臺灣博碩士論文加值系統

　　本文實證比較與評估國內機構包括行政院主計總處 (DGBAS)、中央研究院經濟研究所 (IEAS) 、台灣經濟研究院 (TIER) 、中華經濟研究院 (CIER) 的通膨預測；包括對各機構通膨預測進行理性預期假說檢定、準確度比較及研究主計處與各機構間預測是否互相影響。實證結果顯示，大部分的機構其通膨預測皆無法滿足理性預期假說中的弱理性及強理性條件。在預測準確度比較上，中研院經濟所的預測表現最佳。此外，我們發現主計處的通膨預測會格蘭傑影響中研院經濟所和台經院的預測，然而中經院的通膨預測反而會格蘭傑影響主計處的預測。在探討主計處進行預測是否擁有更多訊息時，我們利用Fair and Shiller (1990)的迴歸估計，發現主計處的通膨預測比起其他機構的預測具有更多資訊。

This paper compares and evaluates the inflation forecasts in Taiwan from the Directorate General of Budget, Accounting and Statistics, Executive Yuan (DGBAS), Institute of Economics, Academia Sinica (IEAS), Taiwan Institute of Economic Research (TIER), and Chung-Hua Institution for Economic Research (CIER). We examine whether their forecasts satisfy the Rational Expectation Hypothesis (REH). Moreover, we compare the forecasting accuracy among these institutions and investigate whether the forecasts from these institutions would interact with each other. We find that most of the inflation forecasts from these institutions do not satisfy the Weak and Strong Rationality Condition of REH. We also find that the IEAS’s forecasts are the most accurate among all the institutions investigated. Moreover, we find that the inflation forecasts from IEAS and TIER are Granger caused by DGBAS’s forecasts while the inflation forecasts from DGBAS are Granger caused by CIER’s forecasts. Finally, by using Fair and Shiller (1990)’s test, we find that DGBAS’s inflation forecasts contain more information than the forecasts from other institutions.

第一章、緒論 1
第二章、文獻回顧 4
第三章、實證研究 8
第一節、實證模型之設定 8
壹、弱理性與強理性檢定 8
貳、機構預測準確性比較 10
參、機構預測間影響之檢定 10
第二節、實證分析 12
壹、資料敘述 12
貳、實證結果 13
第四章、結論 17
參考文獻 19
表格 22
圖 35
附錄－資料來源 38

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