https://scholars.lib.ntu.edu.tw/handle/123456789/608015
標題: | A mixed-frequency smooth measure for business conditions | 作者: | YI-TING CHEN | 關鍵字: | Business conditions;Coincident indices;Mixed frequency;Smooth measure;business cycle;empirical analysis;estimation method | 公開日期: | 2021 | 卷: | 61 | 期: | 4 | 起(迄)頁: | 1699-1724 | 來源出版物: | Empirical Economics | 摘要: | We propose measuring business conditions via estimating a smooth function of time that serves as a common factor for explaining the comovement of economic indicators across the occurred business cycles. This smooth measure is useful for reducing the noises in assessing the state of business conditions, and can be easily established using mixed-frequency indicators and updated in real time. We also conduct an empirical study to show its usefulness in real data. ? 2020, Springer-Verlag GmbH Germany, part of Springer Nature. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091178024&doi=10.1007%2fs00181-020-01937-w&partnerID=40&md5=208f3f8edec8fc263edc24245536c079 https://scholars.lib.ntu.edu.tw/handle/123456789/608015 |
ISSN: | 03777332 | DOI: | 10.1007/s00181-020-01937-w |
顯示於: | 財務金融學系 |
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