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題名:臺灣經濟政策不確定性指標之建構與分析
書刊名:經濟論文叢刊
作者:黃裕烈葉錦徽陳重吉
作者(外文):Huang, Yu-liehYeh, Jin-hueiChen, Chung-chi
出版日期:2021
卷期:49:2
頁次:頁307-334
主題關鍵詞:EPU指標經濟政策不確定性文字探勘EPU indexEconomic policy uncertaintyText mining
原始連結:連回原系統網址new window
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近來的大蕭條使經濟風險與不確定性大幅遽增,因而引發了不少學者不約而同地著墨於政策不確定性的相關議題。不確定性的衝擊,就像大蕭條一樣,不僅影響家戶單位的消費、儲蓄、投資等行為以及就業,衝擊了財金市場的運作而影響長遠。本文依據Baker,Nicholas,and Davis(2016)的方法建構台灣不確定經濟政策指標(以下簡稱台灣EPU指標),並利用黃裕烈與管中閔(2018)的方法進行新聞分類,以節省後續的人工審查步驟。對照過去歷史事件,我們發現台灣EPU指標與許多重大經濟事件相契合,而該指標也對於台灣重要的總體經濟變數有顯著的預測能力以及解釋力。若分析其它國家與台灣的EPU指標也會發現,美國與日本的EPU指標對台灣指標有較大的外溢效果,而台灣與大陸的EPU指標跟其它國家的聯結度較弱,這些結果均符合我們的經濟直觀。我們期待這個新編的台灣EPU指數能夠幫助台灣經濟不確定性建立研究基底,並促進後續在總體經濟、財務經濟、政治學、與社會政策等領域專屬於國內的理論或實證相關研究,並與全球經濟政策研究接軌。
The Great Recession appears to have dramatically increased the levels of economic risk and uncertainty and motivated a series of recent efforts to disentangle policy-uncertainty-related issues. Uncertainty shocks like the recent Great Recession may influence long-run consumption, saving, investment behavior and unemployment. In this paper we follow the recent media-based-search approach in Baker, Nicholas, and Davis (2016) to construct a new measure of Taiwanese economic policy uncertainty (EPU) index to characterize the economic policy uncertainty for Taiwan. The index is shown to be informative in explaining/forecasting future major domestic macroeconomic and financial variables. When turning to linkages with EPU indices from other major trading countries around the world via the models by Diebold and Yilmaz (2009, 2014), we found that about one-half domestic economic uncertainty is solely from the Taiwanese EPU index itself; and that spillover from the US and Japan is also important. We hope the newly constructed Taiwanese EPU index can be used as a foundation for theoretical and empirical domestic research in macroeconomics, finance, politics and social policy and be used in conjunction with global policy research.
期刊論文
1.Bernanke, Ben S.(1983)。Irreversibility, Uncertainty and Cyclical Investment。Quarterly Journal of Economics,98(1),85-106。  new window
2.Bloom, Nicholas(2009)。The impact of uncertainty shocks。Econometrica,77(3),623-685。  new window
3.McDonald, Robert、Siegel, Daniel(1986)。The Value of Waiting to Invest。The Quarterly Journal of Economics,101(4),707-728。  new window
4.Diebold, Francis X.、Yilmaz, Kamil(2014)。On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms。Journal of Econometrics,182(1),119-134。  new window
5.Chien, Jen-Tzung、Wu, Meng-Sung(2008)。Adaptive Bayesian Latent Semantic Analysis。IEEE Transactions on Audio, Speech, and Language Processing,16(1),198-207。  new window
6.Baker, Scott R.、Bloom, Nicholas、Davis, Steven J.(2016)。Measuring Economic Policy Uncertainty。The Quarterly Journal of Economics,131(4),1593-1636。  new window
7.Pástor, Ľuboš、Veronesi, Pietro(2013)。Political Uncertainty and Risk Premia。Journal of Financial Economics,110(3),520-545。  new window
8.Bloom, Nicholas(2014)。Fluctuations in uncertainty。The Journal of Economic Perspectives,28(2),153-175。  new window
9.黃裕烈、管中閔(20190900)。美國聯準會會議紀要的文字探勘與臺灣經濟變數預測。經濟論文叢刊,47(3),363-391。new window  延伸查詢new window
10.Baker, Scott R.、Nicholas, Bloom、Canes-Wrone, Brandice、Davis, Steven J.、Rodden, Jonathan(2014)。Why has US Policy Uncertainty Risen Since 1960?。American Economic Review,104(5),56-60。  new window
11.Christiano, Lawrence J.、Motto, Roberto、Rostagno, Massimo(2014)。Risk Shocks。American Economic Review,104(1),27-65。  new window
12.Fernández-Villaverde, Jesús、Guerrón-Quintana, Pablo、Kuester, Keith、Rubio-Ramírez, Juan(2015)。Fiscal Volatility Shocks and Economic Activity。American Economic Review,105(11),3352-3384。  new window
13.Jurado, Kyle、Ludvigson, Sydney C.、Ng, Serena(2015)。Measuring Uncertainty。American Economic Review,105(3),1177-1216。  new window
14.Schaal, Edouard(2017)。Uncertainty and Unemployment。Econometrica,85(6),1675-1721。  new window
15.Diebold, Francis X.、Yilmaz, Kamil(2009)。Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets。Economic Journal,119(534),158-171。  new window
16.Blei, David M.、Ng, Andrew Y.、Jordan, Michael I.(2003)。Latent Dirichlet allocation。Journal of Machine Learning Research,3(4/5),993-1022。  new window
17.Eberly, Janice C.(1994)。Adjustment of consumers' durables stocks: Evidence from automobile purchases。Journal of Political Economy,102(3),403-436。  new window
會議論文
1.Hofmann, T.(1999)。Probabilistic latent semantic indexing。The 22nd Annual International ACM SIGIR Conference on Research and Development in Information Retrieval,50-57。  new window
研究報告
1.Baker, Scott R.、Bloom, Nicholas、Davis, Steven J.(2014)。Guide for Human Audit of Newspaper-Based Index of Economic Policy Uncertainty。  new window
2.Baker, Scott R.、Bloom, Nicholas、Davis, Steven J.、Wang, Xiaoxi(2013)。A Measure of Economic Policy Uncertainty for China。University of Chicago。  new window
3.Elif, C. Arbatli、Davis, Steven J.、Ito, Arata、Miake, Naoko(2017)。Policy Uncertainty in Japan。  new window
4.Hsu, S. H.、Hsu, C. C.、Huang, Y. L.、Wu, J. I.(2018)。Macroeconomic Uncertainty Index in Taiwan。  new window
5.Luk, P.、Cheng, M.、Ng, P.、Wong, K.(2017)。Economic Policy Uncertainty Spillovers in Small Open Economies: The Case of Hong Kong。  new window
圖書
1.International Monetary Fund(2012)。World Economic Outlook: Coping with High Debt and Sluggish Growth。IMF Press。  new window
2.International Monetary Fund(2013)。World Economic Outlook: Hopes, Realities, Risks。IMF Press。  new window
其他
1.Federal Open Market Committee(2009)。Minutes of the December Meeting,http://www.federalreserve.gov/monetarypolicy。  new window
 
 
 
 
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