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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101695

    Title: 利用領先指標預測美國景氣循環之衰退 : 以二元邏輯斯模型分析
    Other Titles: Using leading indicators to forecast recession in the US business cycle : a binary logit analysis
    Authors: 吳思緩;Wu, Sih-Huan
    Contributors: 淡江大學美洲研究所碩士班
    Keywords: 美國景氣循環;領先指標;衰退;二元邏輯斯模型;U.S business cycle;leading indicator;Recession;binary logit model
    Date: 2014
    Issue Date: 2015-05-04 09:15:33 (UTC+8)
    Abstract: 為了解美國總體經濟指標跟各州領先指數之關聯性,本文使用二元邏輯斯模型檢測美國國家經濟研究局所公布之景氣循環指數,再針對美國50州的領先指標比較,選擇研究數據時間為西元1982年至2013年。根據Stock and Watson的論點確定變數組合,使用動態因子模型和主要元成份分析建立模型,產生同期和領先指標代表目前經濟所呈現的狀態。
    In this paper, we seek to study the relation between data on leading indicators and U.S. business cycle by using binary logit model to examine business cycle index of the National Bureau of Economic Research and compare to the leading indicators of the 50 states of the United States. from 1982-2013. According to Stock and Watson’s theory to determine the variable combination. The use of dynamic factor models and principal components to model the current state of the economy has led to a series of coincident and leading indicators. These indicators are specifically designed to help predict the future movements in the state of the economy.

    The empirical result shows Kentucky’s leading index using both of the two or three month lags, the predict ability is significant effect. The conclusion that can be drawn is that two and three months prior, predictions made using the Kentucky leading index will generally be more reliable a predictor for NBER recessions than those using the national leading indicator. One month ahead forecasts are not likely to be very reliable since the NBER number is not available within one month and the state and national leading indicator will not also generally be available so early.

    Finally, this paper also discusses the use of time for quarterly or monthly frequency difference between the two. When the state’s economic activity is similar to the country, it can forecast the future direction of the business cycle more accurately.
    Appears in Collections:[美洲研究所] 學位論文

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