EC361-1.dvi

Kích thước: px
Bắt đầu hiển thị từ trang:

Download "EC361-1.dvi"

Bản ghi

1 CÉ%Èã D\µ 2Ûû Í%Èû F 36:1 (2005), 1 28 JØàN Ñ!5,ñ%Èã =} ²=Ú`²A ÅCÉ ç%èçí 2 2Ûû Í%Èû F Ä= W\Í3lTú ÉœÈ: ØàN %ÈAÅ0 Ää 3A}}& JEL }éhu: C32, C51 :ût6: =}, ÅCÉ ç%èçí, C U Úu: (02) } œ 274; fö: (02) ; T6b>á3)DsPˆ±Çöí <c, U dy ÀUêe dcñt6b5u û -),.H[T6bFœÉí<c

2 b dj Stock and Watson (1998) íj Ñ!, ø_s í Ø àn ã _, Î7Y Stock and Watson (1998) ít Õ, Bb6ø bywô4 }Ѽ¹Ò b, ŒÞÒ b D Ò b, y} ú Ò b,lwøàn, Í(;W <N ªWã õ! éý, ØàN ã _xóçßíã ô^, 6i kåqø<%èàpftíã, Ä ªJTÑ V,ñ%Èã,íÇø ²Ï

3 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) 1. k,ñ%èã ø²u\ Æ È ÆDçXäFÉ í½õ <ã!.cªdñ\l\íyw, 6ª? $ D Vúk í i Ê VÖí}&Dã j 2, l¾_uw2 ½bíøá x; ÅqrÖ%È ã ÀP¹ ó í:j _ (simultaneous equations model) *9 ã _íiõêkñp7rö%è b, FJqk bí WÑD b5èíé[ Wà, W\Í3lT (J- 3lT) í, XÛ _¹ 51 j, w2l 24 ì2j 27 WÑj Í 7ó í_ª?ßþ_ïq (misspecification), 6%%_wì (identification),í Ø, ª7 àƒ,l! J š Õíã? k, röû 6SàÀ ¾CœüíÖ ¾_J*9}&Dã Wà, Ê =íû jþ, Š² (1998) Huang (1999) SàÀ ¾ïªÚā² _ (Markov switching model), 7 Chen and Lin (2000) =}D2 (2001) àö ¾ïªÚā²_ é_é úøcýb b J}&, ÖÍU_qì )óúñq, Oº[J7wFª?àí,ñ e * e«àíivõ, ít ª??Ý ^í}&j Stock and Watson (1998) y1ååð%èû (NBER) í ØàN (diffusion index) í 1, T øhíã j, Ö.Ûqló í_, ºE?k}«à,ñ bfúöí m NBER ít uø %È bí 8$3h#8āb, Í( AªXwì =ÛïíN Stock and Watson (1998) à$lj 2í3A}}& (principal component analysis), A ¾ e2¾ 3bÄäçTN b, Í(y à <N bø_àí(4ã _ D NBER íj óª, Stock and Watson í T éíœñîh Î 5Õ, Stock and Watson (1998, 2002) íj % _ çô.(,?ª vtü. ä0í e; WàBbªJ v à ed~ 3

4 CÉ%Èã D\µ 36:1 (2005) eªw_,ldã }& d3bj Stock and Watson (1998) íj Ñ!, ø_s í ØàN ã _, Î7Y Stock and Watson (1998) ít Õ, Bb6ø bywô4 }Ѽ¹Ò b, ŒÞÒ bd Ò b, y} ú Ò b,lwøàn, Í(;W < N ªWã T Î7\ŸVj íiõ, 6UBb)Jyªø ³. Òú%ÈAÅ0í à Bbíõ }&O½Êú%ÈAÅ0 VøBûíã, 1SàÌj;Ï "úïïìmd"úïïì0 V eã ô^, Åq 3b%Èã ÀPFt0í! óªœ Bb êû.uy Stock and Watson (1998) íj,løàn, CY. Ò },lwøàn, à <N FZííã _Ìã7íã ô ^ âkåqñ þ øj Ä duøÿhíþt, õ! 6TX VÊ,ñ%Èã,íÇø²Ï Î kõ, d íqñ) à- ùü Stock and Watson (1998) í,ldã j úñ dõ j ín; ûñã! íªœ (øñ!d 2. ØàN j BbílÜ Stock and Watson (1998) ís íã j ø u,l F%È bíää (factor) ²¾, ù u à <Ää²¾ªWã cq x it u i _%È bêvè t íhôm, / x it = λ i F t + ǫ it, i = 1,...,N, (1) w2 F t (r 1) Ñ.Ó bz íää²¾, λ i (r 1) H[ i _ bíä äš- (factor loading) ²¾, ǫ it ÑÏÏá ø N _%È bdää5èí 4

5 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) É[ã V, ¹ª)ƒ x t = F t + ǫ t, (2) w2 x t = (x 1t,x 2t,,x Nt ), = (λ 1,λ 2,,λ N ) Ñ N r íääš -ä³, ǫ t = (ǫ 1t,ǫ 2t,,ǫ Nt ) â (2) ªø, N _ bíwñ3bâ r _u Ää F t F²ì, 7 F t 6ÿu Stock and Watson (1998) F í Øà N, Ê(d2Bb6J 5 1 JcqÏÏ ǫ it Ñ i.i.d. G}º, wìbñ 0, æbñ σ 2, _2 í ø b F t í,lªâ Nƒb ) wj à-: íli F = (F 1,F 2,,F T ), F í N,lªâJ-ñ ƒbí ü 2 ): V NT (F, ) = 1 NT N i=1 T t=1 ( x it λ i F t) 2. (3) I ξ i = (x i1,x i2,,x it ) Ñ i _%È br hômf$aí²¾ # ì F 5-, λ i.ìå J-íø¼ K: 1 NT N i=1 T t=1 ( ) x it λ i F t F t = 0. (4) ] λ i Ñ F íƒb: λ i (F) = (F F) 1 F ξ i ø λ i (F) Hñ ƒb (3) ª) ƒ V NT (F, (F)) = 1 NT N i=1 (ξ i ξ i ξ i ( ) ) F F 1 F F ξi. (5) 1 (2003) 2 àøàn VwìCÉí =, ñwfì2íøàn d1.ó 5

6 CÉ%Èã D\µ 36:1 (2005) JqìØàN ä³ F Å Ä íì : F F/T = I,?U (5) ü í F, 6}U- (N) 1 N i=1 ( ξ i FF ξ i = trace [F 1 N ) ] N ξ i ξ i F. (6) FJ, F í N,l ˆF N i=1 ξ i ξ i /N í r _Ô M (eigenvalue) íô²¾ (eigenvector) F$A5ä³, 7 ˆF í ø_w² ¾ÿuø_Ô²¾ ø ˆF Hp λ i (F) ¹)ƒ λ i í,l _j 6ÿ uøof2í3a}}& ç,l F 5(, Bbª à N ø_àí(4_, JZú Ôì b y T V h íã íl àš qí e, J y t+h úbá i=1 ç ØàN F t wr( F t 1,,F t p Tc, )ƒ y t+h = ˆα 0,h + ˆβ 0,h F t+ + ˆβ p,h F t p+ê t+h, t = p+1,...,t h, (7) w2 ˆα 0,h ˆβ j,h }H[c [bí,lm (,lmó h Z 7. ), ê t+h Ñ_{Ï, T H[š hômí_b y;w (7) í,l!, Bbª )š Õ T + h y íã MÑ ŷ T +h = ˆα 0,h + ˆβ 0,h F T + + ˆβ p,h F T p. (8),Híã j Dd.,í øj óªröiõ âk (2) ªJ ÖrÖ %È b, ØàN ÿ)j švö bèíé[j b ÚÖí m, uà ¾CœüíÖ ¾_FÌ dƒí 7lØà N 1.Û ó í_, Ä fn7:j _ª?ßÞí_Ï qdwì,í Ø âk3a}}&ud.,ø±í$lj,,løàn uøk'ñqí T, röú7p_,ñ ªÏW á T 7 (7) í( 4ã _qk,l, 6U øj Ëã í¹v4 6

7 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) M) <íu, dsàíj cìktüì e (balanced data),? ¹F eìxó í e È à e È. 7$AÝÌ e (unbalanced data), _,lÿœñµæ, 7âJ EM algorithm CwFj,l ÇÕ,,lØàN vbbcq: ÏÏ ǫ it Ñ i.i.d. G}º, /Ää ²¾ F t ÑÝÓœ b O Stock and Watson (1998) 6 p7éb eå ø< ÜíÏ K, _,lj F,l VíÄä ˆF ÊyøO ícq - (àorïï5èóé4) Exø_4 (consisitency); Ìzpª 5 Stock and Watson (1998, 3.2 ) 3. edõ j díõ }&JCÉ,ñ%È b eñ!, ªW%ÈAÅ0íã B bâ3ltå %È}l 2² FÛ5 b, OxÎ ÌhbW5 b, (,u²ï 81 _ b ;W3lT, ÄXÛ, _ 2íÒ, < bªj }Ñ 31 _¼¹Ò b, 32 _ŒÞÒ b, J 18 _ Ò b e È* B , ø_ bî 61 e < e2, Å F), ÓgD e} A3lT) í Å %Ȳ$lÑ, Óg$l~Ñ, A Ä$l~Ñ DÞß $l~ñ ; À e A2ÛÁWí À $l~ñ ; Õü e A \ í ª $l~ñ ; e ACÉ >qfí Ò>q~Ñ BbÊ #, ØàN j íÿ¹êka ¾ e2¾ m, ]BbÊõ 26j¾Ö² b âk3a}}&1. bèí (4É[F à, FJ¹U b5èò~óé, Bb?ª?ø b vñp} &; Stock and Watson (1998)?S ó ít Ê etüjþ, úkx4í b, djìª0 (ratio to moving average) ªW c Ñ7ü\F eìxìg (stationary) 4, ç eñ ÄM (level) v, Bbl úb, yywà; ìí! ²ì u â Ï}ā²; ç eñª0 (ratio) v, òqªwà; ì(²ìu 7

8 CÉ%Èã D\µ 36:1 (2005) â Ï} Ìí bzpd btüj~ cë 1 F b%, Hā² (, Bb yøw Ä, JfnÄ bàp.ø_7 A,l, írï Bbíõ j }As øÿu Stock and Watson (1998) ít, òqâ 81 _%È b2,løàn, 7(y à ØàN ú%èa Å0 V h íã _ ã (2) D (7), Ää!ZDã _ª[ýà -: y t+h = α 0,h + x t = F t + ǫ t, p β i,h F t i + e t+h, t = p + 1,...,T h, (9) i=0 Bb 5Ñ ØàN.}Ò_ ø_2 _íøàn _b r F t ír( b p îâó«m7ä (Bayesian information criterion, BIC) F²ì âkbbíõ ½õu_íã?, ]ØàN í_b u;wù 2º_(4ã _5ß; (¹ BIC) V²ì, 7.uYWw F?j,ñ eí ªW7²ì 2 7Ñ7fn,l b Ö7 AAâ. í½æ, BbÌ ín _bñ 6, 7 ±ír( bñ 3,Hj uã F bv,lwu Ää, FJ <Ää1Ì } _ÒíÔ4 Ñ7zp ø8$, Bb;W B F e, ø _,ñ b}ú 6 _ØàN dà(4c, 1l w R 2 (?¹ ø_øàn F?j b, 5ªW) Bbø! kë 2 íç2, w2,ñ b5 åàë 1 F: 1 ƒ 31 Ѽ¹Ò b, 32 ƒ 63 ÑŒÞÒ b, 64 B 81 Ñ Ò b â <Ç2ªJ õ, ø_øàn? šrö b. í Wà 1 _Øà N? šœöœþò bí (O6j 7ø<¼¹Ò Ò 2 ÔW7k, JJ Ñ!, à ØàN.}Ò_ ã í%èaå0 ù v;w BIC ² íääbñ 3 (r( bñ 1) ÖÍ 3 _ÄäÊø 2É?j 41.7%,ñ eí, O uê BIC Ä- 7! í²ï 8

9 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) bí ), 2 _ØàN š7œö Ò }¼¹Ò bí, 3 _ØàN šœö¼¹ò bj ø< Ò bí (O s_n Ì šœþò bí ) Ñ7yÀU ³ _Òí bê%èã 2rÆíiH, Bbõ, 6SàÇøT : lø b }Ѽ¹Ò b ŒÞÒ bd Ò b, y},l úò b AíØàN, Í(;W <ÒØà N ªWã óúk (9), }Ò5-íÄä!ZDã _Ñ: y t+h = α 0,h + x j t = j F j t + ǫ j t, j = c,m,l, p c i=0 t = max pm βi,h c F t i c + i=0 pl βi,h m F t i m + i=0 β l i,h F l t i + e t+h, { p c,p m,p l} + 1,...,T h, (10) w2 bí, c [ý¼¹ò b,, m [ýœþò b, 7 l Ñ Ò b _ 5Ñ ØàN }Ò_ âk }Ò (_ín bó, Ñfn_Ø µæ, Ê,lvBbcor _Ò ín _bñ 3, 7 ±ír( bñ 2; _ín _bdr( be â BIC ²ì 7 }Ò5(y,lØàN íj, ªU ÒíØàN ùæ[û Òí, 6UBb)J. Òúã íõ. âk. \µ3b àíò.`ó, xò!zíã _ú\µû }& ѽb, 7 6u Stock and Watson (1998) Ÿáj FÌ TXí 4. õ }&Dªœ Ñ7 ¾ØàN íš Õã ô^, Bbø ƒ (u 14 ) í%èaå0\gñš Õí t Ê t È, CÉ% ÈAÅ Û Ùš, Ê 2000 AÅÇáî, 2001 Û½ «(1 9

10 CÉ%Èã D\µ 36:1 (2005) [ 1. hôõ-%èaå0íã! (ØàN.}Ò) ñ õòm º_M ã M ø ù ú û Å: ÀPÑ % 2 3 ÛŠAÅ), 5(Ö)+Ñ AÅ, º Ä SARS P 8~ô7y ÛŠAÅ Bb²ì ø vètñã í t, Î7U _Ê,l bve?\óçíaâõ, yªj ð. _ÊC É%ÈAÅ0 Û½ víã? Bbø.}Ò_D }Ò_íã! }k[ 1 [ 2, [2 š Õã Dš qº_í! J[ 1 íù (ã ñ Ñ ) ÑW, Bb àš eƒ , ã í%èaå0, Ñø íš Õã, ã MÑ 6.50%; J àš eƒ , (2 íš Õã ) íã MÑ 6.62%; wìj ér Î 5Õ, Bb6 àš eƒ , Jlv íš qº_m (6.22%), 1ø <! D3lTt0íõÒM (5.1%) J úî ªø e ØàN }Ò_ í,l!, ªJêÛ } ;W BIC F² í_2, ¼¹ÒíØàN.u_bCur( b œwfòñö, éý¼¹òíç Dr(N Êã vræ7óú½b 10

11 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) [ 2. hôõ-%èaå0íã! (ØàN }Ò) ñ õòm º_M ã M ø ù ú û Å: ÀPÑ % íih, 7!u ØàN.}Ò_ FÌ )ƒí Ñ7 ô¹ù, Bb. ø íìí b,l!, Eû íè6ª J²BbØ Î7;WØàN Físã! 5Õ, Bb6øABc (AR) _íã! k[ 3, Åq_3b%Èã ÀPíã! k[ 4 B [ 6, JZóªœ [ 4 Ñ3lTFì t0íã!, eväñw\ Í3lTúí Å F)$lD%È8 h9ā ; [ 5 ÑCÉ%È û Í ( ÑC%Í), eväñwfì êwí CÉ%Èû ~ ; [ 6 Ñ2M%Èû Í ( Ñ2%Í) íã!, eväñ2%íì êw5 CÉ%Èã D 1998 B r7%è 3 _ œz3buyw Aí,ñ:j _ªWã, y;wùðç6í< c J c7)ƒ (íã! Ou ÀPtÓã ívõ., 3 ã 3 3lTt0ã ívõñ í ~M, 2 ~MFt0íã! Ñ ø 4 Fdíã ; 5 ~MFt0í Ñç 1, J ér 7C%Ít0ã ívõñ í ~M, 1 ~Mt0íã! Ñ ø 4 Fdíã, wìér 2%Íí 11

12 CÉ%Èã D\µ 36:1 (2005) [ 3. hôõ-%èaå0íã! (AR _) ñ õòm º_M ã M ø ù ú û Å: ÀPÑ % íé6., [2Ñ N/A 6¹[ýÌvéã e âk2ûí%èf íã šnê0øÿ, wfœz ê0ít., ]Bb.ø5 pªœíúï â [íã båõv, ø íã! œß, ± íã ó úœï à *ø íã Võ, Ê t 2 œ í , Ø àn.}ò _ú 2001 í«n 1.Ü>, ø íã Éé ý/í«, 7Êw(í 2002 D 2003 M/ò,%ÈAÅ0 O Øà N }Ò _ø íã ºœ? ³ 2001 í«8, úw( í 2002 D œÄüíã s_ö[û., O?ã íšaå AR _ÖÍú Q íã M, OÊÓ( Ûóç.ìíã, v7 7h (2001 4, , D ), vº h ( ) D AR _ óª, C%ÍD2%Íø íã óúu, Oú 2001 í«ìbb tóã ívõñ í ~M, YŸ Ñç 1 B 4 íã 12

13 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) ñ [ 4. hôõ-%èaå0íã! (3lT) õòm ã M ø ù ú û N/A N/A N/A N/A N/A N/A Å: 1. ÀPÑ % 2. evä: W\Í3lTúí Å F)$lD%È8 h9ā ñ [ 5. hôõ-%èaå0íã! (CÉ%Èû Í) õòm ã M ø ù ú û N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Å: 1. ÀPÑ % 2. evä: CÉ%Èû ~ 13

14 CÉ%Èã D\µ 36:1 (2005) ñ [ 6. hôõ-%èaå0íã! (2M%Èû Í) õòm ã M ø ù ú û N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Å: 1. ÀPÑ % 2. evä: CÉ%Èã 1998 r7%è B 2003 r7%è v 4 v (ç«;) nã ŠAÅ Ñ7yüíªœ _íã!, BbSàúçXäJ õ, àíã ô^n : Ìj;Ï (root mean square error; RMSE) "úïï ÌM (mean absolute error; MAE) "úïïì0 (mean ratio of absolute error; MRAE), wt}à-: ( 1 RMSE = T ) T ) 1/2 2 (Ŷt Y t, t=1 MAE = 1 T MRAE = 1 T T Ŷt Y t, t=1 T Ŷ t Y t Y t t=1, (11) 14

15 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) w2 Ŷ t Ñú t íã M, Y t Ñ t íõòm Î 5Õ, Bb6;W ܃b Ŷ t Y t, ú _œz ØàN _ª Wã Ïæí ì âk<œzíã eýý/1. / (àc%íú íã É 3 e), Ñ7_àkFã íªœ, Bb²Ïxüš }ºí sign ìtñã ô^í ì KJBbkªœ/øÔì_ Ø àn _íã Ïæ, sign ìí$l¾ulêfã e2, _ í ܃bM køàn _í ܃bMí_b; Ê Ìcq- $ l¾xùá}º J sign ì Q Ìcq, [ýøàn _D _íã! Ì$l,íéOÏæ, 5 éýøàn _íã i kçø_ É sign ìíª 5 Diebold and Mariano (1995) ÊJ -í 쪜2, BbîSà 90% íéo [ 7 10 ÑØàN _}D AR _ 3lT C%Í 2%Ííø Bû íã ªœ! (C%ÍÌû íã ), w2 ØàN.}Ò_ DØàN }Ò_ íã ô^, J sign ìí! âk ÀPíã é., Ñ7Uã ô^n u íª œ!ä, BbYÎ ÀPíã íã ô^ Wà, C %Íþ_ù íã! (à[ 5), ã Vl ô^n [2rU[ýã ô^œ76; J[ 8 2íø ã ÑW, JJ RMSE N Ñ Ä, ØàN }Ò_ œß, O JJ MAE MRAE N Ñ Ä, 3lT5ã œ7 [ 7 í! éý, Fíã ô^ Ä éýøàn _ª AR _ Ñ7, w2 ØàN }Ò_ ÊøDú íã, ik Ø àn.}ò_, OÊwF ã,s6 Å â[ 8 í! Võ, 3lTíø ã DØàN _Ê. Ä-išc, OuØ àn _úùj,íã Ìik3lTíã, w2 ØàN } Ò_ íú ã, Ê Ä- ik3ltd ØàN.} Ò_ íã *[ 9 Võ, Î7ø ã 2í MRAE N 5Õ, Øà N _Ê Ä- œßíã ô^, 7 ØàN }Ò_ 15

16 CÉ%Èã D\µ 36:1 (2005) [ 7 ØàN _D AR _íã ªœ ã ã ô^n AR _.}Ò ØàN }Ò RMSE ø MAE MRAE sign ì Q " RMSE ù MAE MRAE sign ì " Q RMSE ú MAE MRAE sign ì " " RMSE û MAE MRAE sign ì " Q [ 8 ØàN _D3lTíã ªœ ã ã ô^n 3lT.}Ò ØàN }Ò RMSE ø MAE MRAE sign ì Q Q RMSE ù MAE MRAE sign ì Q Q RMSE ú MAE MRAE sign ì " " RMSE û MAE MRAE sign ì Q " 16

17 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) [ 9 ØàN _DC%Ííã ªœ ã ã ô^n C%Í.}Ò ØàN }Ò RMSE ø MAE MRAE sign ì Q " RMSE ù MAE MRAE sign ì Q Q RMSE ú MAE MRAE sign ì Q Q [ 10 ØàN _D2%Ííã ªœ ã ã ô^n 2%Í ØàN.}Ò }Ò RMSE ø MAE MRAE sign ì Q " RMSE ù MAE MRAE sign ì " Q RMSE ú MAE MRAE sign ì Q Q RMSE û MAE MRAE sign ì Q Q Ê Ä- (Î7ù ã 2í RMSE N ) Ìik ØàN. }Ò_ *[ 10 Võ, ØàN _íã ô^ê Ä-?Ì 2%Ííã, w2 ØàN }Ò_ ÊøDú ã, ØàN.}Ò_, (6 Êû ã,[ûœß Î 5Õ, 17

18 CÉ%Èã D\µ 36:1 (2005) Jâ sign ìí! R, BbªêÛØàN _íã? éoí ik AR _ 7ÊD3lTíªœjÞ, ØàN _ø ù íã 3lTóœ1ÌéOÏæ, ñú û íã éoik3lt Õ, ØàN _íã? 6Êø íã,éoíikc%íd2 %Ííã J,í! u;wbb²ì5 t F)ƒí!; à t Z, ó Éí,lDã! Aͪ?Z Í7 õ }&íñíêkéýøàn _íã? 7.ub p j.íikwf_ B ku øì ßí ã _,.ân yödy pí}&d_ò, nª?)ƒ!, 7 dí ˇ 5.!D dyw Stock and Watson (1998) FT íøàn j, J. jv ZCÉ%ÈAÅ0íã _ ØàN ã _xe7ó :j _ ªñÑVÖ bíiõ, Oºñq,l, 6³_Ïqí½æ, FJuø x ñ4, /qkítíõ ã _ Bbíõ }&! éý, ØàN _íã! %%ikåqø<3b%èàpíã, Ä ØàN _ ªJTÑf$,ñã j 5ÕíÇø²Ï óœk Stock and Watson (1998) ŸVT íøàn j, dft í ØàN }Ò_.c6'ßíã [Û, 6TX7yîóíã }&!Z, Uû 6)J ³. Ò bêã 2íõ. %È ã, Jð wã ô^ dõ j e, V ªø j ô.ƒýì e, 1/ vñp. ä0í e (à~ ed e) ªWã, Zªã ô^dã í¹v4 18

19 Ë 1 b² DTÜ! Ò b± H{ B TÜj 19 ¼¹Ò Ⱦ CP 61Q1 02Q3 SA 5 (31) haºñ{õ X EWEXP 61Q1 02Q3 SA 5 ë¹¾ õ X FCP 61Q1 02Q3 SA 5 Åqê YîAb VISPRI 85Q1 02Q3 SA 5 ÅAb OUTDEP 82Q1 02Q3 SA 5 ª ¾ ¹ IMPCP 88Q1 02Q3 SA 5 $gnb STCPRIIND 68Q1 02Q3 SA 5,$,ÞM STCPARVAL 76Q1 02Q3 SA 5,$,M STCMKTVAL 76Q1 02Q3 SA 5,$,A>M STCTRAVAL 76Q1 02Q3 SA 5 È ì $A IBF 66Q1 02Q3 SA 5 윪 Àç AIRT 88Q1 02Q3 1 ` qe à0 UTILITY 77Q1 02Q3 SA 1 ÞßNb IPI 71Q1 02Q3 SA 5 ` ÞßNb IPIM 71Q1 02Q3 SA 5 ÉËÓM TAXVAL 73Q3 02Q3 SA 4 lëßa>àç ESTATE 73Q3 02Q3 SA 4 l º ÞßNb BUILDIP 82Q1 02Q3 SA 5 ` A¹æŒ0 ISA 81Q1 02Q3 SA 1 ` Œ â0 OPR 81Q1 02Q3 SA 2

20 Ë 1 b² DTÜ! (/) Ò b± H{ B TÜj 20 êºó ÏÎ,Þ License 81Q1 02Q3 SA 5 ` hq ÀNb Mgfno 81Q1 02Q3 SA 5 Ð X Construct 61Q1 02Q3 SA 5 1ÅÅqÞß ç USAGDP 61Q1 02Q3 SA 5 ½Éª IMCUM 88Q1 02Q3 SA 5 qeª IMC 88Q1 02Q3 SA 5 ½É EXCUM 88Q1 02Q3 SA 5 Õ ÀÀç ORDER 84Q1 02Q3 SA 5 Ÿeª PRI 88Q1 02Q3 SA 5 VMëîAb INDEP 74Q1 02Q3 SA 5 ÅqÞß ç±ñàç GDP 61Q1 02Q3 SA 5 ŒÞÒ ŒÞX#ç - M1A ( ) FM1A 61Q3 02Q3 SA 5 (32) ŒÞX#ç - M1B ( ) FM1B 61Q3 02Q3 SA 5 ŒÞX#ç - M2 ( ) FM2 61Q3 02Q3 SA 4 3bÀ œzæ FDEP 61Q3 02Q3 SA 5 3bÀ œzæ º 4æ FDD 61Q3 02Q3 SA 5 3bÀ œzæ ì 4æ FTD 61Q3 02Q3 SA 5 3bÀ œzæ Õ æ FFD 61Q3 02Q3 SA 5 3bÀ œzæ s\là FPSS 61Q3 02Q3 SA 4 3bÀ œz[ I FMFI 61Q3 02Q3 SA 5 3bÀ œz[ I [ FLOAN 61Q3 02Q3 SA 5

21 Ë 1 b² DTÜ! (/) Ò b± H{ B TÜj 21 3bÀ œz[ I I FPI 61Q3 02Q3 SA 5 3bÀ œz[ I ú\`ā FCG 61Q3 02Q3 SA 5 3bÀ œz[ I útð9 `ā FCGENT 61Q3 02Q3 SA 5 3bÀ œz[ I ú Ð9 `ā FCPENT 61Q3 02Q3 SA 5 2ÛÁW½ûÛ0 FRDISR 61Q3 02Q3 1 2ÛÁWV\[ 0 FRLOAN 61Q3 02Q3 1 ø_~ æµ 0 FRTD 67Q3 02Q3 1 ø æµ 0 FRTDY 75Q3 02Q3 1! [ 0 FRM 67Q3 02Q3 1 "bª0 FDHR 88Q1 02Q3 SA 2 ÅÁWW[ª0 FPAST 88Q1 02Q3 SA 2 ¾ 6ÓgNb CPI 61Q1 02Q3 SA 5 R»ÓgNb WPI 61Q1 02Q3 SA 5 ÅÒ ŸegNb AGRPI96 61Q1 02Q3 SA 5 Åqª gnb POIL96 72Q1 02Q3 SA 4 hcþf1j 0 RX 79Q1 02Q3 1 njú1j 0 JAPRXUS 79Q1 02Q3 1 É 0 RTAXCUM 88Q1 02Q3 SA 2 Åqª ÓgNb PM 76Q1 02Q3 SA 5 Åßq ÓgNb PD 81Q1 02Q3 SA 5 ëóéógnb FOOD 61Q1 02Q3 SA 5

22 Ë 1 b² DTÜ! (/) Ò b± H{ B TÜj 22 l ÓgNb RENT 81Q1 02Q3 SA 5 Ò Ü 0 UU 78Q1 02Q3 SA 2 (18) D LFPR 78Q1 02Q3 SA 5 ÿ EMP 78Q1 02Q3 SA 5 Ü UNEMP 78Q1 02Q3 SA 5 LF 78Q1 02Q3 SA 5 Ý NLF 78Q1 02Q3 SA 5 hº Ì ` WAGEMAF 73Q1 02Q3 SA 4 hº Ì Ð WAGECONEST 73Q1 02Q3 SA 5 hº Ì WAGESERVICE 80Q1 02Q3 SA 5 hº Ì uêé» WAGECOM 77Q1 02Q3 SA 4 hº Ì þ} _A WAGECSP 79Q3 02Q3 SA 5 hº Ì À \Ô.ß WAGEFIR 75Q1 02Q3 SA 5 hº Ì «Hl ] WAGETSC 73Q1 02Q3 SA 4 rå Yp TAX 71Q1 02Q3 SA 4 ÀPß A Nb ILCI 73Q1 02Q3 SA 5 ` ÀPß A Nb MLCI 73Q1 02Q3 SA 5 hº Ì v HOURT 80Q1 02Q3 SA 5 hº Ì v ` HOURMGF 73Q1 02Q3 SA 5 GDP %ÈAÅ0 Y 62Q1 02Q3 1 ËÅ: etüj, 1 = Ìā²; 2 = ø¼ï}; 3 = ù¼ï}; 4 = AÍúb; 5 = AÍúbyø¼Ï}

23 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) Ë 2 6 _ÄäF?j _,ñ bíªw R 2 1 R-Squared Factor 1 1 R-Squared Factor 2 23

24 CÉ%Èã D\µ 36:1 (2005) 1 R-Squared Factor 3 1 R-Squared Factor 4 24

25 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) 1 R-Squared Factor 5 1 R-Squared Factor 6 25

26 CÉ%Èã D\µ 36:1 (2005) 5d. (2003), BÅŸ =ò¼ë5 wì, %Èû, 3, W\Í% Èqãº}%Èû T Š², ô²ëd2 (1998), ā~õwìd%èaå0ã, %Èd, 26(4), =}D2 (2001), 90 HCÉí =: ïªúā²_d³g š Ad þ}çõ, 13(5), Chen, S.-W. and J.-L. Lin (2000), Modelling Business Cycles in Taiwan With Time-Varying Markov-Switching Models, Academia Economic Papers, 28(1), Diebold, F. X. and R. S. Mariano (1995), Comparing Predictive Accuracy, Journal of Business and Economic Statistics, 13(3), Huang, C.-H. (1999), Phases and Characteristics of Taiwan Business Cycles: A Markov Switching Analysis, Taiwan Economic Review, 27(2), Stock, J. H. and M. W. Watson (1998), Diffusion Indexes, NBER Working Paper No Stock, J. H. and M. W. Watson (2002), Macroeconomic Forecasting Using Diffusion Indexes, Journal of Business and Economic statistics, 20(2),

27 JØàN Ñ!5,ñ%Èã (=}, 2 Ä=) MACROECONOMIC FORECASTING BASED ON DIFFUSION INDEXES Shih-Hsun Hsu Ph. D. Candidate Department of Economics National Taiwan University Chung-Ming Kuan Institute of Economics Academia Sinica Ya-Hui Lo Directorate-General of Budget Accounting and Statistics Executive Yuan Keywords: Diffusion index, Economic growth rate, Factor, Principal component analysis JEL Classification: C32, C51 Correspondence: Shih-Hsun Hsu, Department of Economics, National Taiwan University, Taipei 100, Taiwan. Tel: (02) ext. 274; Fax: (02) ; 27

28 CÉ%Èã D\µ 36:1 (2005) ABSTRACT In this paper, we construct a two-step model for forecasting Taiwan s economic growth rates based on the diffusion indexes method proposed by Stock and Watson (1998). In addition to Stock and Watson s original approach, we also classify the macroeconomic variables into three markets (namely, the commodity, monetary and labor markets) and compute their respective diffusion indexes. A forecasting model is then constructed using these market-specific indexes. Our results show that, based on various evaluation criteria, the diffusion-index-based forecasting models usually perform better than those reported by other forecasting agencies in Taiwan. Hence, the models proposed here are good alternatives in macroeconomic forecasting. 28