台灣行政院經建會公布的景氣指標共分為1.景氣對策信號、2.景氣動向指標和、3.產業景氣調查三種，而景氣動向指標又細分為領先指標綜合指數和同時指標綜合指數，其中領先指標的編制目的就是預測總體經濟前景，被政府廣泛地拿來觀察甚至預測經濟波動現象，也被視為景氣循環的訊號，並且作為政府調整經濟政策的依據。
而經建會長期以來使用美國NBER的研究準則，並且於1977年公布領先指標後，便延用至今；始於2007年進行第二次改版，公布新的領先指標。一般而言，找尋能穩定地領先景氣的標的實屬難事，且經建會編製領先指標因考量到政策性、與涵蓋經濟意義廣度、以及其他統計上的考量，也難以避免地加入主觀的因素，因此本論文試圖去檢驗經建會公布的現行七項領先指標構成要素在景氣領先上的效果。而領先指標構成要素其變數包括外銷訂單指數、貨幣總計數M1B、股價指數、製造業存貨量指數、工業及服務業每人每月加班工時、核發建照面積、SEMI半導體接單出貨比。礙於樣本數，本文選取同時指標構成要素之一的工業生產指數的月資料來作為景氣的變數，並進行驗證。

Taiwan business indicators are announced by CEPD(Council For Economic Planning And Development) , and divided into three categories – business monitoring indications, business expectation indicators and industrial business expectation survey. Business expectation indicators are further divided into the Composite Index of Leading Indicators and the Composite Index of Coincident Indicators.
Leading indicators, which are expected to forecast business cycles, are widely used to monitor or even predict the fluctuations of economic activities. They are also used to provide early signals of economic trend and, therefore, considered as a tool to adjust the government’s economic policy.
CEPD use the compilation of the USA National Bureau of Economic Research as a reference for a long time, and has announced Taiwan’s ex-business indicators since 1977 without making any revision in the past years, so they announced new business indicators in 2007. As we know, it is difficult to find the leading indicator to make the stable variable of predicting the business cycle, which raises doubts of whether the current leading indicators can done the work concisely.
CEPD make the indicators a little bit subjective because of considering government’s policy and the meaning of containing widely economic fields and the convenience of static, so this research try to examine the effect of current seven leading indicators.
This thesis focuses on leading indicators to investigate how the seven components are related to the general economy. Composite Index of Leading Indicators is made up of seven indicators in order to predict the business cycle. The seven indicators include Index of export orders, Monetary aggregates, M1B, Stock prices index, Index of producer's inventory, Average monthly overtime in industry & services, Building permits, SEMI book –to–bill ratio. In the purpose of getting more sample data, we take Industrial production index, one of coincident indicators announced by CEPD as the variable of current economy.

第一章 緒 論 1
1.1 前言 1
1.2 台灣景氣循環簡介 3
1.2.1 景氣循環的意義說明 3
1.2.2 已認定之台灣景氣循環基準日期 4
1.2.3 經建會認定之台灣領先指標構成要素 5
1.2.4 經建會認定之台灣『同時指標』構成要素 6

第二章 文獻回顧 8
2.1 國內領先指標相關的研究 8
2.2 國內景氣相關的研究 9
2.3 國外領先指標相關的研究 11
2.4 國外景氣相關的研究 12

第三章 研究方法 14
3.1 單根檢定 14
3.1.1 ADF檢定法 14
3.1.2 PP檢定法 15
3.1.3 KPSS檢定 16
3.2 向量自我迴歸模型 19
3.3 Granger因果關係檢定 19
3.4 Johansen共整合檢定 21
3.5 H-P filter調整 25

第四章 實證結果 27
4.1 變數介紹 27
4.1.1 原始數列圖示 28
4.1.2 變數說明及定義 29
4.2 變數年增率及經H-P filter調整後數列及長期趨勢 30
4.3 各個領先指標與工業生產指數在H-P filter下的長期趨勢圖示 35
4.4 原數列以及經H-P filter調整後的數列說明 40
4.5 單根檢定結果 41
4.5.1 未調整過的年增率數列單根檢定 42
4.5.2 經H-P filter調整後年增率數列的單根檢定 46
4.5.3 單根檢定結論 49
4.6 經H-P filter調整後的Granger因果檢定結果 50
4.6.1 外銷訂單指數與工業生產指數Granger因果檢定 50
4.6.2 貨幣總計數M1B與工業生產指數Granger因果檢定 51
4.6.3 股價指數與工業生產指數Granger因果檢定 52
4.6.4 製造業存貨量指數與工業生產指數Granger因果檢定 53
4.6.5 工業及服務業每人每月加班工時與工業生產指數Granger因果檢定 55
4.6.6 核發建照面積與工業生產指數Granger因果檢定 56
4.6.7 SEMI半導體接單出貨比與工業生產指數Granger因果檢定 58

第五章 結論與建議 60
5.1 研究結論 60
5.2 後續研究建議 62

參考文獻 63
中文部份 63
英文部份 64

附錄 66
附錄圖 未調整的領先指標構成要素與工業生產指數的原始年增率數列 66
附錄表 未經調整的原數列I(1)假設下的共整合檢定 70

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