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臺灣景氣狀態之預測

FORECASTING BUSINESS CYCLES IN TAIWAN

摘要


國發會認定並發布景氣循環峰谷時點存在一定時間的落後,使施政單位不易即時掌握景氣狀態變化,鑑於近年臺灣經濟成長變動劇烈,本文搜集大量國內、外總體經濟變數,預測2001年以來臺灣景氣狀態變化。除採logistic模型逐一檢視各變數對當期或未來臺灣景氣衰退的預測表現外,亦運用4種能考量大量變數資訊的預測模型:以向前選取法(forward stepwise approach)篩選變數組成多變量logistic模型,運用主成分分析從大量總體變數萃取主要因子,組成logistic因子模型,以及random forest與boosting兩種機器學習演算法,進而比較不同預測模型的樣本外預測表現。根據樣本外預測結果,在向前零期預測(zero-step ahead forecast)方面,採用實質海關出口值單一變數即能有效捕捉當月景氣狀態,而對未來1-6個月的短中期預測時,考量大量變數資訊的機器學習法預測表現普遍較佳,而因子模型對未來1-3個月的預測亦有不錯的表現。

並列摘要


Announcements of the dates of peaks and troughs in business cycles are made with such a considerable lag that policy makers can't know the current business cycle regime early. In this paper, we collect a wide range of domestic and foreign business indicators to assess their abilities to forecast Taiwan's recessions since 2001. We adopt logistic models to examine the usefulness of each indicator and consider four different methods to extract relevant information from all indicators: a forward stepwise approach, a logistic factor model, and two machine learning approaches. The analysis focuses on out-of- sample performance from the current month (zero-step-ahead forecast) to six months ahead. Our empirical results show that the "real exports of goods" has the best predictive power for zero-step-ahead forecast. However, for one-month- to six-month-ahead forecasts, machine learning techniques show better out-of-sample performance than other forecast models.

參考文獻


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徐之強與黃裕烈(2005), 《運用領先指標預測景氣變化之研究》, 行政院經濟建設委員會委託研究報告。(Hsu, C.-C. and Y.-L. Huang (2005), A Study of Forecasting Business Cycle with Leading Indicators, Commissioned Research Report, Council of Economic Planning and Development, Executive Yuan, Republic of China (Taiwan).)
徐之強與葉錦徽(2009), 《臺灣消費者信心指數與景氣循環關係之探討》, 行政院經濟建設委員會委託研究報告。(Hsu, C.-C. and J.-H. Yeh (2009), Investigating the Relationship between Consumer Confidence and Business Cycles: An Empirical Study in Taiwan, Commissioned Research Report, Council of Economic Planning and Development, Executive Yuan, Republic of China (Taiwan).)
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徐志宏(2012), 「臺灣第 12 次景氣循環谷底之認定」, 《經濟研究》, 12, 1–44。(Syu,J.-H. (2012), “Dating the Turning Points in Taiwan’s 12th Business Cycle,” Economic Research, 12, 1–44.)

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