運用領先指標預測景氣變化之研究; A Study of Forecasting Business Cycle by Leading Indicator

NCUIR > School of Management at National Central University > Department of Economics > Research Project > Item 987654321/43243

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/43243

Title:	運用領先指標預測景氣變化之研究;A Study of Forecasting Business Cycle by Leading Indicator
Authors:	徐之強;黃裕烈
Contributors:	經濟學系
Keywords:	轉折點;領先指標;馬可夫轉換;Turning Point;Leading Indicator;Markov-Switching;經濟學
Date:	2005-11-01
Issue Date:	2010-12-06 16:43:22 (UTC+8)
Publisher:	行政院經濟建設委員會
Abstract:	領先指標常作為判斷未來經濟活動走勢的重要依據。本計畫從預測能力的角度出發，考慮在不同的計量模型中，加入領先指標或其組成份子等變數，希望透過這些資訊，及早得知未來景氣循環之高峰谷底日期。本計畫首先探討領先指標是否有助於預測景氣循環轉折點，並比較不同線性與非線性計量模型的預測表現，找出最佳的轉折點預測模型，以提升對景氣循環轉折點預測之精確性。本計畫亦嘗試估計轉折點發生的機率，以瞭解未來景氣波動的趨勢，提供政府執行穩定政策之參考。 Leading indicators have long been used to gauge the direction of future economic activity. In this project, we provide a rigorous analysis of predictive ability of the leading index in forecasting business cycle peaks and troughs. Comparing the predictive performances of different linear and non-linear models, we discuss if the leading indicator is useful in forecasting turning points. Based on the in- and out-of-sample analyses, the best model is chosen to improve the accuracy of the turning point forecasts. We also try to propose a method for predicting probabilities of recession in real-time. These empirical results are very informative for implementing stabilization policy. 研究期間：9406 ~ 9411
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Economics] Research Project

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