Construct the forecast models for economic output gap through the term structure of interest rates ─ evidences for the United States

• Main Author: 張楷翊
• Other Authors: 李桐豪
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/bgzvz6

碩士 === 國立政治大學 === 金融學系 === 105 === The output gap of the economy has always been the objectives of policy practitioners. When a country appear the output gap, it means that the allocation of resources is not equilibrium and the inflation or unemployment will occur. The output gap will allow policymakers to implement the policy as early as possible, and the literature notes that the information of the yield curve has information about the future economic situation. In this paper, we using the data from the U.S. Department of Treasury and the Federal Reserve to predict the output gap by the slopes of the yield curve. Our goal is to construct the prediction model for the next quarter. To forecast the real GDP gap, three prediction models were compared, linear regression model, logistic regression model and support vector machine. The results show that the accuracy of the three predictions are more than 65%, support vector machine accuracy to reach 80.85%. We can have conclusions showing below: First, the yield curve has significant explanatory power for the overall economic output gap in the future. Second, the support vector machine perform better than the commonly used regression model. Third, the predictive power of real import and export in the three models are poor performance, there may be the rest of the economic indicators or financial market information can be explained. Fourth, the real consumption and investment has the predictive power more than 80% of the forecast.