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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73954


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    題名: When Wall Street conflicts with Main Street—The divergent movements of Taiwan`s leading indicators
    作者: Shen, Chung-Hua;Chen, Shyh-Wei
    沈中華
    貢獻者: 金融系
    關鍵詞: Wall Street;Main Street;Business cycle;Markov Switching model
    日期: 2006
    上傳時間: 2015-03-23 18:12:20 (UTC+8)
    摘要: This paper argues that the simultaneous use of all leading indicators may result in the blending of two different sets of information, which could lead to less accurate predictions of a future recession. We divide six of Taiwan`s leading indicators into two different sectors, the real and financial sectors, and distinctly demonstrate that the two sectors may very well reveal different information. Three inconsistent, or even divergent, movements are found for 1988, 1991 and 1994, implying that the factor extracted from the real side may be different from that from the financial side. Thus, in contrast to the one-factor model typically used, we suggest a two-factor model. We compare four Markov Switching models, and it is evident that the predicted recessions based on the two-factor one-state model seem to outperform other models. The second best is the one-factor model which is only based on the real side variables, followed by the one-factor model with four variables. The worst model is that which simply uses financial variables. The results support our argument to use the two-factor model.
    關聯: International Journal of Forecasting - INT J FORECASTING , vol. 22, no. 2, pp. 317-339
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.ijforecast.2005.09.005
    DOI: 10.1016/j.ijforecast.2005.09.005
    顯示於類別:[金融學系] 期刊論文

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