Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23836
標題: 景氣循環時鐘:預測未來的水晶球
BCC:A Crystal Ball to Empower your Forecasting
作者: 林佳樺
Lin, Chia-Hua
關鍵字: 景氣循環時鐘;Business Cycle Clock;產出缺口;潛在產出;HP-Filter;output gap;potential output;Hodrick-Prescott Filter
出版社: 財務金融系所
引用: 中文參考文獻 1. 經濟景氣指標之研究-景氣測驗調查文集- IFO經濟研究所 Werner H. Strigel 主編 張果為譯 2. 景氣為什麼會循環 拉斯‧特維德 蕭美惠 陳儀 譯 3. 從景暨金融面指標判斷台灣景氣何時復甦 編號(98)019.205 行政院經濟建設委員會 民國98年5月 英文參考文獻 4. The General Theory of Employment, Interest and Money by John Maynard Keynes 5. Time to Built and Aggregate Fluctuations by Finn E. Kydland and Edward C. Prescott 6. Statistical Methods for Potential Output Estimation and Cycle Extraction By European Commission 2003 edition 7. The secrets of Economic Indicators- Hidden Clues to Future Economic Trends and Investment Opportunities by Bernard Baumohl 2005 Edition 8. Macroeconomics by N.Gregory Mankiw Seventh Edition 9. Business Cycles and Forecasting by Valentine Ellis Eighth Edition 10. http://en.wikipedia.org/wiki/John_Maynard_Keynes 11. http://en.wikipedia.org/wiki/Robert_Lucas,_Jr. 12. http://index.cepd.gov.tw/inQuery.aspx?lang=1&type=it01 13. http://epp.eurostat.ec.europa.eu/cache/BCC2/group1/xdis_en.html 歐盟統計局的景氣循環時鐘介面網站
摘要: 
景氣循環時鐘源自於德國慕尼黑經濟研究所。德國政府在1948年實施貨幣改革以後,慕尼黑經濟研究所為了要徵詢各家公司意見是否認為再次幣改能帶動經濟改善而產生的問券調查。這實質的資料來自企業家與消費者,經過數據化,而建立起有助於研究分析及診斷景氣預測。景氣循環時鐘也廣泛的被歐盟統計局運用,對預測國家經濟景氣有著一定的影響力。

近幾年來,因國際事件而影響台灣景氣越來越多,影響層面也越來越大。因此每當台灣主計處公佈經濟數據,就引起投資人的關注。台灣主計處主要使用景氣對策信號來說明景氣現況,但是對於預測景氣走勢的效力有限,主要是因為主計處所使用的數據,大多來自過去式、已發生統計數據,因此對於前瞻性的預測模式較為弱勢。

景氣循環時鐘分為四個象限,縱軸代表長期趨勢,橫軸代表較上一期的成長趨勢。而我們可以透過這四個象限來解釋目前經濟數據所落點的位置,相對的如果數據位置落於較上一期大幅成長,而且已偏離長期趨勢,投資人就必須小心景氣可能處於過熱階段,隨時都可能進行修正。因此,景氣循環時鐘是兼顧長期趨勢與短期波動及容易操作的預測工具。

景氣循環時鐘變數為潛在產出及檔期產出的缺口,我們利用HP-Filter估計表示長期趨勢的潛在產出後,即可計算產出缺口;而產出缺口就是景氣循環時鐘的橫軸,而當期的產出相較上一期的產出為景氣循環時鐘的縱軸。透過數據,所呈現的四象圖很清楚表現出景氣目前坐落的位置。經過應用,對照景氣循環時鐘的走勢圖,證明景氣循環時鐘能有效的預測景氣未來趨勢。

本論文,也介紹了目前歐盟統計局所使用的景氣循環時鐘的網路介面,提供產業投資人如何便利運用此介面來了解及預測目前歐盟國家情勢,供投資大眾為參考依據。

Business cycle clock (BCC) was originated from Germany Munich Institution for Economic Research. It was introduced by surveying how and what manufacturer and consumers thought of the monetary policy’s impact in economic activities during 1948 in German. The survey itself is combined with information collected from manufacturer and consumers. After the information has been quantified, Institution for Economic Research built up a system which could be easily used to forecast and to analyze economic activities. Business cycle clock is used widely with Eurostat.

The past few years, world economy has been through a few ups and downs that impact Taiwan’s economy significantly. Therefore, when directorate-General Budget, Accounting and Statistic, Executive department announces the newest update of Taiwan’s economic statistics and outlook; it gets all the attention. The directorate-General Budget, Accounting and Statistic, Executive department uses monitoring indicators to state what stage/cycle the economy is than telling investors and consumers more meaningful information such as predicting economic outlook. Because of the information directorate-General Budget, Accounting and Statistic collects are the results of happened facts, therefore it has less indication in forecasting what might happen in the future.

Business cycle clock is divided into four different sectors. The horizontal line represents the growth compare to last data and the vertical line represents the long term trend. Users of business cycle clock will be able to read in what sector the key indicators are and what they represent for. If the key indicator reads to be in the above trends and outstanding growth area, that means investors and consumers need to concern and watch for following seasons as the economy is over-heating in the moment.

In order to predict the future economy activities, there are two most important variables that need to be determined: potential output and output gap. Hodrick-Prescott filter will be used to calculate the potential output; represents on the horizontal line of business cycle clock. Once the two variables are determined, we can use scatter plot to draw business cycle clock and use for prediction. After the implication test that is used in this paper, it has shown a highly efficient result in predicting economic cycle.
URI: http://hdl.handle.net/11455/23836
其他識別: U0005-0507201211374000
Appears in Collections:財務金融學系所

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