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題名：臺灣金融變數是否能預測經濟成長？混頻模型之運用
書刊名：中央銀行季刊
作者：鄭漢亮
出版日期：2020
卷期：42:4
頁次：頁5-29
主題關鍵詞：經濟成長率；金融領先變數；混頻因果關係；MIDAS模型
原始連結：連回原系統網址new window
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  • 共同引用共同引用:14
  • 點閱點閱:1
期刊論文
1.Clements, M. P.、Galvão, A. B.(2008)。Macroeconomic forecasting with mixed-frequency data: forecasting output growth in the United States。Journal of Business and Economic Statistics，26(4)，546-554。  new window
2.Stock, James H.、Watson, Mark W.(2003)。Forecasting Output and Inflation: The Role of Asset Prices。Journal of Economic Literature，41(3)，788-829。  new window
3.Estrella, Arturo、Rodrigues, A. P.、Schich, S.(2003)。How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States。The Review of Economics and Statistics，85(3)，629-644。  new window
4.Ghysels, E.、Sinko, A.、Valkanov, R.(2007)。The MIDAS regressions: Further results and new directions。Econometric Reviews，26(1)，53-90。  new window
5.Dotsey, Michael(1998)。The Predictive Content of the Interest Rate Term Spread for Future Economic Growth。Federal Reserve Bank of Richmond Economic Quarterly，84(3)，31-51。  new window
6.吳懿娟(20070900)。我國殖利率曲線與經濟活動間關係之實證分析。中央銀行季刊，29(3)，23-63。new window  延伸查詢new window
7.Duarte, A.、Venetis, I. A.、Paya, I.(2005)。Predicting real growth and the probability of recession in the Euro area using the yield spread。International Journal of Forecasting，21，261-277。  new window
8.Estrella, Arturo、Mishkin, Frederic S.(1998)。Predicting U.S. Recessions: Financial Variables as Leading Indicators。Review of Economics and Statistics，80(1)，45-61。  new window
9.Timmermann, A.(2006)。Forecast combinations。Handbook of economic forecasting，1，135-196。  new window
10.陳劍虹(20140600)。景氣領先指標研究--信用管道指標之建構。經濟研究，14，38-66。new window  延伸查詢new window
11.Ferrara, L.、Marsilli, C.(2013)。Financial variables as leading indicators of GDP growth: evidence from a MIDAS approach during the Great Recession。Applied Economics Letters，20(3)，233-237。  new window
12.Binswanger, M.(2000)。Stock market booms and real economic activity: Is this time different?。International Review of Economics and Finance，9，387-415。  new window
13.Andreou, E.、Ghysels, E.、Kourtellos, A.(2013)。Should Macroeconomic Forecasters Use Daily Financial Data and How?。Journal of Business and Economic Statistics，31(2)，240-251。  new window
14.Kuzin, V.、Marcellino, M.、Schumacher, C.(2011)。MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area。International Journal of Forecasting，27(2)，529-542。  new window
15.黃富纖(20170600)。殖利率曲線與經濟成長預測--美國與臺灣實證分析。經濟研究，17，307-328。new window  延伸查詢new window
16.蔡佩珍(20180800)。精進領先指標對臺灣景氣動向預測之能力。經濟研究，18，24-58。new window  延伸查詢new window
17.Aastveit, K. A.、Foroni, C.、Ravazzolo, F.(2016)。Density Forecasts With Midas Models。Journal of Applied Econometrics，32(4)，783-801。  new window
18.Armesto, M. T.、Engemann, K. M.、Owyang, M. T.(2010)。Forecasting with Mixed Frequencies。Federal Reserve Bank of ST. Louis Review，92(6)，521-536。  new window
19.Castle, J. L.、Clements, M. P.、Hendry, D. F.(2013)。Forecasting by Factors, by Variables, by Both or Neither?。Journal of Econometrics，177(2)，305-319。  new window
20.Chinn, M.、Kucko, K.(2015)。The Predictive Power of the Yield Curve across Countries and Time。International Finance，18(2)，129-156。  new window
21.Clements, M. P.、Galvão, A. B.(2009)。Forecasting US Output Growth Using Leading Indicators: an Appraisal Using MIDAS Models。Journal of Applied Econometrics，24(7)，1187-1206。  new window
22.利秀蘭、陳惠薇(20041200)。臺灣景氣領先及同時指標之探討。經濟研究，5，27-54。new window  延伸查詢new window
23.Ang, Andrew、Piazzesi, Monika、Wei, Min(2006)。What Does the Yield Curve Tell Us about GDP Growth。Journal of Econometrics，131(1/2)，359-403。  new window
24.Binswanger, M.(2004)。Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?。The Quarterly Review of Economics and Finance，44，237-252。  new window
25.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics，138(1)，291-311。  new window
26.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。  new window
27.Ghysels, E.、Hill, J. B.、Motegi, K.(2016)。Testing for Granger Causality with Mixed Frequency Data。Journal of Econometrics，192(1)，207-230。  new window
28.Kuosmanen, P.、Vataja, J.(2017)。The Return of Financial Variables in Forecasting GDP Growth in the G-7。Economic Change and Restructuring，50(3)，259-277。  new window
29.Kuosmanen, P.、Vataja, J.(2018)。Time-varying Predictive Content of Financial Variables in Forecasting GDP Growth in the G-7 Countries。The Quarterly Review of Economics and Finance，71，211-222。  new window
30.Lehmann, R.、Wohlrabe, K.(2015)。Forecasting GDP at the Regional Level with Many Predictors。German Economic Review，16(2)，226-254。  new window
31.Mahmood, W. M.、Dinniah, N. M.(2009)。Stock Returns and Macroeconomic Influences: Evidence from the Six Asian-Pacific Countries。International Research Journal of Finance and Economics，30，154-164。  new window
32.Ghysels, E.、Santa-Clara, P.、Valkanov, R.(2005)。There is a Risk-Return Tradeoff after All。Journal of Financial Economics，76，509-548。  new window
33.Harvey, C. R.(1989)。Forecasts of economic growth from the bond and stock markets。Financial Analysts Journal，45(5)，38-45。  new window
34.Aylward, A.、Glen, J.(2000)。Some International Evidence on Stock Prices as Leading Indicators of Economic Activity。Applied Financial Economics，10(1)，1-14。  new window
會議論文
1.Tsui, A. K.、Xu, C. Y.、Zhang, Z. Y.(2013)。Forecasting Singapore Economic Growth with Mixed-Frequency Data。20th International Congress on Modelling and Simulation。  new window
研究報告
1.Bellego, C.、Ferrara, L.(2009)。Forecasting Euro-area Recessions Using Time-varying Binary Response Models for Financial Variables。  new window
2.Ghysels, E.(2014)。Matlab Toolbox for Mixed Sampling Frequency Data Analysis Using MIDAS Regression Models。  new window
3.Wright, J. H.(2006)。The Yield Curve and Predicting Recessions。Washington, D.C.：Federal Reserve Board。  new window
圖書
1.Bhanumurthy, N. R.、Shanmugan, K.、Nerlekar, S.、Hegade, S.(2018)。Advances in Finance & Applied Economics。  new window
單篇論文
1.Foresti, P.(2006)。Testing for Granger Causality between Stock Prices and Economic Growth。  new window
2.Tay, A.(2006)。Mixing Frequencies: Stock Returns as a Predictor of Real Output Growth。  new window
其他
1.Ghysels, E.，Santa-Clara, P.，Valkanov, R.(2004)。The MIDAS Touch: Mixed Data Sampling Regressions，Chapel Hill。  new window
2.Kessel, R. A.(1965)。The Cyclical Behavior of the Term Structure of Interest Rates。  new window
 
 
 
 
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