大量變數下的高頻率平滑化「台灣景氣指標」
Other Title
A Mixed-Frequency Smooth Measure for Taiwan's Business Conditions
Journal
經濟論文叢刊
Journal Volume
52
Journal Issue
1
Start Page
77
End Page
118
ISSN
1018-3833
Date Issued
2024-01
Author(s)
吳俊毅
Abstract
本文利用Chen（2021）最近提出的計量方法，在允許抽樣頻率或觀察值公佈日不同的大量變數架構中，建立一個高頻率平滑化的「台灣景氣指標」。我們在這個實證研究中說明，新指標相較於文獻中常見的月頻率擴散指標及國發會的平滑化同時指標及領先指標，在回溯刻畫台灣的經濟情勢變化及詮釋國發會認定的景氣轉折具有良好的實證表現。此外，新指標可於每個月內隨新增觀察值進行更新且易於維護，或可用於即時監測最新之經濟情勢變化。
We utilize Chen's (2021) method to establish a high-frequency smooth index for measuring and nowcasting Taiwan's business conditions. This index is created using large-scale macroeconomic variables and the information of their observation dates. This empirical study shows that, compared to the monthly diffusion index often seen in the literature and the monthly coincident and leading indices of the National Development Council, the new index performs well in measuring Taiwan's business conditions. Meanwhile, the new index might be easily updated in real time and applied to nowcasting Taiwan's business conditions.
Subjects
混合頻率
現測
平滑化景氣指標
mixed frequency
nowcasting
smooth business conditions index
Type
journal article