景氣基準循環指數之檢討與修訂

Reference Cycles: The CEPD Methodology Revisited

黃裕烈(Yu-Lieh Huang) ； 徐之強(Chih-Chiang Hsu) ； 陳惠薇(Hui-Wei Cheng)

《經濟論文叢刊》 33卷4期 (2005/12) Pp. 295-319

https://doi.org/10.6277/ter.2005.334.3

摘要

依據Burns and Mitchell (1946)的定義，景氣循環(business cycles)是指不同經濟變數间的共同波動現象。既然景氣循環強調個別經濟變數之間的「共移性」(co-movement)，那麼就不適宜只用單一經濟變數來作為景氣的代理變數。因此，要選擇那些經濟變數，以及各項變數之间是否具有相同的重要性，一直是研究景氣波動的重要課題。本文利用Stock and Watson (1998, 2002) and Bai and Ng (2002)所發展出的擴散指數(diffusion index)模型，嘗試從眾多總體變數中選取一些代表性變數，以描述國內經濟的狀況。並依據經濟建設委員會所採行的綜合指數法將各項變數合成一新的基準循環，以比較新、舊基準循環的差異。我們發現，利用以下4項變數：「實質國內生產毛額」、「工業生產指數」、「製造業實質銷售」以及「非農就業人數」所建構出的新基準循環能適宜地表示國內景氣狀況，且足以成為現行基準循環之替代數列。

關鍵字

景氣循環 ； 基準循環 ； 擴散指數模型 ； 轉折點

並列摘要

According to the definition of Burns and Mitchell (1946), business cycles are a type of fluctuation found in many economic activities. The key feature of business cycles is the co-movement among individual economic variables. Based on this definition, it is not suitable to select a single variable, such as real GDP, to measure business cycles. Hence, which variables should be chosen to measure business cycles is an important topic. In this paper we use diffusion indexes developed by Stock and Watson (1998, 2002) and Bai and Ng (2002) to estimate common factors. Comparing the R^2 of the regressions of individual time series against the estimated factors, we can select representative variables to construct new reference cycles using the composite index method developed by the Council for Economic Planning and Development. We find that the proposed reference cycle, constructed by using real GDP, the industrial production index, manufacturing sales, and nonagricultural employment, as variable components can describe the stylized facts of the business cycle in Taiwan.

並列關鍵字

business cycle ； diffusion index ； reference cycle ； turning point

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