The Correlation Structural Analysis of Financial and Economic Variables in Taiwan：Business cycle, Financial and Misery Indicators

• Main Authors: Yun-Hao Wu, 吳允皓
• Other Authors: Neng-Fang Tseng
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/562s87

碩士 === 真理大學 === 統計與精算學系碩士班 === 102 === Since AD 2008 global financial crisis, global economic downturn, Taiwan is also deeply affected. However, Taiwan is currently facing inflation, prices, oil prices, rising electricity prices, high unemployment, people sixteen years ago, the resulting level of regressive payroll and other economic issues. So study the relationship between macroeconomic variables in Taiwan, to understand the economic problem is a very important issue. In this study, nearly ten years economic variables in Taiwan annual growth rate of total imports, annual growth rate of total exports, economic monitoring indicator scores, stock price index annual rate, interest rates, exchange rates, unemployment rates, consumer price index (CPI), the consumer confidence index (CCI), through which nine variables validating factor analysis to construct Business cycle, Financial and Misery three groups of indicators. And to explore the correlation structure Business cycle, Financial and Misery indicators by both vector autoregression analysis. Through Granger causality analysis interdependence both pre-and post of Business cycle, Financial and Misery indicators. The impulse response analysis to understand when one indicator changes, caused by the impact of other indicators and impact. Finally, a further three indicators predict trends in the coming year. The empirical results show, (1) Through Granger causality test relations that, under the significant level α = 0.05, Financial Indicators Leading Business cycle indicators, Financial Indicators Leading Misery indicators. (2) Through impulse response analysis showed, Business cycle indicators to Business cycle indicators, Misery indicators to Misery indicators contains only positive impulse response and the impact of shorter. Financial indicators to Financial indicators, Business cycle indicators to Misery indicators, Misery indicators to Business cycle indicators of the impact of the response contains only positive and long term impact. Business cycle indicators to Financial indicators, Financial indicators to Business cycle indicators, Financial indicators to Misery indicators, Misery indicators impulse response of the Financial indicators and contains only a negative impact on the long term.