台灣經濟政策不確定性指標之建構與分析

An Economic Policy Uncertainty Index for Taiwan

黃裕烈(Yu-Lieh Huang) ； 葉錦徽(Jin-Huei Yeh) ； 陳重吉(Chung-Chi Chen)

《經濟論文叢刊》 49卷2期 (2021/06) Pp. 307-334

https://doi.org/10.6277/TER.202106_49(2).0004

摘要

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。

關鍵字

EPU指標 ； 經濟政策不確定性 ； 文字探勘

並列摘要

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.

並列關鍵字

EPU index ； economic policy uncertainty ； text mining

參考文獻

Luk, P., M. Cheng, P. Ng, and K. Wong (2017), “Economic Policy Uncertainty Spillovers in Small Open Economies: The Case of Hong Kong,” Working Paper.

Baker, Scott R., Bloom Nicholas, and Steven J. Davis (2014a), “Guide for Human Audit of Newspaper-Based Index of Economic Policy Uncertainty,” Working Paper.

Baker, Scott R., Bloom Nicholas, and Steven J. Davis (2016), “Measuring Economic Policy Uncertainty,” Quarterly Journal of Economics, 131(4), 1593–1636.

Baker, Scott, Nicholas Bloom, Steven J. Davis, and Xiaoxi Wang (2013), “A Measure of Economic Policy Uncertainty for China,” Working Paper, University of Chicago.

Bernanke, Ben S. (1983), “Irreversibility, Uncertainty and Cyclical Investment,” Quarterly Journal of Economics, 98(1), 85–106.