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博碩士論文 etd-0617116-185556 詳細資訊
Title page for etd-0617116-185556
論文名稱
Title
以FECM模型預測台灣國內生產毛額、出口、固定資本形成及貿易條件
Forecasting Taiwan's GDP,Export,Fixed Investment and Terms of Trade
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
45
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-07-07
繳交日期
Date of Submission
2016-07-18
關鍵字
Keywords
因子擴充誤差修正模型、預測、經濟成長、出口、共整合關係
Export, Forecasting, Economic Growth, Factor-augmented Error Correction Models, Cointegration
統計
Statistics
本論文已被瀏覽 5820 次,被下載 1137
The thesis/dissertation has been browsed 5820 times, has been downloaded 1137 times.
中文摘要
台灣為海島型國家,經濟的發展通常仰賴與國際進出口貿易,本研究為探討台灣出口所造成的經濟影響,引用黃台心教授的出口與經濟成長的因果關係:台灣的實證研究為基礎,探討與出口引導經濟成長假說相關之變數,並藉由Banerjee et al.(2014)所提出的預測因子擴充誤差修正模型重新檢驗變數之間的相關。
  因子擴充差修正模型解決傳統的向量自我回歸模型與向量誤差修正模型變數無法容納過多的缺失,並且藉由含有大量相關變數的萃取因子,可使預測相對傳統模型更加精準。
  在理論方面,根據出口引導經濟成長假說,出口有助於累積國內資金,資金可轉而向國外購買新技術與資本,增強國內的生產力進而使國內經濟成長。從中可得出口。進口、資本與經濟成長具有相關。
  在實證上,本研究選取與探討變數相關的79筆季資料為研究對象,時間從1982年第一季到2015年第四季資料,從中可發現,台灣的出口、產出、固定資本形成與貿易條件之間具有共整合關係,也就是變數在長期情況下會趨向均衡。並驗證了因子誤差擴充模型相對誤差修正模型具有更好的預測能力。
Abstract
Taiwan is an island surrounded by sea, so the economic growth mostly relies on international trade. Our paper is subject to discuss that the exports impact on the economic growth and follows Tai-Hsin,Huang(2002)” The Causality Export and Economic Growth: The Empirical Study of Taiwan.” to find variables can be explained why exports affect the economic growth. Then, we use Banerjee et al.(2014)”Factor-augmented error correction models”(FECM) to retest the relationship in variables.
The FECM resolve the defect that the Vector Auto Regressions (VAR) and the Error Correction models (ECM) can’t be contained too much variables. Besides, we can forecast more accurate than ECM by including lots of related variables.
In theory, according to Export-Led Growth Hypothesis, exports accumulate domestic funds which can be used to purchase technologies and capitals. Therefore, we know the relationship between exports, capitals and economic growth.
In empirical, this paper selected 79 seasonal data from 1982 Q1 to 2015 Q4 in Taiwan. We find that export, GDP, output, Fixed Investment and Terms of Trade have a cointegration, in other words, Export, GDP, output, Fixed Investment and Terms of Trade will tend to balance in the long run. On the other hand, FECM is proved that have better forecasting abilities than ECM.
目次 Table of Contents
審定書 i
授權書 ii
致謝 iii
摘要 iv
Abstract v
緒論1
文獻回顧2
經濟理論2
計量理論4
研究方法5
單根檢定5
Augmented Dickey-Fuller單根檢定(ADF檢定法)5
共整合關係(cointegration)7
向量誤差修正模型(Vector error correction model,VECM)7
最適落後期數9
Johansen共整合檢定(the Johansen cointegration test)9
因子擴充誤差修正模型(Factor-augmented error correction models)12
因子萃取方法13
預測力14
實證結果分析15
資料來源及處理15
萃取因子15
決定落後期數16
共整合檢定16
FECM模型估計樣本內預測17
以FECM進行樣本外預測24
結論28
總結28
建議與未來研究方法29
參考文獻30
附錄33
參考文獻 References
中文部分

1. 黃台心(2002),“出口與經濟成長的因果關係:台灣的實證研究”,經濟論文叢刊,30:4,頁165-490。
2. 徐子光(2006) ,“研究發展,出口與經濟成長”,中華管理學報,30:4,頁465-490。
3. 陳仕偉與蘇家偉(2010) ,“出口,進口與經濟成長的因果關係-台灣,韓國及新加坡之實證研究”,台灣銀行季刊,61:2,頁60-82。
4. 陳旭昇(2013),“時間序列分析:總體經濟與財務金融之應用”,東華書局,第二版。


英文部分

1. Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration.Econometrica, 72(4), 1127-1177.
2. Banerjee, A., Marcellino, M., & Masten, I. (2014). Forecasting with factor-augmented error correction models. International Journal of Forecasting, 30(3), 589-612.
3. Emery, R. F. (1967). The relation of exports and economic growth. Kyklos,20(4), 470-486.
4. Esfahani, H. S. (1991). Exports, imports, and economic growth in semi-industrialized countries. Journal of Development Economics, 35(1), 93-116.
5. Feder, G. (1983). On exports and economic growth. Journal of development economics, 12(1-2), 59-73.
6. Ghatak, S., Milner, C., & Utkulu, U. (1997). Exports, export composition and growth: cointegration and causality evidence for Malaysia. Applied Economics,29(2), 213-223.
7. Granger, C. W. J., & Newbold, P. (2001). Spurious regressions in econometrics.Essays in econometrics: Collected papers of Clive WJ Granger, 2, 109.
8. Granger, C. W. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of economics and statistics, 48(3), 213-228.
9. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 1551-1580.
10. Kunst, R. M., & Marin, D. (1989). On exports and productivity: a causal analysis. the Review of Economics and Statistics, 699-703.
11. Park, J. H., & Prime, P. B. (1997). Export performance and growth in China: A cross-provincial analysis. Applied Economics, 29(10), 1353-1363.
12. Ram, R. (1985). Exports and economic growth: Some additional evidence.Economic Development and Cultural Change, 33(2), 415-425.
13. Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.
14. Sharma, S. C., Norris, M., & Cheung, D. W. W. (1991). Exports and economic growth in industrialized countries. Applied Economics, 23(4), 697-708.
15. Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147-162.
16. Tyler, W. G. (1981). Growth and export expansion in developing countries: Some empirical evidence. Journal of development Economics, 9(1), 121-130.
17. Zapata, H. O., & Rambaldi, A. N. (1997). Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and statistics, 59(2), 285-298.
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