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| Title: | 透過利率期限結構建立總體經濟產出缺口之預測模型 ─ 以美國為例
Construct the forecast models for economic output gap through the term structure of interest rates ─ evidences for the United States |
| Authors: | 張楷翊 |
| Contributors: | 李桐豪
陳威光
張楷翊 |
| Keywords: | 殖利率曲線
總體經濟預測
支持向量機
羅吉斯迴歸
Yield curve
Economic forecast
SVM
Logistic regression |
| Date: | 2017 |
| Issue Date: | 2017-07-11 11:32:50 (UTC+8) |
| Abstract: | 經濟體的產出缺口一直是政策執行者的觀察重點，當一國出現產出缺口時，代表資源配置並不均衡，將發生通貨膨脹或是失業的現象，如能提早預期到未來是否會出現產出缺口，將可讓政策執行者即早進行政策實施，且有文獻指出，殖利率曲線資料中具有隱含未來經濟狀況之資訊。
本研究以美國財政部與聯準會之公開資料，將以殖利率曲線之斜率進行預測產出缺口；本文研究美國1977年至2016年之國民生產毛額成分與殖利率之資料，目標為建立對於未來一季將出現正向或負向缺口現象之模型，本研究建立三種預測模型進行比較，分別為線性迴歸模型、羅吉斯迴歸模型與機器學習中的支持向量機，以實質GDP的缺口預測而言，研究結果顯示，三者預測準確度均達到65%以上，支持向量機的準確度更達到80.85%。
得出以下結論，第一，殖利率曲線對於未來總體經濟產出缺口具有一定之解釋力；第二，對於高維度之預測模型在機器學習中的支持向量機表現會較一般常用之迴歸模型佳；第三，進出口的預測力在三個模型下均表現較差，可能為殖利率曲線對於進出口並不具有完整有效的資訊，可能有其餘的經濟指標或金融市場資訊可以解釋；第四，對於實質消費與投資等民間部門經濟行為有超過80%的預測力。
The output gap of the economy has always been the objectives of policy practitioners. When a country appear the output gap, it means that the allocation of resources is not equilibrium and the inflation or unemployment will occur. The output gap will allow policymakers to implement the policy as early as possible, and the literature notes that the information of the yield curve has information about the future economic situation.
In this paper, we using the data from the U.S. Department of Treasury and the Federal Reserve to predict the output gap by the slopes of the yield curve. Our goal is to construct the prediction model for the next quarter. To forecast the real GDP gap, three prediction models were compared, linear regression model, logistic regression model and support vector machine. The results show that the accuracy of the three predictions are more than 65%, support vector machine accuracy to reach 80.85%.
We can have conclusions showing below: First, the yield curve has significant explanatory power for the overall economic output gap in the future. Second, the support vector machine perform better than the commonly used regression model. Third, the predictive power of real import and export in the three models are poor performance, there may be the rest of the economic indicators or financial market information can be explained. Fourth, the real consumption and investment has the predictive power more than 80% of the forecast. |
| Reference: | 一、中文文獻
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2.李桐豪(2001)。債券市場發展對貨幣政策之影響。中央銀行季刊第二十三卷第一期，p23-46。
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| Description: | 碩士
國立政治大學
金融學系
104352004 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1043520041 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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