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    題名: 建構預測景氣循環轉折點之金融綜合指標
    The financial composite indicators of business cycle turning points
    作者: 于幼涵
    貢獻者: 李桐豪
    徐士勛
    于幼涵
    關鍵詞: 訊號法
    噪音-訊號比
    發生比率
    logit模型
    景氣循環轉折點
    日期: 2009
    上傳時間: 2010-12-08 02:02:15 (UTC+8)
    摘要: 景氣循環的擴張、收縮期的認定，以及轉折點的預測，向來是經濟學家、政府機構、企業及一般大眾所關注的焦點。越能掌握經濟發展的狀況，而適切的提早做出反應，越能充分利用經濟情勢的不同，以達成獲利的目標，或是減少企業的虧損。
    本文即嘗試以票券、債券、股票、外匯及金融機構等金融變數，透過Kaminsky, Lizondo and Reinhart (1998)用以建構銀行危機預警綜合指標之訊號法（Signal Extraction Approach），以及可以解釋logit模型係數之發生比率（odds ratio），分別結合二元 logit 模型，建構預測景氣循環轉折點之金融綜合指標。
    研究結果顯示，於1990年1月至2009年6月期間，金融指標對景氣循環轉折點的確有預測能力，且不論是預測景氣谷底或是高峰，表現最優良之綜合指標正確率皆高達九成以上，且不論是預測景氣之高峰或谷底，以發生比率建構之二元logit模型都有最好的預測能力。
    To confirm the expansion and contraction of business cycle, and to forecast the turning point, has always been economists, government institutions, enterprises and the public cared about. The more control on the state of economic development and take advantage of the different economic situation, the more they could response appropriately, and furthermore this could maximize their profit or reduce business losses.
    This article attempts to use financial variables, such as the indicators about bills, bonds, equities, foreign exchange, financial institutions, and use signal approach which was created by Kaminsky, Lizondo and Reinhart in 1998 to construct a composite index warning the banking crisis early. I also try to use odds ratio combine with binary logit model in order to predict business cycle turning point.
    The results show that in January 1990 to June 2009, the financial indicators of business cycle turning points does have predictive power, and the accurate prediction of the index over ninety percent. The result also show that the best performance of the model is combination of odds ratio and binary logit method.
    參考文獻: 1.王濟川、郭志剛，2008，”Logistic回歸模型－方法及應用”，五南出版社
    2.邱建良、姜淑美、翁百郁，2006，”期間利差、股票報酬與景氣循環關聯性之探討”，華岡經濟論叢，第五卷第二期，頁69-95。
    3.陳仕偉、沈中華，2003，”金融領先指標與實質領先指標訊息一致嗎？--臺灣領先指標的實證分析”，人文及社會科學集刊，第十五卷第四期，頁627-660
    4.張瑞元、林金賢（2005），”建構銀行危機預警模型―訊號法與Panel Logit 之結合”，會計與公司治理，第一卷第二期，頁9-32
    5.Achuthan, L. and A. Banerji (2004), “Beating the Business Cycle－How to Predict and Profit from Turning Points in the Economy.” N.Y.: Doubleday
    6.Aylward, A. and Glen, J.(2000), “Some International Evidence on Stock Prices as Leading of Economic Activity.” Applied Financial Economics, Vol. 10, p.1-14
    7.Blanchard, O. (1990), “Why Does Money Affect Output?” Handbook of Monetary Economics, Amsterdam: North Holland.
    8.Bradley T Ewing and Mark A Thompson(2007), “Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices.” Energy Policy, Vol. 35, p.5535
    9.Daniel N.C. 1997, “International Interdependence of National Growth Rates: A structural Trends Analysis.” Journal of Monetary Economics, Vol.40, p.73-96.
    10.Fama, E. F., (1981), “Stock Returns and Inflation.” The American Economic Review, Vol. 71, p.545-565
    11.Fama, E. F. (1990). “Term Structure Forecasts of Interest Rates, Inflation, and Real Returns.” Journal of Monetary Economics, Vol.25, p.59–76.
    12.Fortune, P., (1989), “An Assessment of Financial Market Volatility: Bill, Bonds, and Stocks.” New England Economic Review, p.13-28
    13.Harvey, C. R. (1988), “The Real Term Structure and Consumption Growth.” Journal of Financial Economic, Vol.22, p.305-333
    14.Harvey, C. R. (1991), “Interest Rate Based Forecasts of German Economic Growth.” Weltwirtschaftliches Archive, Vol.127, p.701-718
    15.Kaminsky, Graciela L. (1998), "Currency and Banking Crises: The Early Warnings of Distress." International Finance Discussion Paper, No. 629, Washington: International Monetary Fund.
    16.Kaminsky, Graciela L. (2000), “Currency and Banking Crises: The Early Warnings of Distress.” George Washington University.
    (http://www.gwu.edu/~clai/working_papers/Kaminsky_Graciela_07-00.pdf)
    17.Kaminsky, Graciela L. and Carmen M. Reinhart (1999), "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems." American Economic Review, American Economic Association, vol. 89(3), p. 473-500
    18.Kaminsky, Graciela L., Saul Lizondo and Carmen M. Reinhart (1998), "Leading Indicators of Currency Crises." IMF Staff Papers, Vol.45, No.1
    19.Moneta F. (2005). “Does the yield spread predict recessions in the euro area?” International Finance, Vol. 8(2), pp. 263-301.
    20.Moore, G. (1990), Leading Indicators for the 1990s, Irwin Professional Pub.
    21.Pring, M. (2006), “Six Stages of the Business Cycle.” available on the website at http://www.pring.com/ptg.htm.
    22.Raymond J. E. and R. W. Rich, (1997), “Oil and the Macroeconomy: A Markov Switching Approach.” Journal of Money Credit, and Banking, Vol. 29(2), p.193-213
    23.Resnick, B. G. and Shoesmith, G. L. (2002). “Using the Yield Curve to Time the Stock Market.” Financial Analysts Journal , Vol.58 (3), p.82-90.
    24.Stock, J. and Watson, M. (1989) “New Indexes of Coincident and Leading Indicators.” NBER Macroeconomics Annual, Vol.4, p.351- 394.
    25.Thornton,J.(1993), “Money, Output and Stock Price in the UK: Evidence on Some(non) Relationships.” Applied Financial Economics, Vol.3, p.335-338
    26.Zarnowitz, Victor (1992), “Has macro-forecasting failed?” The Cato journal,12(1), p.129.
    描述: 碩士
    國立政治大學
    經濟學系
    97258009
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097258009
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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