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| Title: | 利用混合頻率群組因子模型分析台灣產業對整體經濟的影響
Analysis of the impact of Taiwan's industries on the overall economy by using mixed-frequency group factor model |
| Authors: | 李卓穎
Lee, Jhuo-Ying |
| Contributors: | 徐士勛
李卓穎
Lee, Jhuo-Ying |
| Keywords: | 群組因子模型
混合頻率資料
主成分分析
Group factor model
Mixed-frequency data
Principal component analysis |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:35:06 (UTC+8) |
| Abstract: | 近年來，因子模型已成為總體經濟與金融領域分析潛在共同驅動因素的重要工具，特別適用於大量維度的追蹤資料。然而，傳統因子模型大多假設所有變數受相同因子影響，忽略資料可能存在的群組結構與異質性，進而降低解釋力。此外，經濟資料常以不同時間頻率發布，如月頻率、季頻率及年頻率，若未妥善整合混合頻率資訊，將可能造成估計偏誤與資訊損失。有鑑於此，Andreou et al. (2019) 提出混合頻率群組因子模型（Mixed-Frequency Group Factor Model），有效結合高頻與低頻資料，並捕捉群組內外之共同與特定因子。本研究即以該方法為基礎，應用於台灣經濟資料，探討工業與非工業部門是否存在共同驅動因素，或各部門經濟表現之群組特定因子。
實證部分，我們選取1984-2023年間，台灣工業部門29種行業之月頻率工業生產指數增減率，以及非工業部門32種行業之年度實質GDP增減率，構成高頻與低頻群組。透過Bai and Ng (2002)提出之資訊準則決定各群組總因子數量，採用主成分分析（PCA）與典型相關分析（CCA）估計共同與特定因子，並運用貝氏資訊準則（BIC）與調整$R$平方比較各類因子組合之模型適配度。結果顯示，單一共同因子無法充分解釋台灣各產業經濟表現之波動；但納入群組特定因子後，模型解釋能力顯著提升。此外，經由ACF檢驗發現共同因子具持續性，特定因子則反映短期波動。本研究驗證了混合頻率群組因子模型於台灣資料之適用性，期盼能作為後續實證應用參考。
In recent years, factor models have become an essential tool in macroeconomics for analyzing potential common driving factors, but traditional approaches are limited by ignoring group structures and the challenges of mixed-frequency data, which can reduce explanatory power and cause estimation bias. This study applies the Mixed-Frequency Group Factor Model (Andreou et al., 2019) to Taiwan economic data to investigate common and group-specific factors between the industrial and non-industrial sectors.
For the empirical analysis, we use data from 1984 to 2023, comprising the monthly growth rate of the industrial production index for 29 industries in industrial sector (the high-frequency group) and the annual real GDP growth rate for 32 industries in the non-industrial sector (the low-frequency group) of Taiwan. The information criteria proposed by Bai and Ng (2002) are used to determine the total number of factors for each group. We employ Principal Component Analysis (PCA) and Canonical Correlation Analysis (CCA) to estimate the common and specific factors, and then use the Bayesian Information Criterion (BIC) and adjusted R-squared to compare the model fit for various factor combinations.
The results indicate that a single common factor cannot adequately explain the economic fluctuations across Taiwan's industries; however, the model's explanatory power is significantly improved by including group-specific factors. Moreover, an ACF test reveals that the common factor exhibits persistence, whereas the specific factors reflect short-term fluctuations. This research validates the applicability of the Mixed-Frequency Group Factor Model to Taiwanese data, with the hope that it will serve as a reference for future empirical applications. |
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| Description: | 碩士
國立政治大學
經濟學系
112258024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258024 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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