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題名：台灣總體經濟預測值特性之探討
作者：陳寶媛 引用關係
作者(外文)：Pao-Yuan Chen
校院名稱：國立中正大學
系所名稱：國際經濟研究所
指導教授：吳中書
學位類別：博士
出版日期：2004
主題關鍵詞：總體經濟預測；理性預期假說；一般化動差法；預測組合；預測準確度；Macroeconomic Forecasts；Rational Expectation Hypothesis；GMM；Combination of Forecast；Forecast Accuracy；Forecast Leader
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鑑於經濟成長率與通貨膨脹率等總體變數的預測，攸關國家未來施政方向的擬定與政策的推行。因此本文以台灣實質GDP變動率與CPI變動率此二變數的預測資料為研究對象。同時將年預測資料與季預測資料納入考量。本文藉由行政院主計處(DGBAS)、中央研究院經濟研究所(IEAS)、中華經濟研究院(CIER)、台灣經濟研究院(TIER)、環球透視公司(Global Insight Inc. )、亞洲開發銀行(ADB)與國際貨幣基金(IMF)等國內外機構所提供的預測數據，將實際值與預測值搭配組合，並按各機構預測資料的多寡分數個區間，來進行理性預期假說檢定、預測精確度比較與預測機構間的相關性檢定。
一、在理性預期假說檢定方面，本文分別採用變異數分析、不偏與效率性檢定此三種方法，就上述七家機構的個別預測資料與所有機構所形成的追蹤資料(panel data)，先以GMM 估計再進行理性預期假說的檢定，結果發現： 1、在實質GDP變動率的預測方面，主計處、中研院經研所、中經院、台經院、環球透視公司、亞洲開發銀行與國際貨幣基金所提供的年預測數據與主計處、中經院、台經院所提供的季預測數據，大都無法滿足理性預期假說的效率性條件；但就不偏性而言，季資料的表現則優於年資料。2、在CPI變動率的預測方面，主計處、中研院經研所、中經院、台經院、環球透視公司、亞洲開發銀行與國際貨幣基金所提供的年預測與主計處、中經院、台經院所提供的季預測，大都無法滿足理性預期假說的不偏與效率性條件。
二、在預測準確度比較方面，除了採用RMSE、RMSE% 與P. I.之外，並採用Diebold & Mariano(1995)檢定準則來評比各機構的預測準確度，結果發現： 1、無論樣本期間的長短或預測機構家數的多寡，也不管是年預測或是季預測，一般而言，預測組合值的精確度皆高於個別機構預測值的準確度。2、不管採用的衡量指標為何，主計處對CPI變動率的季預測值，其預測準確度皆優於中經院與台經院。3、就單一機構實際值與預測值不同搭配組合的精確度而言：(1)、不管實際值為何，採用年中預測的模型，其預測精確度優於採用年底預測的模型。(2)、若以預測時點固定來比較實際值的搭配，則以搭配2月初步估計的組合，其預測準確度比較高。4、當採用Diebold & Mariano(1995)檢定準則時，就經濟成長率而言，無論是年預測還是季預測，所有預測機構對台灣經濟成長率的預測力，大致上是與主計處的預測力沒有差異的。
三、在預測趨勢分析與預測相關性檢定方面，本文以預測資料是否能捕捉實際資料的走勢來驗證預測資料的可用性，並且對主計處之預測是否會影響其他各預測機構之預測進行相關性檢定。結果發現：
(一)、就預測資料反應真實資料變化趨勢的能力而言：
1、在經濟成長率方面：(1)、各機構對經濟成長率的年預測，雖都具有「當景氣由好轉壞時仍過度樂觀，高估經濟成長」、「當景氣由谷底回升時卻仍持續看壞未來經濟成長」的共步(comovement)現象，但是它們大部分都能捕捉到經濟成長率下降的趨勢。(2)、就季預測而言，主計處、中經院與台經院所提供的預測訊息，大都能捕捉到實際成長率的變化過程。2、在CPI變動率方面：(1)、就年預測而言，在1995年至2002年這段期間，台灣的CPI變動率呈現逐年下降的趨勢。在此通貨緊縮的階段，自1996年起，主計處、中研院與國際貨幣基金對消費者物價指數變動率的年預測值，連續6年都準確的捕捉到了實際值上升或下降的轉折過程。而台經院與亞洲開發銀行在此區間的預測表現亦很出色，自1995年之後，台經院與亞銀每次都準確的預測到消費者物價指數變動率將會下降的事實。(2)、就季預測而言，主計處、台經院與中經院對CPI變動率的季預測大都有高估的情況。至於對CPI變動率上升、下降的轉折預測，則以主計處與台經院的表現較為準確。
(二)、就預測資料間的相關性而言，我們發現：中研院、中經院、台經院、環球透視公司、亞洲開發銀行與國際貨幣基金對台灣實質GDP變動率與CPI變動率的預測，分別與主計處的預測具有高度的正向相關，這反應了這些機構的預測具有同步的現象。
(三)、本文驗證了「行政院主計處對經濟成長率與CPI變動率的預測具有領先其他預測機構的現象」。由於行政院主計處發布預測訊息的時間都比其他機構早，因此各預測機構對經濟成長率與CPI變動率的預測確實受到行政院主計處所發布的預測訊息影響。
This paper adopts the individual data and panel data on Taiwan’s macroeconomic quarterly & annual forecasts from the professional forecasters to investigate the characteristics of macroeconomic forecasts. The professional forecasters include both domestic and foreign institutions, such as Directorate General of Budget Accounting and Statistic Executive Yuan, R. O. C. (DGBAS)、The Institute of Economics, Academia Sinica (IEAS)、Chung Hua Institution for Economic Research (CIER)、Taiwan Institute of Economic Research (TIER)、Global Insight, Inc. (DRI-WEFA)、The Asian Development Bank (ADB)、International Monetary Fund (IMF).
The forecast data regarding change rate of Taiwan’s real GDP of and change rate of Taiwan’s CPI supplied by the professional forecasters were employed to examine the validity of the rational expectation hypothesis (REH), the forecast accuracy among DGBAS et al. and the impact of DGBAS’s forecast on IEAS and others.
We adopt (1)variance analysis between actual data and forecast data; (2) unbiasedness condition; and (3) weak-efficiency condition to test REH. We have dealt with the problem of correlations and heteroscedasticity in forecast errors by estimating the coefficients of all regressions by OLS; however, the variance-covariance matrix of the coefficients was estimated by a special generalized method of moments (GMM) estimator. Empirical results support the following conclusions:(1)the annual forecasting change rate of Taiwan’s real GDP supplied by DGBAS、IEAS、CIER、TIER、Global Insight Inc.、ADB and IMF and the quarterly forecasting change rate of Taiwan’s real GDP supplied by DGBAS、CIER and TIER are strongly against the weak-efficiency condition of REH; (2) the annual and quarterly forecasting change rate of Taiwan’s CPI supplied by DGBAS and others are strongly against the unbiasedness and weak-efficiency conditions of REH.
We adopt the root mean square forecast error(RMSE)、root mean square percent forecast error(RMSE%)、forecast precision index(P.I.) and Diebold & Mariano(1995)’s asymptotic test to study the forecast accuracy. Empirical results support the following conclusions:(1)the combination of forecasts is superior to individual forecast; (2)the quarterly forecast data of inflation rate supplied by DGBAS is superior to CIER and TIER; (3)the mid-year forecast is superior to end-year forecast for DGBAS et al.; (4)according to Diebold & Mariano(1995)’s asymptotic test, the quarterly and annual predictive power of economic growth rate supplied by IEAS、CIER 、TIER、Global Insight Inc.、ADB and IMF is equivalent to DGBAS.
We carefully observe the time path of forecast data and actual data. Although forecast errors exist between forecast data and actual data, empirical results support the following conclusions:(1) the quarterly forecasting change rate of Taiwan’s real GDP supplied by DGBAS、CIER and TIER can effectively capture the actual data’s path; (2) the quarterly forecasting change rate of Taiwan’s CPI supplied by DGBAS、CIER and TIER has the characteristic of overestimate(forecast value is greater than actual value); (3) the annual forecasting change rate of Taiwan’s CPI supplied by DGBAS、IEAS and IMF can perfectly capture the actual data’s path well from 1995.
We adopt regression analysis to test whether DGBAS is a forecast leader. Empirical results reveal that the DGBAS’s forecast has a leading effect on the forecast of IEAS、CIER 、TIER、Global Insight Inc.、ADB and IMF.
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