當期景氣衰退指標可否作爲門檻變數？樣本外預測檢定之應用

Whether the Current Depth of Recession Could Be the Threshold Variable? The Out-of-Sample Forecasting Test

10.29765/TEI.200907.0002

李源明(Yuan-Ming Lee)；黃柏農(Bwo-Nung Huang)；王冠閔(Kuan-Min Wang)

當期景氣衰退指標 ； 景氣循環 ； 樣本外預測 ； 門檻模型 ； Current Depth of Recession ； Business Cycle ； Out-of-Sample Forecasting ； Threshold Model

經濟研究

45卷2期（2009 / 07 / 31）

189 - 235

繁體中文

本文修改當期景氣衰退指標(current depth of recession, CDR)，重建CDR在景氣擴張期的資料，再由門檻模型(threshold model)的估計，調整正、負值範圍，消除景氣區分由外生決定的缺點。本文以7大工業國、香港、馬來西亞、菲律賓、南韓以及台灣等國家，自1959年至2005年的季資料爲樣本，分別建構以CDR、修正CDR(modified CDR, MCDR)爲門檻變數的門檻模型，進行樣本外預測效能的比較，評估2種門檻模型樣本外預測的效能。實證結果發現，MCDR的預測效能比CDR爲佳，適合納入門檻模型作爲門檻變數。

This study aims to modifies the Current Depth of Recession (CDR) for proving that the modified CDR (MCDR) is more suitable to be threshold variable than the CDR. We first rebuild the CDR data in the expansion period, and then adjust the positive and negative range of the CDR based on the estimation of threshold model. The quarterly data of 12 countries including G-7 countries, Hong Kong, Malaysia, Phillip, South Korea and Taiwan over 1959-2005 are used to construct two types of TAR models which adopt the CDR and the MCDR as threshold variables. To examine the efficiency of out-of-sample forecast, we find that MCDR is more proper for being the threshold variable than CDR.

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