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姓名	宋政達(Chen-Ta Sung)  查詢紙本館藏	畢業系所	經濟學系
論文名稱	通貨膨脹率預測:考慮結構變動之動態因子模型應用 (Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability)
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摘要(中)	本文以 Stock and Watson (2008a) 的模型方法作為基礎架構,建立一個納入結構性變動的動態因子預測模型。本研究對台灣 115 個總體經濟變數分別作 Chow 檢定以及樣本內預測,而樣本外預測則針對通貨膨脹率作未來一季至四季的預測。我們並將變數依其特性區分成生產面和金融面市場變數,以探討不同市場對通貨膨脹率的預測能力。實證結果發現,動態因子預測模型中的參數確實存在結構性變動,而動態因子模型在加入結構性變動後,在結構性變動前與結構性變動後的兩段時間內,樣本內預測的預測能力皆勝過未加入結構性變動的動態因子模型。將變數區分市場後,雖無法提高對生產面變數的預測能力,但卻可以提高對金融面變數的預測能力,並且提高動態因子模型對通貨膨脹率的樣本外預測能力。
摘要(英)	In this paper,we use a structural change dynamic factor forecasting model proposed by Stock and Watson (2008a).We focus on Taiwan’’s 115 macroeconomic variables employ in the Chow test and in-sample forecasting.The inflation rate for the next four quarter do out of sample forecasting.We also classify the macroeconomic variables into three kinds of markets (namely, the commodity, finance and labor markets) and discussion of the different markets predict the inflation rate.Empirical results indicate that the dynamic factor forecasting model existence of structural changes in the parameters.We find that DFM with structural changes has batter performance of in-sample forecasting than without structural changes.We also find that discriminate the market variables can improve the dynamic factor model to predict the inflation rate.
關鍵字(中)	★ 通貨膨脹率 ★ 結構性變動 ★ 因子模型	關鍵字(英)	★ factor model ★ inflation rate ★ structural change
論文目次	1緒論 1 2文獻回顧 3 3模型和方法 8 3.1動態因子模型 ........................................8 3.2分開樣本的時間變動預測函 ........................... 10 3.3因子個數選取 ........................................12 3.3.1樣本內預測 ....................................... 12 3.3.2樣本外預測 ....................................... 12 4研究資料 14 5實證方法和結果分析 14 5.1決定結構性變動時間 ..................................14 5.2樣本內預測實證結果 ................................. 15 5.2.1因子個數選取 ..................................... 15 5.2.2因子負載和預測迴歸係數的穩定性檢定 ............... 16 5.2.3樣本內預測表現評估 ............................... 19 5.3樣本外預測結果和評估 ............................... 22 6結論 24 參考文獻...................................26 表目錄 1不區分市場因子估計個數 ................................30 2不區分市場典型相關係數 ................................30 3生產面市場因子估計個數 ................................31 4生產面市場典型相關係數 ................................31 5金融面市場因子估計個數 ................................32 6金融面市場典型相關係數 ................................32 7不區分市場 Chow檢定結果 .............................. 33 8生產面市場 Chow檢定結果 .............................. 38 9金融面市場 Chow檢定結果 .............................. 41 10不區分市場預測迴歸 RMSE和相對 RMSE .................. 43 11生產面市場預測迴歸 RMSE和相對 RMSE .................. 48 12金融面市場預測迴歸 RMSE和相對 RMSE .................. 51 13 CPI季增率樣本外預測各模型 RMSE...................... 53 14 CPI年增率樣本外預測各模型 RMSE...................... 53 15 GDP Deflator季增率樣本外預測各模型 RMSE.............. 54 16 GDP Deflator年增率樣本外預測各模型 RMSE.............. 54 17附錄1:資料處理和分類 ................................ 58 圖目錄 1第1個因子能解釋各變數的比例 (R2)...................... 55 2第2個因子能解釋各變數的比例 (R2)...................... 55 3第3個因子能解釋各變數的比例 (R2)...................... 56 4第4個因子能解釋各變數的比例 (R2).......................56 5第5個因子能解釋各變數的比例 (R2)...................... 57 6第6個因子能解釋各變數的比例 (R2)...................... 57
參考文獻	參考文獻 徐之強,陳雅玫和高志祥, 2004.多變量動態因子預測方法應用之研究,中華民國台灣地區國民經濟動向統計季報, 104, 52–67. 徐士勛,管中閔和羅雅惠, 2005.以擴散指標為基礎之總體經濟預測,台灣經濟預測與政策, 36, 1–28. 陳旭昇, 2008.時間序列分析-總體經濟與財務金融之應用,東華書局. 楊奕農, 2009.時間序列分析-經濟與財務上之應用二版,雙葉書廊. Artis, M. J. and M. Marcellino, 2001. Fiscal forecasting: The track record of IMF, OECD and EC, Econometrics Journal, 4, 20–36. Atkeson, A. and L.E. Ohanian, 2001. Are phillips curves useful for forecasting inflation ?, Federal Reserve Bank of Minneapolis Quarterly Review, 25, 2–11. Bai, J., and S. Ng, 2002. Determining the number of factors in approximate factor models, Econometrica, 70, 191–221. Banerjee, A.M. Marcellino and I. Masten, 2006. Forecasting macroeconomic variables forthe accession countries, The Mcentral and Eastern European Countries and the European Union, In Artis, M.J. , A. Banerjee and M. Marcellino (Eds.), 108–134. Banerjee, A., M. Marcellino, and I. Masten, 2007. Forecasting macroeconomic variables using diffusion indexes in short samples with structural change, Forthcoming in Forecasting in the Presence of Structural Breaks and Model Uncertainty, Edited by D. Rapach and M. Wohar, Elsevier, Cecchetti, S.G., Rita S.C., and Charles S., 2000. The unreliability of inflation indicators, Federal Reserve Bank of New York Current Issues in Economics and Finance, 6, 1–6. Chamberlain, G., 1983. Funds, factors, and diversification in arbitrage pricing models, Econometrica, 51, 1281–1304. Chamberlain, G., and M. Rothschild, 1983. Arbitrage, factor structure and mean-variance analysis in large markets, Econometrica, 51, 1305–1324. Clements, M.P., and D.F. Hendry, 1999. Forecasting non-stationary economic time series, Cambridge, Mass: MIT Press, Geweke, J., 1977. The dynamic factor analysis of economic time series, D.J. Aigner and A.S. Goldberger, Eds., Latent Variables in Socio-Economic Models, Gordon, R.J., 1990. U.S. Inflation, labor’s share, and the natural rate of unemployment, In Economics of Wage Determination (Heinz Konig, Ed.), Gupta R and Kabundi A, 2008. A dynamic factor model for forecasting macroeconomic variables in south, Working Paper Hansen, B. E. , 2001. The new econometrics of structural change: Dating breaks in U.S. labor productivity, Journal of Economic Perspectives, 15, 117–128. Sargent, T.J., and C.A. Sims, 1977. Business cycle modeling without pretending to have too much a-priori economic theory, In New Methods in Business Research (C. Sims, eds.) Federal Reserve Bank of Minneapolis. Sims, C. A. , 1980. Macroeconomics and reality, Econometrica, 48, 1–48. Stock, J.H., and M.W. Watson, 1998. Diffusion indexes, NBER Working Paper no.6072, Stock, J.H., and M.W. Watson, 1999. Forecasting inflation, Journal of Monetary Economics, 44, 293–335. Stock, J.H., and M.W. Watson,2002.Macroeconomic forecasting using diffusion indexes, Journal of Business and Economic Statistics, 20, 147–162 Stock, J.H., and M.W. Watson, 2008a. Forecasting in dynamic factor models subject to structural instability, In the Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry, ed. by J. Castle, and N. Shep-hard. Oxford University Press, Oxford. Stock, J.H., and M.W. Watson, 2008b. Phillips curve inflation forecast, NBER Working Paper Series
指導教授	徐之強(CHIH-CHIANG HSU)	審核日期	2010-6-25
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