroeconomic Index for Forecasting the Bear Markets)

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摘要(中)

我們透過 PLS 方法建構總體經濟聯合指標，並成為一強大的熊市預測指標。藉由將馬可夫轉換模型應用於美國標普五百指數報酬率上，我們可以辨識出熊市期間與該期間對應之熊市機率。不論在樣本內或樣本外的檢定，總體經濟聯合指標在預測熊市機率都統計上顯著優於其他指標，包含投資人情緒指標以及其他二十五個總體經濟指標。此外，將 PLS 應用在不同市場指標時，此方法仍可以維持其預測能力。

摘要(英)

We use the PLS method to construct an aligned macroeconomic index, which is powerful in forecasting the bear markets. By using the Markov-switching model to return of the S&P 500 index, we identify the bear market and obtain the probability of each period. No matter in- and out-of-sample test, this index statistically outperforms twenty-five macroeconomic variables and the investor sentiment index in prediction bear markets. What is more, this method also could be applied to different market indicators, and the results remain robust.

關鍵字(中)

★ 總體經濟
★ 熊市

關鍵字(英)

★ Macroeconomic
★ PLS
★ Bear Markets

論文目次

中文摘要 i
Abstract ii
Acknowledgements iii
Table of Contents iv
List of Figures v
List of Tables vi
1 Introduction 1
2 Methodology 3
2-1 Identify bear market 3
2-2 Aligned macroeconomic index ECON PLS 4
2-3 Predictive regression evaluation 6
3 Data and Empirical Results 8
3-1 Data 8
3-2 Result of Markov-switching models 12
3-3 In-sample and out-of-sample results 12
4 Robustness Check 15
4-1 Smoothing probabilities 15
4-2 Other market indicators 15
4-3 Nonparametric approach 15
5 Conclusion 17

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2019-7-25

推文