消費者信心指數與經濟活動臨近預測

Consumer Confidence Index and Nowcast of Economic Activity in Real Time

郭迺鋒(Nai-Fong Kuo) ； 徐苑玲(Yuan-Lin Hsu) ； 林建廷(Chien-Ting Lin)

《兩岸金融季刊》 1卷2期 (2013/12) Pp. 61-82

摘要

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。

關鍵字

消費者信心指數 ； 國內生產毛額 ； 臨近預測 ； 即時

並列摘要

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.

並列關鍵字

Consumer Confidence Index ； GDP ； Nowcast ； Real Time

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