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題名:消費者信心指數與經濟活動臨近預測
書刊名:兩岸金融季刊
作者:郭迺鋒 引用關係徐苑玲 引用關係林建廷
作者(外文):Kuo, Nai-fongHsu, Yuan-linLin, Chien-ting
出版日期:2013
卷期:1:2
頁次:頁61-82
主題關鍵詞:消費者信心指數國內生產毛額臨近預測即時Consumer confidence indexGDPNowcastReal time
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:4
  • 點閱點閱:33
本文採用消費者信心指數以提前對台灣GDP成長率進行臨近預測,模型的輸入變數除了傳統經濟數據外,還考慮消費者信心指數,利用指數即時公布的特性,分析其即時性與準確性的兩種角色。研究結果發現,使用質性調查的信心指數來達到提前預測的好處是高於損失準確性的壞處,提供即時性的代價並不會太高,我們可以採用信心指數來提早一個月進行預測,卻又不致影響預測的準確度。再者,將信心指數納入傳統只以經濟指標為輸入變數的預測模型中,能有效降低模型的預測誤差,信心指數除了有即時價值外,對傳統硬數據的經濟指標更有資訊內容的填補效果。
Consumer Confidence Index is considered to be able to predict Taiwan’s GDP growth rate in advance. To investigate the trade-off for CCI immediacy and how it effectively complements conventional economic data, CCI in addition to the economic indicators is applied in conventional forecasting. The results show that the benefits of using the CCI in nowcasting outweight its disadvantages of accuracy loss; therefore, the trade-offs to obtain immediacy were mild. We achieved forecasts one month in advance by incorporating the CCI into the analysis without compromising accuracy. Furthermore, forecast accuracy was enhanced by including the CCI into conventional forecast models that only featured economic indicators as the variables. CCI can improve the accuracy of nowcasting, thereby complementing the information content regarding economic indicators for conventional hard data.
期刊論文
1.Giannone, D.、Reichlin, L.、Small, D.(2008)。Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases。Journal of Monetary Economics,55,665-676。  new window
2.Baffigi, Alberto、Golinelli, Roberto、Parigi, Giuseppe(2004)。Bridge models to forecast the euro area GDP。International Journal of Forecasting,20(3),447-460。  new window
3.Batchelor, R.、Dua, P.(1998)。Improving macro-economic forecasts, the role of consumer confidence。International Journal of Forecasting,14,71-81。  new window
4.Castle, J. L.、Fawcett, N. W. P.、Hendry, D. F.(2009)。Nowcasting is not just Contemporaneous Forecasting。National Institute Economic Review,210,71-89。  new window
5.Darne, O.(2008)。Using business survey in industrial and services sector to nowcast GDP growth: The French case。Economics Bulletin,3,1-8。  new window
6.Mazzi, G. L.、Montana, G.(2009)。A system of rapid estimates to improve real-time monitoring of the economic situation the case of the Euro Area。National Institute Economic Review,210,63-70。  new window
7.Mitchell, J.(2009)。“Where are we now? The UK recession and nowcasting。National Institute Economic Review,209,60-69。  new window
8.Salazar, E.、Weale, M.(1999)。Monthly data and short-term forecasting: an assessment of monthly data in a VAR model。Journal of Forecasting,18,447-462。  new window
9.黃舜卿(20080300)。我國消費者信心指數與民間消費支出之研究。經濟研究,8,121-158。new window  延伸查詢new window
10.Campbell, John Y.、Mankiw, N. G.(1990)。Permanent income, current income, and consumption。Journal of Business and Economics Statistics,8(3),265-279。  new window
11.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
12.Matsusaka, J. G.、Sbordone, A. M.(1995)。Consumer confidence and economic fluctuations。Economic Inquiry,33,296-318。  new window
13.Mitchell, J.、Smith, R. J.、Weale, M. R.、Wright, S.、Salazar, E. L.(2005)。An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth。The Economic Journal,115(501),108-129。  new window
會議論文
1.Levanon, Gad(2006)。What Can We Learn from the Consumer Confidence Index。28th CIRET Conference。Rome。  new window
研究報告
1.Rünstler, G.、Sédillot, F.(2003)。Short-term Estimates of Euro Area Real GDP by Means of Monthly Data。European Central Bank。  new window
2.Desroches, Brigitte、Gosselin, Marc-André(2002)。The Usefulness of Consumer Confidence Indexes in the United States。Bank of Canada。  new window
3.徐之強、葉錦徽(2011)。台灣消費者信心指數與景氣循環關係之探討。  延伸查詢new window
4.Giannone, D.、Reichlin, L.、Simonelli, S.(2009)。Nowcasting euro area economic activity in real time: The role of confidence indicators。  new window
5.Liu, P.、Matheson, T.、Romeu, R.(2011)。Real-time forecasts of economic activity for Latin American economies。IMF。  new window
圖書
1.行政院經濟建設委員會經濟研究處(2012)。台灣景氣指標月刊。  延伸查詢new window
2.Katona, G.(1975)。Psychological economics。Elsevier Scientific Publication。  new window
3.Friedman, Milton(1957)。A Theory of the Consumption Function。Princeton, New Jersey:Princeton University Press。  new window
其他
1.行政院經濟建設委員會經濟研究處(20070730)。景氣指標及對策信號修正--新聞稿及簡報。  延伸查詢new window
 
 
 
 
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