Wat-son (2003)
、
Fisher et al. (2002)以及
Brave and Fisher (2004)的實證結果很
不一樣。
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圖
1 CPIG與
CPIXG之月資料時間序列圖
圖
2 CPIG與
CPIXG之季資料時間序列圖
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表1國內外文獻總整理 作者研究國家研究期間主要結論/比較結果
單 一 模 型 分 析
: Hallmanetal.(1991)美國1955-1988貨幣與物價具有長期關係。 物價缺口對未來通貨膨脹預測是有幫助的。 KoolandTatom(1994)歐洲1960-1992通貨膨脹會顯著受國內物價缺口與國內外相對物價影響。 Altimari(2001)歐洲1980-2000貨幣缺口對未來通貨膨脹預測是有幫助的。 GerlachandSvesson(2003)歐洲1980-2001貨幣缺口模型比貨幣P∗ 模型的預測能力表現較好。 BrouwerandErisson(1995)澳洲1976-1993物價與單位勞動成本、進口物價指數及進口原油價格具有長期關係。 Mishkin(1990)美國1980-1990利差在對未來通貨膨脹率預測較有幫助。 JorionandMishkin(1991)英國、西德及瑞士1973-1989長期下利率期限結構對未來通貨膨脹預測的幫助是很顯著的。多 項 模 型 比 較
: MohantyandKlau(2001)14EMEs1980-1999供給面因素對通貨膨脹有顯著影響,而需求面因素則不然。 通貨膨脹具有持續性。 Bailliuetal.(2003)墨西哥1983-2001成本加成模型的預測能力表現較好。 葉盛和田慧琦(2004)台灣1991-2004菲力浦曲線與成本加成模型預測能力表現較好。 通貨膨脹具僵固性與持續性。 JaditzandSayers(1994)美國1986-1991菲力浦曲線模型(VAR)的預測能力表現較好。 Cecchetti(1995)美國1977-1994菲力浦曲線模型的預測能力表現較好。 侯德潛和徐千婷(2002)台灣1982-2001菲力浦曲線模型的預測能力表現較好。 Domac(2003)土耳其1990-2002菲力浦曲線與貨幣缺口模型的預測能力表現皆優於成本加成模型。 Onder(2004)土耳其1987-2001菲力浦曲線模型的預測能力表現較好。 StockandWatson(1999)美國1970-1996AR模型的預測能力表現較好。 通貨膨脹率與失業率的關係存在可能的結構性改變。 Cechettietal.(2000)美國1975-1986AR模型的預測表現能力較好。 Camba-MendezandandRodriguez-Palenzuela(2003)美國1980-1999AR模型的預測表現能力較好。 AtkesonandOhanian(2001)美國1984-1999AO模型預測能力表現最好,且比美國官方公佈的預測數據還準。 StockandWatson(2003)美國1985-1999實證結果與AtkesonandOhanian(2001)的結論相同。 Fisheretal.(2002)美國1977-2000AO模型預測能力表現較好(在通貨膨脹率波動較小時)。 BraveandFisher(2004)美國1977-2003實證結果與Fisheretal.(2002)的結論相同。 Angetal.(2007)美國1980-2002ARIMA模型是所有預測模型中預測表現最好的。 發現美國專業機構對未來通貨膨脹率的預測績效非常好。 期限結構模型只有在對核心CPI年增率作樣本外預測時才有幫助。 Mehra(2002)美國1961-2000發現密西根調查在1980年至1990年間表現較好。 MehraandHerrington(2008)美國1950-2007專業機構能夠較快反映通貨膨脹的變化。 StocktonandGlassman(1987)美國1977-1984三角模型的預測能力表現較好。 Canova(2007)美國1996-2002組合預測模型有稍微的改善AO模型的預測能力。 NKPC模型預測表現能力則最差。 黃朝熙(2007)台灣1982-2004BVAR模型對通貨膨脹率的預測能力以8季為最佳。 核心CPI年增率受本身、實質產出及進口物價指數的衝擊的影響最為顯著。 附註:1.本表格區分單一模型分析與多項模型比較共2類,其中多項模型比較依相同結論作歸納。 2.EMEs為新興市場經濟體縮寫。‧ 國
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表2變數選取與處理 變數代碼變數名稱月資料起迄季資料起迄處理方法 CPI消費者物價總指數1982M1-2010M121982Q1-2010Q41 cpi消費者物價總指數(對數轉換後)1982M1-2010M121982Q1-2010Q42 CPIX核心消費者物價指數1982M1-2010M121982Q1-2010Q41 cpix核心消費者物價指數(對數轉換後)1982M1-2010M121982Q1-2010Q42 CPIG消費者物價總指數年增率1982M1-2010M121982Q1-2010Q41 CPIXG核心消費者物價指數年增率1982M1-2010M121982Q1-2010Q41 U失業率1982M1-2010M121982Q1-2010Q41 UGAP失業缺口1982M1-2010M121982Q1-2010Q43 M貨幣供給額(M2)除以消費者物價總指數1982M1-2010M121982Q1-2010Q41 m貨幣供給額(M2)除以消費者物價總指數(對數轉換後)1982M1-2010M121982Q1-2010Q42 MGAP貨幣缺口1982M1-2010M121982Q1-2010Q43 ULC單位產出勞動成本指數1982M1-2010M121982Q1-2010Q41 ulc單位產出勞動成本指數(對數轉換後)1982M1-2010M121982Q1-2010Q42 R90天期商業本票初級市場利率1982M1-2010M121982Q1-2010Q41 r90天期商業本票初級市場利率(對數轉換後)1982M1-2010M121982Q1-2010Q42 IPI進口物價指數1982M1-2010M121982Q1-2010Q41 ipi進口物價指數(對數轉換後)1982M1-2010M121982Q1-2010Q42 OPI進口原油價格指數-以台幣表示1991M1-2010M121991Q1-2010Q41 opi進口原油價格指數-以台幣表示(對數轉換後)1991M1-2010M121991Q1-2010Q42 BR102年期公債殖利率2002M10-2010M12-1 BR210年期公債殖利率2002M10-2010M12-1 SPD公債期間利差2002M10-2010M12-1 GDP實質國內生產毛額-1982Q1-2010Q41 gdp實質國內生產毛額(對數轉換後)-1982Q1-2010Q42 GDPG實質國內生產毛額年增率-1982Q1-2010Q41 YGAP1產出缺口1-1982Q1-2010Q43 YGAP2產出缺口2-1982Q1-2010Q44 F1,2,3擴散指標1,2,3-1988Q3-2009Q11 附註:資料處理方法,1=無轉換的原始值;2=取自然對數;3=作HPFilter處理;4=作消除2時間趨勢處理。
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表3模型代號與設定 模型代號設定月資料模型季資料模型月資料模型資料起迄季資料模型資料起迄 RWπt=πt−1+εtYY1982M1-2010M121982Q1-2010Q4 AO假設未來1年之πt皆相同,以當前平均1年的πt值作為預測值YY1982M1-2010M121982Q1-2010Q4 ARπt=C+β(L)πt+εtYY1982M1-2010M121982Q1-2010Q4 ARIMAΦ(L)(1−L)dπt=C+Θ(L)εtYY1982M1-2010M121982Q1-2010Q4 VARΦ(L)Yt=c+εtYY1982M1-2010M121982Q1-2010Q4 MMπt=C+θMGAPt−1+β(L)πt+εtYY1982M1-2010M121982Q1-2010Q4 MCπt=C+ECt−1+β(L)πt+εtYY1991M1-2010M121991Q1-2010Q4 PC1πt=C+γ(L)Ut+β(L)πt+εtYY1982M1-2010M121982Q1-2010Q4 PC2πt=C+γ(L)UGAPt+β(L)πt+εtYY1982M1-2010M121982Q1-2010Q4 PC3πt=C+γ(L)GDPGt+β(L)πt+εtNY-1982Q1-2010Q4 PC4πt=C+γ(L)YGAP1,t+β(L)πt+εtNY-1982Q1-2010Q4 PC5πt=C+γ(L)YGAP2,t+β(L)πt+εtNY-1982Q1-2010Q4 PC6πt=C+γ(L)′Fit+β(L)πt+εti=1,2,3NY-1988Q3-2009Q1 TS1πt=C+γ1(L)Ut+γ2(L)BR1t+β(L)πt+εtYN2002M10-2010M12- TS2πt=C+γ1(L)Ut+γ2(L)BR2t+β(L)πt+εtYN2002M10-2010M12- TS3πt=C+γ(L)SPDt+β(L)πt+εtYN2002M10-2010M12- 附註:1.實證操作上,所有模型的研究變數皆須處理為定態序列。 2.表格中Y與N代號分別表示有無運用到此模型。 表4不同資料頻率下CPIG與CPIXG的基本敘述統計 CPIG(Q)CPIXG(Q)CPIG(M)CPIXG(M) 樣本個數116116348348 平均數1.751.561.751.56 中位數1.441.111.611.15 標準差1.781.501.941.55 最大值5.965.047.065.12 最小值-1.34-1.83-2.33-1.99 偏態係數0.300.220.280.16 峰態係數2.102.062.392.11 JB檢定量5.725.229.9913.13 (P-value)(0.06)(0.07)(0.01)(0.00) 附註:1.月資料期間為1982M1-2010M12,季資料期間為1982Q1-2010Q4。 2.(Q)代表季資料,(M)代表月資料。
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表5月資料變數水準值與一階差分值ADF單根檢定結果 cpicpixCPIGCPIXGUmulcripi 模型一t值-1.8708-1.5797-2.2997-1.8317-1.5042-3.9249-2.1940-1.4979-0.6808 (P-Value)(0.3456)(0.4910)(0.1728)(0.3647)(0.5303)(0.0021)(0.2090)(0.5336)(0.8485) 模型二t值-1.7898-0.5349-2.2418-1.7808-2.7981-2.0523-0.3178-1.7676-0.7545 (P-Value)(0.7061)(0.9812)(0.4641)(0.7118)(0.1992)(0.5697)(0.9899)(0.7182)(0.9674) 模型三t值-1.2853-1.4234-1.4790-1.2347-0.46080.17570.9694-1.55210.3641 (P-Value)(0.1829)(0.1438)(0.1301)(0.1992)(0.5151)(0.7366)(0.9120)(0.1133)(0.7891) opiBR1BR2SPDUGAPMGAPD(CPI)D(CPIX)D(CPIG) 模型一t值0.1923-0.6320-3.1881-1.2014-6.5326-5.1970-4.9558-5.5791-6.5140 (P-Value)(0.9715)(0.8551)(0.0255)(0.6687)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000) 模型二t值-2.2316-4.3141-3.0798-1.7916-6.4981-5.1587-5.0011-5.7949-6.5154 (P-Value)(0.4691)(0.0057)(0.1204)(0.6969)(0.0000)(0.0001)(0.0003)(0.0000)(0.0000) 模型三t值1.68160.5942-0.6874-1.1490-6.5555-5.2153-4.9757-5.5837-6.5302 (P-Value)(0.9775)(0.8420)(0.4152)(0.2258)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000) D(CPIXG)D(U)D(ulc)D(r)D(ipi)D(opi)D(BR1)D(BR2)SPD 模型一t值-7.8989-4.2263-20.9503-14.6999-12.2368-12.3215-6.0692-5.1290-6.9769 (P-Value)(0.0000)(0.0007)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0001)(0.0000) 模型二t值-7.8989-4.2322-22.1054-14.6830-12.5920-12.3885-6.1591-5.1459-6.9156 (P-Value)(0.0000)(0.0045)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0004)(0.0000) 模型三t值-7.9164-4.1964-20.9227-14.6596-12.2477-12.1558-5.7013-5.1681-6.9893 (P-Value)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000)(0.0000) 附註:1.模型一為無漂浮項且無趨勢項模型;模型二為含漂浮項但無趨勢項模型;模型三含漂浮項與趨勢項模型。 2.cpi、cpix、CPIG、CPIXG、U、m、ulc、r、ipi、UGAP及MGAP之資料期間為1982M1-2007M12。 3.opi之資料期間為1991M1-2007M12以及BR1、BR2與SPD之資料期間為2002M10-2007M12。 4.D()表示為將括號內變數作一階差分。
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表6月資料變數共整合單根檢定-軌跡檢定 研究變數:cpi、ulc、r、ipi、opi研究變數:cpix、ulc、r、ipi、opi 虛無假設特性根數軌跡檢定統計量5%臨界值(P-value)特性根數軌跡檢定統計量5%臨界值(P-value) 無共整合關係0.2574125.9476.97(0.0000)0.3723171.3976.97(0.0000) 最多1個共整合關係0.176066.7254.08(0.0025)0.226178.7254.08(0.0001) 最多2個共整合關係0.080628.1935.19(0.2331)0.078327.7135.19(0.2546) 最多3個共整合關係0.037411.4720.26(0.4971)0.036911.4820.26(0.4961) 最多4個共整合關係0.01933.889.16(0.4298)0.01994.009.16(0.4128) 附註:資料期間為1991M1-2007M12。 表7月資料變數共整合單根檢定結果-特性根檢定 研究變數:cpi、ulc、r、ipi、opi研究變數:cpix、ulc、r、ipi、opi 虛無假設特性根數最大特性根值5%臨界值(P-value)特性根數最大特性根值5%臨界值(P-value) 無共整合關係0.257459.2234.81(0.0000)0.372392.6734.81(0.0000) 最多1個共整合關係0.176038.5328.59(0.0020)0.226151.0128.59(0.0000) 最多2個共整合關係0.080616.7122.30(0.2505)0.078316.2222.30(0.2826) 最多3個共整合關係0.03747.5915.89(0.5973)0.03697.4915.89(0.6096) 最多4個共整合關係0.01933.889.16(0.4298)0.01994.009.16(0.4128) 附註:同表6附註。
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表8月資料模型對CPIG預測之估計結果 模型估計式
2¯ R RW-0.8171 AO--0.6672 AR∆π=−0.15∆π−0.24∆π−0.19∆π−0.07∆π−0.16∆π+0.07∆π−0.14∆πtt−1t−2t−3t−4t−5t−6t−7 (−2.84)(−4.63)(−3.48)(−1.32)(−2.81)(1.28)(−2.43) +0.03∆π−0.007∆π+0.03∆π+0.18∆π−0.48∆π+e0.4068t−8t−9t−10t−11t−12t (0.58)(−0.12)(0.52)(3.37)(−9.19) ARIMA∆π=0.05∆π−0.03∆π−0.08∆π+0.02∆π−0.10∆π+0.12∆π−0.13∆πtt−1t−2t−3t−4t−5t−6t−7 (0.60)(−0.35)(−1.41)(0.33)(−1.97)(2.29)(2.63) +0.05∆π−0.01∆π+0.004∆π+0.14∆π−0.57∆π+e−0.24e−0.22e0.4174t−8t−9t−10t−11t−12tt−1t−2 (0.92)(−0.12)(0.08)(2.76)(−10.9)(−2.23)(−2.09) VAR∆π=−0.36−0.17∆π−0.11∆U+0.03∆M−0.48∆ulc+0.49∆r+0.49∆ipi+e0.0290tt−1t−1t−1t−1t−1t−1t (0.36)(−3.03)(−0.36)(0.37)(−1.77)(0.76)(−0.49) MM∆π=0.002−0.93MGAP−0.15∆π−0.24∆π−0.19∆π−0.07∆π−0.16∆πtt−1t−1t−2t−3t−4t−5 (0.03)(−0.31)(−2.85)(−4.62)(−3.48)(−1.33)(−2.81) +0.07∆π−0.14∆π+0.03∆π−0.01∆π+0.03∆π+0.18∆π−0.48∆π+e0.4028t−6t−7t−8t−9t−10t−11t−12t (1.27)(−2.40)(0.59)(−0.10)(0.54)(3.36)(−9.10) MC∆π=−0.01EC−0.22∆π−0.19∆π−0.17∆π−0.13∆π−0.22∆πtt−1t−1t−2t−3t−4t−5 (−0.15)(−3.47)(−2.91)(−2.51)(−1.86)(−3.03) +0.08∆π−0.16∆π+0.02∆π+0.08∆π+0.08∆π+0.15∆π−0.52∆π+e0.4871tt−6t−7t−8t−9t−10t−11t−12 (1.06)(−2.25)(0.34)(1.13)(1.19)(2.28)(−8.11) PC1∆π=0.001−0.07∆U−0.15∆π−0.24∆π−0.19∆π−0.07∆π−0.16∆πtt−1t−1t−2t−3t−4t−5 (0.03)(−0.28)(−2.85)(−4.62)(−3.48)(−1.33)(−2.81) +0.07∆π−0.14∆π+0.03∆π−0.01∆π+0.03∆π+0.18∆π−0.48∆π+e0.4028tt−6t−7t−8t−9t−10t−11t−12 (1.26)(−2.4(0.57)(−0.11)(0.51)(3.36)(−9.14) PC2∆π=0.001−0.01UGAP−0.15∆π−0.24∆π−0.19∆π−0.07∆π−0.16∆πtt−1t−1t−2t−3t−4t−5 (0.02)(−0.08)(−2.83)(−4.61)(−3.46)(−1.32)(−2.79) +0.07∆π−0.14∆π+0.03∆π−0.01∆π+0.03∆π+0.18∆π−0.48∆π+e0.4026tt−6t−7t−8t−9t−10t−11t−12 (1.25)(−2.40)(0.56)(−0.12)(0.51)(3.34)(−9.15) TS1∆π=0.07+0.03∆π+0.56∆U+0.21∆BR+e-0.0465tt−1t−11,t−1t (0.59)(0.24)(0.50)(0.21) TS2∆π=0.07+0.04∆π+0.04∆U+1.52∆BR+e0.0508tt−1t−12,t−1t (0.59)(0.31)(0.03)(2.43) TS3∆π=0.08+0.03∆π−1.94∆SPD+e0.0871tt−1t−1t (0.74)(0.21)(−2.77) 附註:括號()中之數值表示為參數估計值相對應之t統計量。
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表9月資料模型對CPIXG預測之估計結果 模型估計式
2¯ R RW-0.9049 AO--0.3490 AR∆π=−0.32∆π+0.001∆π+0.09∆π+0.14∆π+0.05∆π+0.03∆πtt−1t−2t−3t−4t−5t−6 (−6.51)(0.01)(1.70)(2.65)(0.88)(0.47) −0.02∆π−0.01∆π−0.04∆π+0.01∆π−0.005∆π−0.541∆π+e0.4606t−7t−8t−9t−10t−11t−12t (−0.34)(−0.19)(−0.77)(0.29)(−0.09)(−11.08) ARIMA∆π=0.004−0.30∆π−0.07∆π+0.08∆π+0.23∆π+0.17∆π+0.09∆πtt−1t−2t−3t−4t−5t−6 (0.16)(−1.48)(−0.58)(0.92)(2.34)(1.60)(0.89) −0.03∆π−0.12∆π−0.12∆π−0.07∆π−0.04∆π−0.34∆π+ett−7t−8t−9t−10t−11t−12 (−0.28)(−1.44)(−1.32)(−0.77)(−0.44)(−4.77) +0.05e+0.08e+0.08e−0.19e−0.06e−0.11e+0.11e+0.02et−1t−2t−3t−4t−5t−6t−7t−8 (0.23)(1.02)(0.95)(−2.65)(−0.64)(−1.40)(1.43)(0.30) +0.16e+0.03e+0.22e−0.60e+0.14e0.5931t−9t−10t−11t−12t−13 (2.13)(0.41)(2.95)(−8.84)(0.80) VAR∆π=−0.10−0.37∆π−0.15∆U+0.01∆M−0.29∆ulc+0.52∆r+0.86∆ipi+e0.1727tt−1t−1t−1t−1t−1t−1t (−0.20)(−6.55)(−0.97)(0.21)(−2.04)(1.64)(0.39) MM∆π=−0.003+1.19MGAP−0.32∆π+0.003∆π+0.09∆π+0.14∆π+0.05∆πtt−1t−1t−2t−3t−4t−5 (−0.11)(0.77)(−6.34)(0.06)(1.70)(2.63)(0.85) +0.02∆π−0.02∆π−0.01∆π−0.04∆π+0.01∆π−0.01∆π−0.545∆π+e0.4580t−6t−7t−8t−9t−10t−11t−12t (0.43)(−0.35)(−0.19)(−0.77)(0.25)(−0.17)(−11.07) MC∆π=−0.01EC−0.51∆π−0.19∆π−0.003∆π+0.12∆π+0.06∆π+0.05∆πtt−1t−1t−2t−3t−4t−5t−6 (−0.35)(−7.81)(−2.43)(−0.04)(1.59)(0.81)(0.66) +0.01∆π+0.01∆π−0.03∆π+0.02∆π+0.02∆π−0.49∆π+e0.5460t−7t−8t−9t−10t−11t−12t (0.09)(0.10)(−0.36)(0.27)(0.28)(−7.35) PC1∆π=−0.002−0.18∆U−0.33∆π+0.001∆π+0.09∆π+0.14∆π+0.04∆πtt−1t−1t−2t−3t−4t−5 (−0.06)(−1.37)(−6.58)(0.02)(1.66)(2.6)(0.8) +0.02∆π−0.02∆π−0.01∆π−0.04∆π+0.02∆π−0.004∆π−0.544∆π+e0.4604t−6t−7t−8t−9t−10t−11t−12t (0.4)(−0.33)(−0.19)(−0.68)(0.36)(−0.08)(−11.12) PC2∆π=−0.002−0.03UGAP−0.32∆π+0.00002∆π+0.09∆π+0.14∆π+0.05∆πtt−1t−1t−2t−3t−4t−5 (−0.09)(−0.33)(−6.49)(0.0003)(1.67)(2.61)(0.84) +0.02∆π−0.02∆π−0.01∆π−0.04∆π+0.01∆π−0.005∆π−0.541∆π+e0.4571t−6t−7t−8t−9t−10t−11t−12t (0.42)(−0.37)(−0.22)(−0.78)(0.28)(−0.09)(−11.05) TS1∆π=0.10−0.69∆π−0.30∆π−0.13∆π+0.03∆π+0.19∆U+0.78∆BR+e0.3637tt−1t−2t−3t−4t−11,t−1t (1.51)(−5.98)(−2.25)(−0.96)(0.22)(0.31)(1.28) TS2∆π=0.10−0.68∆π−0.31∆π−0.13∆π+0.05∆π−0.07∆U+0.83∆BR+e0.3967ttt−1t−2t−3t−4t−12,t−1 (1.51)(−6.15)(−2.42)(−1.02)(0.42)(−0.12)(2.12) TS3∆π=0.11−0.66∆π−0.31∆π−0.16∆π+0.03∆π−0.61∆SPD+e0.3789tt−1t−2t−3t−4t−1t (1.74)(−5.90)(−2.39)(−1.21)(0.23)(−1.41) 附註:同表8附註。
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表10不同月資料預測模型對CPIG預測之樣本外預測(1月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE0.79332.6863b0.75300.7331a0.78960.75670.75920.75370.75070.80550.78490.9086 RMSE1.02653.0989b 0.95880.9451a 0.98570.96090.96220.95560.95971.03811.04151.1572 DM1--4.56980.44880.56420.08280.41410.35770.45100.4873-0.64190.1863-2.0031 (P-Value)-(0.0001)(0.6563)(0.5762)(0.9345)(0.6813)(0.7227)(0.6547)(0.6291)(0.5251)(0.8533)(0.0530) DM2--3.28120.76510.83760.73180.74850.65190.81660.7670-0.6015-0.3701-2.0875 (P-Value)-(0.0023)(0.4493)(0.4079)(0.4691)(0.4592)(0.5188)(0.4197)(0.4482)(0.5514)(0.7136)(0.0442) 附註:1.樣本外期間為2008M1-2010M12。 2.MAE與RMSE之數字右上角”a”表示為最小值,而”b”則表示為最大值。 3.DM1與DM2檢定之虛無假設為H0:隨機漫步模型與比較的模型之預測表現相同。 4.DM1為絕對值損失函數g(et)=|et|,DM2則為二次方損失函數g(et)=e2 t。 表11不同月資料預測模型對CPIG預測之樣本外預測(2月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE1.42332.7206b0.74430.7288a0.78650.74830.75330.74620.74720.79130.77450.8767 RMSE1.68692.9063b0.95850.9555a1.02580.96040.95880.95690.95881.01541.01421.1316 DM1--3.34783.62873.32794.15793.64053.43073.62293.64454.24783.79863.1869 (P-Value)-(0.0020)(0.0009)(0.0021)(0.0002)(0.0009)(0.0016)(0.0009)(0.0009)(0.0002)(0.0006)(0.0030) DM2--3.18413.00442.84733.16163.01702.96503.00883.02293.24223.06302.6052 (P-Value)-(0.0030)(0.0049)(0.0073)(0.0032)(0.0047)(0.0054)(0.0048)(0.0047)(0.0026)(0.0042)(0.0134) 附註:同表10附註。 表12不同月資料預測模型對CPIG預測之樣本外預測(3月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE1.4028b 1.33640.74010.7271a 0.79110.74080.74430.74070.73200.79040.78240.8884 RMSE1.7829b1.57620.92560.9221a1.02550.92750.93910.92570.92451.02251.01891.1408 DM1-0.17692.63752.63422.81982.63972.61582.62962.68512.77322.71882.2841 (P-Value)-(0.8606)(0.0124)(0.0125)(0.0079)(0.0123)(0.0130)(0.0126)(0.0110)(0.0088)(0.0101)(0.0285) DM2-0.50042.45632.41022.40702.45682.42262.45382.46552.41392.38672.1422 (P-Value)-(0.6199)(0.0191)(0.0213)(0.0215)(0.0191)(0.0207)(0.0193)(0.0187)(0.0211)(0.0225)(0.0392) 附註:同表10附註。
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表13不同月資料預測模型對CPIG預測之樣本外預測(4月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE1.65641.9341b0.74270.74290.79460.74210.75250.74270.7409a0.79770.85930.8837 RMSE2.03172.3737b0.93030.9267a1.02840.93070.93540.93060.92851.01981.25791.1375 DM1--0.55423.22523.19853.38653.22793.17743.21943.23693.37343.15812.9861 (P-Value)-(0.5830)(0.0027)(0.0029)(0.0018)(0.0027)(0.0031)(0.0028)(0.0026)(0.0018)(0.0033)(0.0051) DM2--0.68502.72892.72052.69442.72732.71582.72652.73352.69642.19342.5818 (P-Value)-(0.4979)(0.0099)(0.0101)(0.0108)(0.0099)(0.0102)(0.0099)(0.0098)(0.0107)(0.0350)(0.0142) 附註:同表10附註。 表14不同月資料預測模型對CPIXG預測之樣本外預測(1月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE0.38691.8928b 0.32630.2726a 0.36920.32450.35350.32400.31830.40420.41950.4318 RMSE0.59812.2519b 0.46870.3956a 0.54880.46970.49730.46430.46310.58470.59930.6433 DM1--3.85321.00471.52300.56931.04930.54791.04541.1182-0.3464-0.9127-0.9197 (P-Value)-(0.0005)(0.3219)(0.1367)(0.5728)(0.3013)(0.5872)(0.3030)(0.2711)(0.7311)(0.3677)(0.3640) DM2--2.75281.16961.39271.07941.16170.92911.20381.21980.2146-0.0269-0.7739 (P-Value)-(0.0093)(0.2501)(0.1725)(0.2878)(0.2532)(0.3592)(0.2367)(0.2307)(0.8313)(0.9787)(0.4442) 附註:同表10附註 表15不同月資料預測模型對CPIXG預測之樣本外預測(2月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE0.72312.2897b0.35110.2770a0.36700.34800.35970.35050.34730.40070.39420.4134 RMSE0.91222.4003b0.49910.3970a0.58670.49690.50900.49790.49550.56880.60780.6196 DM1--5.33133.53313.72373.93823.59293.38873.58043.53843.24283.51583.2698 (P-Value)-(0.0000)(0.0012)(0.0007)(0.0004)(0.0010)(0.0018)(0.0010)(0.0012)(0.0026)(0.0012)(0.0024) DM2--4.86613.00882.89962.67983.02482.95043.02983.02762.60102.62622.5042 (P-Value)-(0.0000)(0.0048)(0.0064)(0.0112)(0.0046)(0.0056)(0.0046)(0.0046)(0.0135)(0.0127)(0.0171) 附註:同表10附註。
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表16不同月資料預測模型對CPIXG預測之樣本外預測(3月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE0.88391.4535b 0.36360.3155a 0.38720.35920.36980.36260.35950.42240.39540.4358 RMSE1.09731.7017b0.51050.4613a0.59450.50980.52160.50990.50770.59160.61740.6444 DM1--1.64700.10853.56783.86543.82753.68603.79413.75403.38873.84193.5459 (P-Value)-(0.1085)(0.0006)(0.0011)(0.0005)(0.0005)(0.0008)(0.0006)(0.0006)(0.0018)(0.0005)(0.0011) DM2--1.56983.07322.73482.76093.07953.03973.08203.07732.68372.81662.6984 (P-Value)-(0.1254)(0.0041)(0.0097)(0.0091)(0.0040)(0.0045)(0.0040)(0.0040)(0.0110)(0.0079)(0.0107) 附註:同表10附註。 表17不同月資料預測模型對CPIXG預測之樣本外預測(4月前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2TS1TS2TS3 MAE1.07721.2931b0.35940.2731a0.38810.35680.36670.35960.35680.41590.40400.4321 RMSE1.31501.6175b0.51090.3826a0.59790.51100.52270.51000.50770.58810.61910.6384 DM1--0.55423.22523.19853.38653.22793.17743.21943.23693.37343.15812.9861 (P-Value)-(0.5830)(0.0027)(0.0029)(0.0018)(0.0027)(0.0031)(0.0028)(0.0026)(0.0018)(0.0033)(0.0051) DM2--0.74273.01603.03922.74743.01942.99483.02243.01732.71762.79002.7159 (P-Value)-(0.4626)(0.0047)(0.0045)(0.0094)(0.0047)(0.0050)(0.0047)(0.0047)(0.0102)(0.0085)(0.0102) 附註:同表10附註。
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表18季資料變數水準值與一階差分值ADF單根檢定結果 cpicpixCPIGCPIXGUmulcr 模型一t值0.11410.7214-1.5661-1.0726-0.7283-3.4146-2.5002-0.6691 (P-Value)(0.7139)(0.8677)(0.4955)(0.7235)(0.8333)(0.0130)(0.1189)(0.8484) 模型二t值-2.0638-2.4653-1.5382-1.1951-1.5544-1.6257-0.6376-1.2245 (P-Value)(0.2598)(0.1299)(0.8087)(0.9050)(0.8027)(0.7747)(0.9740)(0.8991) 模型三t值-1.2995-0.9573-1.2666-1.04540.42411.24220.8194-1.6670 (P-Value)(0.8757)(0.9406)(0.1877)(0.2648)(0.8030)(0.9445)(0.8869)(0.0901) ipiopiGDPGUGAPMGAPYGAP1YGAP2D(cpi) 模型一t值-2.2327-0.2554-3.5226-3.4678-5.3952-5.8700-2.6973-1.8066 (P-Value)(0.1964)(0.9244)(0.0095)(0.0112)(0.0000)(0.0000)(0.0786)(0.0000) 模型二t值-1.7106-2.4583-6.5247-3.4410-5.3862-5.9787-2.8707-1.2686 (P-Value)(0.7386)(0.3469)(0.0000)(0.0527)(0.0001)(0.0000)(0.1771)(0.0000) 模型三t值-0.34821.1351-0.8680-3.4453-5.4291-5.9044-2.7026-2.1032 (P-Value)(0.5569)(0.9319)(0.3372)(0.0008)(0.0000)(0.0000)(0.0074)(0.0000) D(cpix)D(CPIG)D(CPIXG)D(U)D(ulc)D(R)D(ipi)D(opi) 模型一t值-1.3703-8.6900-8.6900-4.3492-3.5871-10.0641-6.3604-7.0389 (P-Value)(0.0000)(0.0000)(0.0000)(0.0007)(0.0079)(0.0000)(0.0000)(0.0000) 模型二t值-1.5365-8.6609-8.6609-4.3929-4.7677-10.0626-6.6209-7.0920 (P-Value)(0.0000)(0.0000)(0.0000)(0.0038)(0.0011)(0.0000)(0.0000)(0.0000) 模型三t值-2.9634-8.7193-8.7193-4.2924-3.4830-9.8695-6.3871-6.9135 (P-Value)(0.0000)(0.0000)(0.0000)(0.0000)(0.0007)(0.0000)(0.0000)(0.0000) 附註:1.模型一為無漂浮項且無趨勢項模型;模型二為含漂浮項但無趨勢項模型;模型三含漂浮項與趨勢項模型。 2.cpi、cpix、CPIG、CPIXG、U、m、ulc、r、ipi、UGAP、MGAP、YGAP1以及YGAP2之資料期間為1982Q1-2004Q4。 3.opi之資料期間為1991Q1-2004Q4。 4.D()表示為將括號內變數作一階差分。
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表19月資料變數共整合單根檢定-軌跡檢定 研究變數:cpi、ulc、r、ipi、opi研究變數:cpix、ulc、r、ipi、opi 虛無假設特性根數軌跡檢定統計量5%臨界值(P-value)特性根數軌跡檢定統計量5%臨界值(P-value) 無共整合關係0.7991177.2076.97(0.0000)0.8515198.9476.97(0.0000) 最多1個共整合關係0.665290.5254.08(0.0000)0.700495.9754.08(0.0000) 最多2個共整合關係0.300331.4435.19(0.1202)0.290130.8735.19(0.1358) 最多3個共整合關係0.119612.1620.26(0.4347)0.123912.3720.26(0.4159) 最多4個共整合關係0.09325.289.16(0.2540)0.09245.239.16(0.2587) 附註:資料期間為1991Q1-2004Q4。 表20月資料變數共整合單根檢定結果-特性根檢定 研究變數:cpi、ulc、r、ipi、opi研究變數:cpix、ulc、r、ipi、opi 虛無假設特性根數最大特性根值5%臨界值(P-value)特性根數最大特性根值5%臨界值(P-value) 無共整合關係0.799186.6734.81(0.0000)0.8515102.9734.81(0.0000) 最多1個共整合關係0.665259.0828.59(0.0000)0.700465.0928.59(0.0000) 最多2個共整合關係0.300319.2822.30(0.1252)0.290118.5022.30(0.1562) 最多3個共整合關係0.11966.8815.89(0.6844)0.12397.1415.89(0.6525) 最多4個共整合關係0.09325.289.16(0.2540)0.09245.239.16(0.2587) 附註:同表19附註。
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表21季資料模型對CPIG預測之估計結果 模型估計式
2¯ R RW-0.6535 AO--0.2504 AR∆π=−0.18∆π−0.07∆π−0.01∆π−0.47∆π+e0.2396tt−1t−2t−3t−4t (−1.90)(−0.65)(−0.14)(−4.78) ARIMA∆π=0.14∆π+0.17∆π−0.44∆π−0.53∆π+e−0.39e−0.36e+0.96e0.4383tt−1t−2t−3t−4tt−1t−2t−3 (1.50)(1.91)(−5.07)(−5.83)(−11.1)(−7.66)(27.6) VAR∆π=−0.17∆π−0.05∆π+0.13∆π+0.32∆U−0.16∆U−1.04∆U+2.12∆Mtt−1t−2t−3t−1t−2t−3t−1 (−1.43)(−0.39)(1.03)(0.62)(−0.30)(−1.85)(0.18) −4.91∆M+2.79∆M+1.42∆ulc+0.97∆ulc+0.12∆ulc−1.41∆r+0.11∆r−0.33∆rt−2t−3t−1t−2t−3t−1t−2t−3 (−0.24)(0.26)(1.25)(0.97)(0.13)(−1.62)(0.12)(−0.39) +0.54∆ipi+3.61∆ipi−2.33∆ipi+0.11GDPG−0.11GDPG−0.004GDPG+e-0.0305t−1t−2t−3t−1t−2t−3t (0.10)(0.64)(−0.44)(1.53)(−1.13)(−0.05) MM∆π=−0.04+7.52MGAP−0.19∆π−0.09∆π−0.04∆π−0.51∆π+e0.2447tt−1t−1t−2t−3t−4t (−0.35)(1.57)(−1.95)(−0.85)(−0.41)(−5.01) MC∆π=−0.06EC−0.37∆π−0.02∆π+0.10∆π−0.55∆π−0.28∆π−0.05∆π+e0.3579tt−1t−1t−2t−3t−4t−5t−6t (−0.97)(−2.55)(−0.13)(0.76)(−3.98)(−1.89)(−0.34) PC1∆π=−0.03+0.11∆U−0.18∆π−0.06∆π−0.01∆π−0.48∆π+e0.2231tt−1t−1t−2t−3t−4t (−0.33)(0.37)(−1.84)(−0.61)(−0.14)(−4.75) PC2∆π=−0.02−0.15∆UGAP−0.19∆π−0.07∆π−0.03∆π−0.48∆π+e0.2251tt−1t−1t−2t−3t−4t (−0.24)(−0.59)(−1.91)(−0.73)(−0.25)(−4.77) PC3∆π=−0.33+0.05GDPG−0.19∆π−0.09∆π−0.03∆π−0.47∆π+e0.2400tt−1t−1t−2t−3t−4t (−1.40)(1.39)(−1.97)(−0.90)(−0.30)(−4.77) PC4∆π=−0.03−0.09YGAP−0.18∆π−0.07∆π−0.02∆π−0.48∆π+e0.2218t1,t−1t−1t−2t−3t−4t (−0.31)(−0.03)(−1.87)(−0.65)(−0.15)(−4.73) PC5∆π=−0.03+2.02YGAP−0.18∆π−0.07∆π−0.02∆π−0.48∆π+e0.2250t2,t−1t−1t−2t−3t−4t (−0.29)(0.58)(−1.88)(−0.66)(−0.17)(−4.75) PC6∆π=0.004+2.17F−0.36∆π−0.17∆π−0.07∆π−0.51∆π+e0.3631t1,t−1t−1t−2t−3t−4t (0.04)(1.77)(−3.12)(−1.38)(−0.59)(−4.64) 附註:括號()中之數值表示為參數估計值相對應之t統計量。
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表22季資料模型對CPIXG預測之估計結果 模型估計式
2¯ R RW-0.8478 AO--0.4040 AR∆π=0.40∆π−0.16∆π+0.10∆π−0.51∆π+e0.4140tt−1t−2t−3t−4t (4.21)(−1.60)(0.96)(−5.53) ARIMA∆π=−0.27∆π+e+0.75e+0.32e+0.17e−0.65e−0.55e0.4289tt−1tt−1t−2t−3t−4t−5 (−1.32)(4.68)(2.94)(1.37)(−6.32)(−4.73) VAR∆π=0.47∆π−0.10∆π−0.12∆π+0.09∆U−0.44∆U−0.37∆U−2.15∆Mtt−1t−2t−3t−1t−2t−3t−1 (4.01)(−0.75)(−1.07)(0.34)(−1.68)(−1.32)(−0.37) +9.54∆M−7.38∆M+0.64∆ulc−0.32∆ulc−0.07∆ulc−0.90∆r+0.22∆r+0.22∆rt−2t−3t−1t−2t−3t−1t−2t−3 (0.95)(−1.39)(1.14)(−0.63)(−0.16)(−2.13)(0.49)(0.53) −0.21∆ipi+1.29∆ipi+2.58∆ipi+0.03GDPG−0.06GDPG−0.02GDPG+e0.2216t−1t−2t−3t−1t−2t−3t (−0.08)(0.47)(0.99)(0.90)(−1.31)(−0.49) MM∆π=−0.03+5.40MGAP+0.38∆π−0.19∆π+0.10∆π−0.56∆π+e0.4377tt−1t−1t−2t−3t−4t (−0.57)(2.29)(4.13)(−1.83)(0.96)(−6.01) MC∆π=−0.03EC+0.24∆π+e0.0420tt−1t−1t (−0.77)(1.82) PC1∆π=−0.03+0.13∆U+0.40∆π−0.17∆π+0.10∆π−0.52∆π+e0.4070tt−1t−1t−2t−3t−4t (−0.54)(0.88)(4.25)(−1.60)(0.99)(−5.57) PC2∆π=−0.02+0.003∆UGAP+0.39∆π−0.17∆π+0.10∆π−0.52∆π+e0.4013tt−1t−1t−2t−3t−4t (−0.48)(0.02)(4.15)(−1.59)(0.93)(−5.48) PC3∆π=0.01+0.05GDPG−0.06GDPG+0.37∆π−0.18∆π+0.14∆π−0.52∆π+e0.4389tt−1t−2t−1t−2t−3t−4t (0.09)(2.23)(−2.47)(3.99)(−1.78)(1.38)(−5.65) PC4∆π=−0.03−1.21YGAP+0.39∆π−0.17∆π+0.10∆π−0.52∆π+e0.4064t1,t−1t−1t−2t−3t−4t (−0.55)(−0.84)(4.18)(−1.60)(0.95)(−5.53) PC5∆π=−0.03−1.02YGAP+0.40∆π−0.17∆π+0.10∆π−0.52∆π+e0.4039t2,t−1t−1t−2t−3t−4t (−0.50)(−0.59)(4.18)(−1.60)(0.95)(−5.51) PC6∆π=−0.04+0.74F+0.20∆π−0.12∆π+0.03∆π−0.47∆π+e0.2881t1,t−1t−1t−2t−3t−4t (−0.71)(1.36)(1.88)(−1.11)(0.25)(−4.65) 附註:同表21附註。
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表23不同季資料預測模型對CPIG預測之樣本外預測(1季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE0.98812.2230b 0.93430.96220.8648a 0.97850.88850.94410.91360.88030.92260.90381.0350 RMSE1.27492.4219b 1.22631.19441.16541.25911.19061.23751.23041.1505a 1.23321.21581.3943 DM1--4.17600.56150.28991.64730.10620.75870.46180.79590.97910.74990.88480.2217 (P-Value)-(0.0004)(0.5799)(0.7745)(0.1131)(0.9164)(0.4557)(0.6485)(0.4342)(0.3377)(0.4609)(0.3854)(0.8274) DM2--3.81220.48650.77251.02280.15310.52700.37210.46590.98030.41480.5589-0.4471 (P-Value)-(0.0009)(0.6312)(0.4477)(0.3170)(0.8797)(0.6033)(0.7132)(0.6456)(0.3371)(0.6821)(0.5816)(0.6608) 附註:1.樣本外期間為2005Q1-2010Q4。 2.MAE與RMSE之數字右上角”a”表示為最小值,而”b”則表示為最大值。 3.DM1及DM2之虛無假設與損失函數的設定與表11相同。 表24不同季資料預測模型對CPIG預測之樣本外預測(2季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE1.5144b1.40380.94010.90841.00010.95630.8862a0.95170.92200.90750.93070.91731.0059 RMSE1.9062b1.65661.20181.1400a1.25071.23051.14801.21691.20501.14591.21011.19681.3382 DM1-0.29933.14683.56072.99002.99882.77613.13323.17202.78413.16073.03172.7328 (P-Value)-(0.7674)(0.0045)(0.0017)(0.0065)(0.0064)(0.0107)(0.0047)(0.0043)(0.0105)(0.0044)(0.0059)(0.0147) DM2-0.62682.66602.89392.62192.56652.39702.68332.65342.50292.65772.62162.1284 (P-Value)-(0.5370)(0.0138)(0.0082)(0.0152)(0.0173)(0.0250)(0.0133)(0.0142)(0.0199)(0.0141)(0.0153)(0.0492) 附註:同表23附註。 表25不同季資料預測模型對CPIG預測之樣本外預測(3季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE1.8415b 1.80210.93010.91171.00540.94460.8795a 0.94410.91290.90810.92050.91701.0077 RMSE2.2737b 2.20261.20821.18741.26771.23861.1313a 1.22181.21251.15551.21861.20951.3483 DM1-0.11652.88192.89772.68822.80852.82032.87092.85742.68582.86802.76482.3354 (P-Value)-(0.9082)(0.0084)(0.0081)(0.0131)(0.0100)(0.0097)(0.0086)(0.0089)(0.0132)(0.0087)(0.0110)(0.0329) DM2-0.21902.28952.31742.17632.44652.26002.29162.27202.24222.26912.25742.2884 (P-Value)-(0.8286)(0.0316)(0.0297)(0.0401)(0.0225)(0.0336)(0.0314)(0.0328)(0.0349)(0.0330)(0.0338)(0.0361) 附註:同表23附註。
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表26不同季資料預測模型對CPIG預測之樣本外預測(4季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE2.2767b1.91570.96121.06181.06720.97370.94190.98260.94670.9293a0.96740.96441.0359 RMSE2.7495b2.34301.22531.30481.33631.25381.17471.24281.22861.1725a1.24921.23941.3599 DM1-1.02522.95642.71183.02282.91902.74562.93832.93792.80042.91782.83132.0229 (P-Value)-(0.3159)(0.0071)(0.0124)(0.0061)(0.0077)(0.0115)(0.0074)(0.0074)(0.0102)(0.0077)(0.0095)(0.0601) DM2-0.93552.62552.49312.56792.59072.55922.62172.61242.58982.59762.58432.3524 (P-Value)-(0.3592)(0.0151)(0.0203)(0.0172)(0.0163)(0.0175)(0.0152)(0.0156)(0.0164)(0.0161)(0.0166)(0.0318) 附註:同表23附註。 表27不同季資料預測模型對CPIXG預測之樣本外預測(1季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE0.42501.4707b 0.34090.2996a 0.39200.37440.34910.34160.32260.34370.34800.33370.3478 RMSE0.59161.7968b 0.41240.3811a 0.52210.44130.48930.42140.40190.40930.42020.40980.4491 DM1-3.46571.05161.48460.42450.61341.68871.10951.29280.94620.97151.12250.5359 (P-Value)(0.0021)(0.3039)(0.1512)(0.6752)(0.5457)(0.1048)(0.2787)(0.2089)(0.3539)(0.3414)(0.2732)(0.5994) DM2-2.99261.57841.82080.82961.28241.50461.58311.65021.42181.53711.58451.2870 (P-Value)(0.0065)(0.1281)(0.0817)(0.4153)(0.2125)(0.1460)(0.1270)(0.1125)(0.1685)(0.1379)(0.1267)(0.2164) 附註:同表23附註。 表28不同季資料預測模型對CPIXG預測之樣本外預測(2季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE0.79511.0403b0.39030.3360a0.49210.43800.43660.40740.38390.44210.40880.39580.3823 RMSE1.08361.3133b0.49130.4600a0.63590.54320.59790.51390.48340.51820.50980.49630.4988 DM1-0.97122.53602.68762.08212.16962.80422.48922.50572.12952.41682.44151.9902 (P-Value)(0.3415)(0.0185)(0.0131)(0.0486)(0.0406)(0.0101)(0.0205)(0.0197)(0.0441)(0.0240)(0.0227)(0.0639) DM2-0.68951.97672.04591.86991.84021.95861.97691.98001.85861.95051.96031.7690 (P-Value)(0.4974)(0.0602)(0.0524)(0.0743)(0.0787)(0.0624)(0.0602)(0.0598)(0.0759)(0.0634)(0.0622)(0.0959) 附註:同表23附註。
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表29不同季資料預測模型對CPIXG預測之樣本外預測(3季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE1.04131.0684b 0.39310.3628a 0.50820.44310.45840.41520.38760.45400.41390.40120.3788 RMSE1.4738b1.41470.49240.4792a0.66200.54480.61480.52110.48500.53860.51300.49950.4925 DM1-0.08462.62162.69332.41432.44652.62552.58592.58912.41882.54752.56221.9728 (P-Value)(0.9333)(0.0153)(0.0130)(0.0241)(0.0225)(0.0151)(0.0165)(0.0164)(0.0239)(0.0180)(0.0174)(0.0660) DM20.14071.99942.02191.94551.94691.97391.99691.99561.96361.98481.98921.8886 (P-Value)(0.8893)(0.0575)(0.0550)(0.0640)(0.0639)(0.0605)(0.0578)(0.0580)(0.0618)(0.0592)(0.0587)(0.0772) 附註:同表23附註。 表30不同季資料預測模型對CPIXG預測之樣本外預測(4季前預測) 預測績效指標RWAOARARIMAVARMMMCPC1PC2PC3PC4PC5PC6 MAE1.2556b1.04560.39560.3576a0.45660.44390.45940.41950.38980.46700.41800.40510.4185 RMSE1.7582b1.65850.49520.4735a0.61490.54580.61180.52600.48900.55820.51790.50400.5325 DM10.54332.72192.83172.65742.62382.69222.69162.69382.65782.66342.67501.9512 (P-Value)(0.5922)(0.0122)(0.0095)(0.0141)(0.0152)(0.0130)(0.0130)(0.0130)(0.0141)(0.0139)(0.0135)(0.0688) DM20.17802.06262.08072.04622.03412.03612.05652.05762.05082.05072.05421.7016 (P-Value)(0.8603)(0.0506)(0.0500)(0.0523)(0.0536)(0.0534)(0.0513)(0.0511)(0.0518)(0.0519)(0.0515)(0.1082) 附註:同表23附註。
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表31不同季資料預測模型對CPIG預測之樣本外預測(1季前預測) 預測績效指標主計處中經院台經院RWAOARARIMAVAR MAE0.4505a0.87570.93440.98812.2230b0.93430.96220.8648 RMSE0.6299a1.12851.12731.27492.4219b1.22631.19441.1654 DM3--3.8543-3.6806-3.2478-5.4711-2.9727-3.1219-2.8546 (P-Value)-(0.0008)(0.0012)(0.0035)(0.0000)(0.0068)(0.0048)(0.0090) DM4--2.4004-3.2573-2.5050-4.8676-2.3474-2.2713-2.2223 (P-Value)-(0.0249)(0.0035)(0.0198)(0.0001)(0.0279)(0.0328)(0.0364) DM53.8543--0.5643-0.6347-4.1720-0.3132-0.46880.0631 (P-Value)(0.0008)-(0.5780)(0.5319)(0.0004)(0.7569)(0.6436)(0.9502) DM62.4004-0.0085-0.5534-3.5089-0.3522-0.2355-0.1521 (P-Value)(0.0249)-(0.9933)(0.5853)(0.0019)(0.7279)(0.8159)(0.8804) DM73.68060.5643--0.2822-4.66590.0005-0.13200.3636 (P-Value)(0.0012)(0.5780)-(0.7803)(0.0001)(0.9996)(0.8961)(0.7195) DM83.2573-0.0085--0.6655-4.3284-0.4196-0.2829-0.1870 (P-Value)(0.0035)(0.9933)-(0.5123)(0.0002)(0.6787)(0.7798)(0.8533) 預測績效指標MMMCPC1PC2PC3PC4PC5PC6 MAE0.97850.88850.94410.91360.88030.92260.90381.0350 RMSE1.25911.19061.23751.23041.15051.23321.21581.3943 DM3-3.3054-2.7971-3.0085-2.9111-3.1388-2.9260-2.9549-2.2417 (P-Value)(0.0031)(0.0102)(0.0063)(0.0079)(0.0046)(0.0076)(0.0071)(0.0395) DM4-2.4288-2.3955-2.3376-2.3741-2.2169-2.2687-2.2917-1.9541 (P-Value)(0.0234)(0.0251)(0.0285)(0.0263)(0.0368)(0.0330)(0.0314)(0.0684) DM5-0.5653-0.0712-0.3612-0.2051-0.0292-0.2505-0.1521-0.4377 (P-Value)(0.5773)(0.9439)(0.7213)(0.8393)(0.9769)(0.8044)(0.8804)(0.6674) DM6-0.4757-0.2281-0.3862-0.3705-0.0844-0.3716-0.3132-0.4882 (P-Value)(0.6388)(0.8216)(0.7029)(0.7144)(0.9335)(0.7136)(0.7570)(0.6320) DM7-0.21850.2274-0.04490.09820.30860.05660.1473-0.2219 (P-Value)(0.8290)(0.8221)(0.9646)(0.9226)(0.7604)(0.9553)(0.8842)(0.8272) DM8-0.5658-0.2847-0.4577-0.4374-0.1114-0.4413-0.3753-0.6547 (P-Value)(0.5770)(0.7785)(0.6515)(0.6659)(0.9123(0.6631)(0.7109)(0.5220) 附註:1.樣本外期間為2005Q1-2010Q4。 2.MAE與RMSE之數字右上角”a”表示為最小值,而”b”則表示為最大值。 3.DM3與DM4檢定之虛無假設為H0:主計處與比較的模型之預測表現相同,DM3為絕對值損失函數及DM4為二次方損失函數。 4.DM5與DM6檢定之虛無假設為H0:中經院與比較的模型之預測表現相同,DM5為絕對值損失函數及DM6為二次方損失函數。 5.DM7與DM8檢定之虛無假設為H0:台經院與比較的模型之預測表現相同,DM7為絕對值損失函數及DM8為二次方損失函數。
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表32月資料與季資料預測模型對CPIG與CPIXG之不同預測水平的預測表現能力比較 預測目標:CPIG預測目標:CPIXG預測目標:CPIG預測目標:CPIXG 預測指標預測時點表現最好表現最差表現最好表現最差預測時點表現最好表現最差表現最好表現最差 MAE1月前ARIMAAOARIMAAO1季前VARAOARIMAAO 2月前ARIMAAOARIMAAO2季前MCRWARIMAAO 3月前ARIMARWARIMAAO3季前MCRWARIMAAO 4月前PC2AOARIMAAO4季前PC3RWARIMARW RMSE1月前ARIMAAOARIMAAO1季前PC3AOARIMAAO 2月前ARIMAAOARIMAAO2季前ARIMARWARIMAAO 3月前ARIMARWARIMAAO3季前MCRWARIMARW 4月前ARIMAAOARIMAAO4季前PC3RWARIMARW DM11月前-AO-AO1季前-AO-AO 2月前-AO-AO2季前-AO,RW-AO,RW,PC6 3月前-AO,RW-AO,RW3季前-AO,RW-AO,RW,PC6 4月前-AO,RW-AO,RW4季前-AO,RW-AO,RW,PC6 DM21月前-AO-AO1季前-AO-AO 2月前-AO-AO2季前-AO,RW全部一樣好- 3月前-AO,RW-AO,RW3季前-AO,RW全部一樣好- 4月前-AO,RW-AO,RW4季前-AO,RW全部一樣好- 附註:表格內”-”表示無法比較出結果。 表33季資料預測模型與專業預測機構對CPIG之不同預測時點的預測表現能力比較(1季前) 預測指標表現最好表現最差比主計處預測表現好比中經院預測表現好比台經院預測表現好 MAE主計處AO無主計處,VAR主計處,中經院,AR,VAR,MC,PC2,PC3,PC4,PC5 RMSE主計處AO無主計處,台經院主計處 DM3主計處-無-- DM4主計處,PC6-無-- DM5主計處AO無主計處主計處 DM6主計處AO無主計處主計處 DM7主計處AO無主計處主計處 DM8主計處AO無主計處主計處 附註:同表32附註。
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3. 核心消費者物價指數
經濟學上定義通貨膨脹為物價的持續上漲,通常我們使用消費者物價總指數作為 通貨膨脹率的衡量指標, 但是消費者物價總指數組成內容中, 部分產品容易受短 期或是偶發事件(如颱風、 戰爭等) 等因素干擾, 而因為這些因素通常在短期內 會消失, 所以會導致物價在短期間波動很大。 若要觀察中長期物價變動趨勢, 就 要剔除這些干擾因素, 這就是核心消費者物價指數的概念。 我國核心消費者物價 指數為扣除新鮮蔬果、 水產品及能源(燃氣、 電費、 油料費)後之消費者物價總指 數。
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B 月 資 料 模 型 預 測 結 果
RW月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.335.333.111.612.692.572.271.981.62 2008M023.862.944.805.333.112.622.692.362.271.98 2008M033.943.863.334.805.333.062.622.572.362.27 2008M043.883.942.943.334.803.133.062.692.572.36 2008M053.713.883.862.943.333.233.132.622.692.57 2008M064.973.713.943.862.943.703.233.062.622.69 2008M075.814.973.883.943.864.063.703.133.062.62 2008M084.685.813.713.883.943.734.063.233.133.06 2008M093.104.684.973.713.883.263.733.703.233.13 2008M102.393.105.814.973.712.893.264.063.703.23 2008M111.942.394.685.814.972.452.893.734.063.70 2008M121.271.943.104.685.812.132.453.263.734.06 2009M011.481.272.393.104.682.482.132.893.263.73 2009M02-1.331.481.942.393.100.412.482.452.893.26 2009M03-0.15-1.331.271.942.390.810.412.132.452.89 2009M04-0.46-0.151.481.271.940.390.812.482.132.45 2009M05-0.09-0.46-1.331.481.270.110.390.412.482.13 2009M06-1.98-0.09-0.15-1.331.48-0.610.110.810.412.48 2009M07-2.33-1.98-0.46-0.15-1.33-0.93-0.610.390.810.41 2009M08-0.82-2.33-0.09-0.46-0.15-0.80-0.930.110.390.81 2009M09-0.88-0.82-1.98-0.09-0.46-0.97-0.80-0.610.110.39 2009M10-1.89-0.88-2.33-1.98-0.09-0.90-0.97-0.93-0.610.11 2009M11-1.62-1.89-0.82-2.33-1.98-0.86-0.90-0.80-0.93-0.61 2009M12-0.25-1.62-0.88-0.82-2.33-0.74-0.86-0.97-0.80-0.93 2010M010.26-0.25-1.89-0.88-0.82-1.12-0.74-0.90-0.97-0.80 2010M022.350.26-1.62-1.89-0.881.00-1.12-0.86-0.90-0.97 2010M031.272.35-0.25-1.62-1.890.101.00-0.74-0.86-0.90 2010M041.341.270.26-0.25-1.620.250.10-1.12-0.74-0.86 2010M050.741.342.350.26-0.250.220.251.00-1.12-0.74 2010M061.180.741.272.350.260.640.220.101.00-1.12 2010M071.311.181.341.272.350.720.640.250.101.00 2010M08-0.461.310.741.341.270.380.720.220.250.10 2010M090.29-0.461.180.741.340.710.380.640.220.25 2010M100.560.291.311.180.740.560.710.720.640.22 2010M111.530.56-0.461.311.180.910.560.380.720.64 2010M121.251.530.29-0.461.310.940.910.710.380.72‧ 國
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AO月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.941.800.612.301.622.691.360.520.660.71 2008M023.861.800.612.301.622.621.360.520.660.71 2008M033.941.800.612.301.623.061.360.520.660.71 2008M043.881.800.612.301.623.131.360.520.660.71 2008M053.711.800.612.301.623.231.360.520.660.71 2008M064.971.800.612.301.623.701.360.520.660.71 2008M075.811.800.612.301.624.061.360.520.660.71 2008M084.681.800.612.301.623.731.360.520.660.71 2008M093.101.800.612.301.623.261.360.520.660.71 2008M102.391.800.612.301.622.891.360.520.660.71 2008M111.941.800.612.301.622.451.360.520.660.71 2008M121.271.800.612.301.622.131.360.520.660.71 2009M011.483.541.800.612.302.483.081.360.520.66 2009M02-1.333.541.800.612.300.413.081.360.520.66 2009M03-0.153.541.800.612.300.813.081.360.520.66 2009M04-0.463.541.800.612.300.393.081.360.520.66 2009M05-0.093.541.800.612.300.113.081.360.520.66 2009M06-1.983.541.800.612.30-0.613.081.360.520.66 2009M07-2.333.541.800.612.30-0.933.081.360.520.66 2009M08-0.823.541.800.612.30-0.803.081.360.520.66 2009M09-0.883.541.800.612.30-0.973.081.360.520.66 2009M10-1.893.541.800.612.30-0.903.081.360.520.66 2009M11-1.623.541.800.612.30-0.863.081.360.520.66 2009M12-0.253.541.800.612.30-0.743.081.360.520.66 2010M010.26-0.863.541.800.61-1.12-0.133.081.360.52 2010M022.35-0.863.541.800.611.00-0.133.081.360.52 2010M031.27-0.863.541.800.610.10-0.133.081.360.52 2010M041.34-0.863.541.800.610.25-0.133.081.360.52 2010M050.74-0.863.541.800.610.22-0.133.081.360.52 2010M061.18-0.863.541.800.610.64-0.133.081.360.52 2010M071.31-0.863.541.800.610.72-0.133.081.360.52 2010M08-0.46-0.863.541.800.610.38-0.133.081.360.52 2010M090.29-0.863.541.800.610.71-0.133.081.360.52 2010M100.56-0.863.541.800.610.56-0.133.081.360.52 2010M111.53-0.863.541.800.610.91-0.133.081.360.52 2010M121.25-0.863.541.800.610.94-0.133.081.360.52
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AR月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.143.073.333.652.692.993.012.982.96 2008M023.862.412.392.272.442.621.761.661.651.64 2008M033.944.034.204.164.083.063.263.543.573.57 2008M043.883.983.974.264.243.132.912.852.762.77 2008M053.713.983.973.964.163.233.103.173.193.15 2008M064.973.653.613.593.583.703.073.113.093.10 2008M075.815.465.625.565.554.063.513.703.693.68 2008M084.684.924.965.245.203.733.733.903.833.83 2008M093.103.973.944.014.183.263.723.723.663.62 2008M102.392.212.092.042.092.893.363.223.223.18 2008M111.942.832.862.652.622.453.002.862.912.91 2008M121.273.203.083.123.012.132.392.222.272.30 2009M011.482.081.841.631.662.482.051.982.032.06 2009M02-1.331.381.310.890.770.412.282.402.432.46 2009M03-0.15-0.81-1.10-1.23-1.460.810.680.120.070.09 2009M04-0.460.520.590.06-0.010.390.580.610.830.80 2009M05-0.090.170.060.18-0.110.110.310.250.240.35 2009M06-1.98-0.74-0.77-0.94-0.87-0.61-0.30-0.36-0.34-0.35 2009M07-2.33-2.03-2.17-2.21-2.31-0.93-0.65-0.74-0.71-0.70 2009M08-0.82-2.22-2.25-2.45-2.47-0.80-0.80-0.89-0.84-0.83 2009M09-0.880.490.640.600.47-0.97-0.69-0.69-0.66-0.63 2009M10-1.89-1.21-1.38-1.15-1.18-0.90-0.90-0.98-0.98-0.96 2009M11-1.62-1.55-1.64-1.88-1.74-0.86-0.70-0.70-0.66-0.66 2009M12-0.25-1.41-1.42-1.54-1.67-0.74-0.80-0.85-0.85-0.83 2010M010.26-0.88-0.71-0.72-0.78-1.12-0.92-0.90-0.88-0.88 2010M022.351.501.661.881.871.000.110.050.040.06 2010M031.271.031.141.351.460.100.150.430.460.46 2010M041.340.991.021.181.290.250.650.630.510.53 2010M050.740.740.780.830.910.220.530.400.410.34 2010M061.181.831.831.891.920.640.860.760.810.82 2010M071.311.311.241.241.270.720.670.600.630.66 2010M08-0.460.830.820.700.700.380.680.700.720.74 2010M090.29-0.78-0.93-0.93-1.000.710.570.470.460.48 2010M100.561.421.551.321.320.560.710.680.710.71 2010M111.530.600.490.690.560.910.520.460.480.50 2010M121.250.830.950.800.900.940.810.941.010.94
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ARIMA月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.942.982.923.263.512.693.203.281.353.22 2008M023.862.362.362.262.412.621.671.531.493.46 2008M033.943.894.124.114.063.063.073.343.433.42 2008M043.883.813.824.194.193.133.183.163.043.10 2008M053.714.014.024.034.203.233.173.133.153.04 2008M064.973.643.603.623.623.703.213.133.173.15 2008M075.815.385.585.505.514.063.343.493.533.50 2008M084.684.684.755.085.043.733.703.873.833.73 2008M093.103.723.723.833.973.263.883.853.803.69 2008M102.391.871.781.781.822.893.343.063.143.08 2008M111.942.522.592.442.442.452.862.712.882.78 2008M121.272.932.842.982.912.132.202.092.132.16 2009M011.482.101.841.701.752.482.522.482.602.59 2009M02-1.331.491.390.960.900.411.741.731.771.75 2009M03-0.15-0.72-1.15-1.31-1.460.810.800.450.460.44 2009M04-0.460.540.62-0.06-0.120.390.600.600.820.82 2009M05-0.090.08-0.090.05-0.170.110.290.220.230.35 2009M06-1.98-0.73-0.75-0.97-0.93-0.61-0.29-0.35-0.30-0.31 2009M07-2.33-2.02-2.22-2.25-2.32-0.93-0.96-1.04-1.01-1.00 2009M08-0.82-2.17-2.22-2.48-2.49-0.80-0.90-0.88-0.84-0.82 2009M09-0.880.540.750.690.60-0.97-0.64-0.64-0.61-0.62 2009M10-1.89-0.95-1.18-0.90-0.92-0.90-0.80-0.87-0.89-0.89 2009M11-1.62-1.08-1.24-1.54-1.45-0.86-0.74-0.78-0.73-0.75 2009M12-0.25-1.05-1.14-1.34-1.42-0.74-0.90-0.89-0.86-0.83 2010M010.26-0.55-0.42-0.54-0.59-1.12-0.99-0.91-0.94-0.95 2010M022.351.711.852.022.001.000.430.390.320.39 2010M031.271.281.381.561.600.100.170.300.340.38 2010M041.341.341.341.481.520.250.600.570.510.50 2010M050.740.910.910.910.950.220.610.500.530.45 2010M061.182.032.002.002.000.640.810.700.760.75 2010M071.311.521.381.341.340.720.660.610.670.69 2010M08-0.461.091.060.870.850.380.480.510.540.56 2010M090.29-0.68-0.93-0.98-1.030.710.810.780.760.77 2010M100.561.391.561.201.190.560.570.540.540.54 2010M111.530.550.400.620.510.910.650.640.650.68 2010M121.250.780.960.780.840.940.640.710.730.74
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VAR月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.573.343.343.352.692.492.592.562.59 2008M023.862.782.912.972.982.622.532.742.702.70 2008M033.943.733.933.903.893.062.632.692.622.63 2008M043.884.224.013.953.963.133.093.073.053.08 2008M053.713.903.833.893.903.233.143.163.143.15 2008M064.973.683.733.753.743.703.243.253.233.24 2008M075.814.754.985.005.004.063.543.733.713.72 2008M084.685.675.915.835.833.733.954.174.074.08 2008M093.104.934.764.694.703.263.843.823.713.75 2008M102.393.373.093.123.132.893.393.233.263.29 2008M111.942.532.362.442.432.452.922.842.932.92 2008M121.271.871.931.981.972.132.372.412.492.46 2009M011.481.161.291.291.292.481.972.112.152.13 2009M02-1.330.981.501.481.490.411.992.492.482.48 2009M03-0.15-0.88-1.18-1.34-1.320.811.070.610.400.41 2009M04-0.46-0.24-0.27-0.17-0.150.390.720.530.750.82 2009M05-0.09-0.49-0.45-0.44-0.450.110.440.430.510.43 2009M06-1.98-0.22-0.11-0.11-0.11-0.610.130.050.080.06 2009M07-2.33-1.94-1.95-1.99-1.98-0.93-0.61-0.64-0.60-0.61 2009M08-0.82-2.18-2.33-2.34-2.34-0.80-0.71-0.93-0.93-0.94 2009M09-0.88-0.78-0.87-0.83-0.82-0.97-0.55-0.90-0.79-0.81 2009M10-1.89-1.25-0.86-0.89-0.90-0.90-1.27-1.03-0.95-0.98 2009M11-1.62-1.79-1.83-1.90-1.91-0.86-0.99-0.83-0.88-0.93 2009M12-0.25-1.36-1.68-1.65-1.63-0.74-0.61-0.85-0.91-0.88 2010M010.26-0.54-0.31-0.26-0.26-1.12-0.82-0.83-0.77-0.74 2010M022.35-0.030.310.260.241.00-1.14-1.12-1.10-1.13 2010M031.271.972.402.332.330.100.190.960.980.97 2010M041.341.761.381.251.270.250.590.440.090.09 2010M050.741.551.241.331.340.220.380.070.110.23 2010M061.180.750.720.770.760.640.170.180.280.27 2010M071.311.371.161.201.180.720.660.640.650.61 2010M08-0.461.021.271.311.320.380.480.710.700.71 2010M090.29-0.08-0.38-0.45-0.460.710.560.480.370.38 2010M100.560.290.200.280.290.560.680.630.670.71 2010M111.530.460.560.570.570.910.580.570.590.57 2010M121.251.591.551.531.520.940.920.890.900.89
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MM月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.193.143.333.632.692.922.972.912.87 2008M023.862.422.402.262.432.621.731.661.641.61 2008M033.944.044.214.164.063.063.253.533.563.54 2008M043.883.983.974.264.233.132.922.862.762.77 2008M053.714.003.993.974.163.233.093.163.183.13 2008M064.973.663.633.613.603.703.063.103.083.09 2008M075.815.525.665.605.594.063.473.663.653.63 2008M084.684.995.025.285.243.733.703.873.793.78 2008M093.104.023.994.054.213.263.693.703.633.58 2008M102.392.242.142.072.112.893.323.203.193.15 2008M111.942.862.882.672.632.452.972.852.902.89 2008M121.273.213.093.133.002.132.372.222.272.30 2009M011.482.081.841.621.642.482.061.992.042.07 2009M02-1.331.381.310.880.760.412.292.412.442.47 2009M03-0.15-0.83-1.11-1.24-1.480.810.700.150.100.12 2009M04-0.460.500.560.05-0.020.390.600.630.860.83 2009M05-0.090.150.040.16-0.120.110.320.260.250.38 2009M06-1.98-0.77-0.80-0.95-0.89-0.61-0.28-0.34-0.32-0.33 2009M07-2.33-2.06-2.19-2.23-2.32-0.93-0.64-0.74-0.71-0.70 2009M08-0.82-2.24-2.27-2.46-2.48-0.80-0.80-0.88-0.84-0.82 2009M09-0.880.470.620.580.46-0.97-0.69-0.69-0.65-0.63 2009M10-1.89-1.24-1.41-1.17-1.20-0.90-0.89-0.97-0.97-0.95 2009M11-1.62-1.57-1.66-1.89-1.75-0.86-0.70-0.70-0.67-0.67 2009M12-0.25-1.43-1.44-1.56-1.68-0.74-0.80-0.85-0.85-0.83 2010M010.26-0.90-0.73-0.74-0.80-1.12-0.92-0.90-0.88-0.87 2010M022.351.471.631.851.851.000.120.060.050.06 2010M031.271.011.121.341.450.100.160.430.460.45 2010M041.340.961.001.161.270.250.660.640.520.53 2010M050.740.720.770.820.900.220.530.400.410.34 2010M061.181.811.821.891.910.640.850.760.810.82 2010M071.311.301.231.231.270.720.650.580.620.65 2010M08-0.460.820.820.700.700.380.660.680.710.73 2010M090.29-0.79-0.94-0.94-1.000.710.550.460.460.47 2010M100.561.411.541.311.310.560.620.670.700.70 2010M111.530.590.480.680.560.910.510.490.470.49 2010M121.250.820.940.790.890.940.800.930.930.92
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MC月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.942.982.873.013.282.692.913.012.972.94 2008M023.862.072.071.992.122.621.761.651.631.60 2008M033.943.854.144.144.063.063.213.643.663.65 2008M043.884.114.124.334.333.132.862.792.712.72 2008M053.714.214.184.194.383.233.053.183.203.14 2008M064.973.843.763.733.743.703.053.143.113.12 2008M075.815.595.785.725.694.063.453.763.743.72 2008M084.684.934.975.115.063.733.653.953.883.87 2008M093.103.863.823.853.963.263.753.793.733.69 2008M102.392.081.931.891.922.893.533.293.283.24 2008M111.942.822.892.762.732.453.222.922.962.96 2008M121.273.303.133.183.102.132.612.262.312.34 2009M011.482.151.761.631.662.482.232.022.082.11 2009M02-1.331.301.180.890.810.412.322.432.472.51 2009M03-0.15-0.58-0.98-1.06-1.240.810.960.120.100.12 2009M04-0.460.420.480.220.170.390.730.670.860.85 2009M05-0.090.02-0.11-0.08-0.240.110.370.220.240.37 2009M06-1.98-1.00-1.02-1.08-1.05-0.61-0.28-0.39-0.35-0.34 2009M07-2.33-2.04-2.19-2.19-2.24-0.93-0.58-0.72-0.69-0.66 2009M08-0.82-2.45-2.49-2.54-2.55-0.80-0.78-0.92-0.88-0.86 2009M09-0.880.340.580.570.52-0.97-0.77-0.78-0.73-0.70 2009M10-1.89-1.13-1.33-1.23-1.24-0.90-1.01-1.09-1.09-1.05 2009M11-1.62-1.60-1.75-1.84-1.76-0.86-0.82-0.77-0.75-0.74 2009M12-0.25-1.63-1.64-1.70-1.76-0.74-0.90-0.92-0.93-0.91 2010M010.26-0.94-0.65-0.66-0.68-1.12-1.03-0.96-0.95-0.96 2010M022.351.681.912.052.051.000.050.01-0.01-0.01 2010M031.270.790.911.031.100.10-0.120.300.310.30 2010M041.341.031.111.181.240.250.520.620.490.50 2010M050.740.900.951.001.040.220.520.400.370.29 2010M061.181.931.901.931.960.640.890.760.790.77 2010M071.311.060.940.920.940.720.640.520.560.58 2010M08-0.460.780.820.750.740.380.640.680.710.73 2010M090.29-0.56-0.77-0.75-0.790.710.580.460.450.47 2010M100.561.391.541.421.430.560.610.670.700.69 2010M111.530.630.480.560.500.910.500.480.460.48 2010M121.250.780.940.870.910.940.740.930.930.92
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PC1月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.143.083.333.642.692.983.012.972.96 2008M023.862.412.392.272.442.621.751.651.651.63 2008M033.944.024.194.154.073.063.233.523.553.55 2008M043.883.993.984.274.243.132.932.872.772.79 2008M053.713.993.983.964.163.233.123.183.203.15 2008M064.973.653.623.593.583.703.073.113.083.09 2008M075.815.475.625.565.544.063.493.693.683.66 2008M084.684.924.965.245.203.733.723.893.823.81 2008M093.103.973.944.014.183.263.713.723.653.61 2008M102.392.212.092.042.092.893.343.203.203.16 2008M111.942.832.862.662.622.452.992.852.902.90 2008M121.273.183.073.112.992.132.342.182.232.26 2009M011.482.041.811.611.642.481.981.921.982.01 2009M02-1.331.351.290.880.760.412.232.382.402.43 2009M03-0.15-0.88-1.15-1.26-1.480.810.610.060.000.02 2009M04-0.460.500.580.070.000.390.570.630.840.82 2009M05-0.090.180.070.20-0.090.110.330.270.240.36 2009M06-1.98-0.76-0.79-0.95-0.88-0.61-0.32-0.38-0.36-0.37 2009M07-2.33-2.06-2.20-2.24-2.34-0.93-0.67-0.76-0.73-0.72 2009M08-0.82-2.25-2.28-2.48-2.50-0.80-0.83-0.91-0.87-0.85 2009M09-0.880.470.620.580.46-0.97-0.71-0.71-0.67-0.65 2009M10-1.89-1.21-1.38-1.14-1.17-0.90-0.88-0.96-0.96-0.94 2009M11-1.62-1.56-1.65-1.88-1.74-0.86-0.69-0.70-0.67-0.67 2009M12-0.25-1.41-1.42-1.54-1.66-0.74-0.79-0.84-0.84-0.82 2010M010.26-0.88-0.71-0.72-0.78-1.12-0.90-0.89-0.87-0.86 2010M022.351.491.651.871.861.000.120.050.050.06 2010M031.270.991.101.321.430.100.110.390.420.42 2010M041.340.991.031.191.300.250.660.660.530.55 2010M050.740.770.810.860.950.220.570.440.440.38 2010M061.181.851.851.911.940.640.900.790.840.84 2010M071.311.301.211.211.240.720.640.560.600.63 2010M08-0.460.810.810.690.680.380.660.680.710.74 2010M090.29-0.78-0.94-0.94-1.000.710.570.480.470.49 2010M100.561.421.561.331.330.560.640.690.720.72 2010M111.530.620.500.700.580.910.550.520.510.52 2010M121.250.850.970.810.910.940.840.960.970.96
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PC2月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.153.083.333.642.692.993.012.982.96 2008M023.862.422.392.282.442.621.761.671.661.64 2008M033.943.914.204.164.083.063.273.543.583.57 2008M043.883.994.024.274.243.132.932.862.762.78 2008M053.714.003.993.744.163.233.123.183.213.15 2008M064.973.663.633.613.633.703.093.133.103.12 2008M075.815.495.635.575.564.063.533.723.703.69 2008M084.684.954.985.255.213.733.763.923.853.84 2008M093.103.993.964.034.193.263.743.743.683.63 2008M102.392.222.112.052.102.893.383.233.233.20 2008M111.942.852.872.672.632.453.022.872.922.92 2008M121.273.213.093.133.012.132.392.222.272.30 2009M011.482.081.841.631.652.482.041.972.022.05 2009M02-1.331.371.310.880.760.412.262.392.422.45 2009M03-0.15-0.85-1.12-1.24-1.480.810.630.100.040.06 2009M04-0.460.480.550.05-0.010.390.530.580.810.78 2009M05-0.090.130.030.15-0.120.110.270.230.200.34 2009M06-1.98-0.78-0.80-0.96-0.89-0.61-0.34-0.39-0.37-0.38 2009M07-2.33-2.09-2.21-2.24-2.33-0.93-0.69-0.77-0.75-0.74 2009M08-0.82-2.28-2.30-2.48-2.50-0.80-0.85-0.92-0.88-0.87 2009M09-0.880.440.590.550.44-0.97-0.75-0.73-0.70-0.68 2009M10-1.89-1.27-1.42-1.19-1.21-0.90-0.94-1.01-1.02-0.99 2009M11-1.62-1.61-1.69-1.91-1.77-0.86-0.74-0.73-0.70-0.70 2009M12-0.25-1.46-1.46-1.57-1.69-0.74-0.83-0.87-0.88-0.86 2010M010.26-0.91-0.74-0.75-0.80-1.12-0.94-0.91-0.90-0.90 2010M022.351.471.631.861.861.000.090.040.030.04 2010M031.270.991.101.321.430.100.120.400.430.42 2010M041.340.960.991.151.270.250.620.610.490.50 2010M050.740.720.770.820.910.220.520.400.400.34 2010M061.181.821.821.891.920.640.870.770.820.82 2010M071.311.301.231.231.270.720.670.590.630.66 2010M08-0.460.810.810.700.700.380.670.690.720.74 2010M090.29-0.79-0.94-0.94-1.000.710.570.470.470.48 2010M100.561.421.551.321.320.560.640.690.720.72 2010M111.530.610.500.690.570.910.550.520.510.52 2010M121.250.860.970.820.920.940.860.970.980.97
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TS1月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.313.393.393.322.692.392.582.532.55 2008M023.862.952.983.003.012.622.592.782.732.75 2008M033.944.013.953.963.973.062.582.602.542.56 2008M043.883.843.863.773.823.132.442.662.662.64 2008M053.714.024.024.024.043.233.193.843.893.90 2008M064.973.823.863.863.863.703.283.303.163.14 2008M075.815.255.135.175.174.063.623.863.853.97 2008M084.685.995.965.945.943.733.834.104.064.06 2008M093.104.804.874.854.813.263.993.933.853.84 2008M102.393.023.163.243.232.893.723.273.283.30 2008M111.942.362.441.942.552.453.392.913.013.01 2008M121.271.771.841.911.982.132.722.252.392.39 2009M011.481.081.221.261.342.482.252.052.202.21 2009M02-1.331.311.221.321.360.412.142.232.372.35 2009M03-0.15-1.88-1.36-1.44-1.340.811.290.460.410.44 2009M04-0.46-0.30-0.40-0.22-0.240.390.770.490.780.79 2009M05-0.09-0.48-0.47-0.49-0.460.110.660.460.550.51 2009M06-1.98-0.14-0.14-0.14-0.19-0.610.05-0.24-0.17-0.15 2009M07-2.33-2.08-2.06-2.06-2.06-0.93-0.26-0.63-0.52-0.53 2009M08-0.82-2.31-2.30-2.27-2.28-0.80-0.78-1.13-0.97-0.97 2009M09-0.88-0.87-0.89-0.88-0.86-0.97-1.00-1.00-0.87-0.86 2009M10-1.89-0.92-0.92-0.92-0.92-0.90-0.99-0.98-0.98-0.96 2009M11-1.62-1.80-1.78-1.78-1.80-0.86-0.81-0.76-0.77-0.77 2009M12-0.25-1.53-1.53-1.51-1.51-0.74-0.72-0.75-0.76-0.76 2010M010.26-0.45-0.46-0.47-0.44-1.12-0.91-0.92-0.91-0.91 2010M022.350.340.330.300.301.00-0.83-0.94-0.93-0.93 2010M031.272.602.542.552.530.10-0.021.011.051.05 2010M041.341.351.331.301.280.250.470.540.120.13 2010M050.741.611.611.601.550.220.730.610.580.52 2010M061.180.750.780.780.760.640.620.340.400.39 2010M071.311.171.181.181.180.720.280.290.380.39 2010M08-0.461.251.251.251.250.380.590.830.820.84 2010M090.29-0.39-0.41-0.42-0.420.710.630.520.430.43 2010M100.560.260.250.260.260.560.650.700.740.74 2010M111.530.500.510.500.510.910.610.560.540.54 2010M121.251.701.721.711.700.940.951.111.131.13
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TS2月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.193.283.283.252.692.402.622.602.62 2008M023.862.922.942.972.982.622.622.812.762.76 2008M033.943.783.733.733.763.062.602.592.552.56 2008M043.884.144.134.124.123.132.953.273.273.28 2008M053.714.004.024.024.003.233.113.223.153.15 2008M064.973.883.903.903.903.703.263.343.703.31 2008M075.815.405.325.335.334.063.653.923.903.91 2008M084.685.745.715.685.693.733.703.963.893.90 2008M093.104.664.734.724.703.263.913.933.863.86 2008M102.392.512.692.762.762.893.523.123.123.12 2008M111.942.092.112.192.252.453.262.902.992.99 2008M121.271.341.371.381.502.132.532.132.252.27 2009M011.480.680.700.720.742.482.041.902.052.09 2009M02-1.331.641.501.511.520.412.442.642.692.68 2009M03-0.15-1.79-1.27-1.42-1.410.811.330.340.230.27 2009M04-0.46-0.01-0.080.040.010.390.990.690.971.01 2009M05-0.09-0.38-0.38-0.37-0.360.110.690.360.460.45 2009M06-1.980.050.050.060.01-0.610.10-0.22-0.09-0.07 2009M07-2.33-1.95-1.97-1.97-1.96-0.93-0.19-0.58-0.46-0.47 2009M08-0.82-2.45-2.45-2.42-2.42-0.80-0.94-1.32-1.14-1.14 2009M09-0.88-0.96-0.96-0.95-0.93-0.97-1.06-0.99-0.83-0.81 2009M10-1.89-0.88-0.88-0.89-0.88-0.90-1.00-0.95-0.98-0.96 2009M11-1.62-1.96-1.95-1.95-1.96-0.86-0.95-0.91-0.92-0.93 2009M12-0.25-1.51-1.51-1.49-1.49-0.74-0.74-0.69-0.71-0.71 2010M010.26-0.14-0.15-0.15-0.13-1.12-0.68-0.68-0.70-0.71 2010M022.350.360.360.33-2.551.00-0.82-1.05-1.05-1.05 2010M031.272.272.262.252.250.10-0.240.790.880.88 2010M041.341.381.351.321.310.250.500.700.250.27 2010M050.741.551.551.541.490.220.650.520.440.38 2010M061.180.830.860.860.850.640.750.520.580.57 2010M071.311.251.261.271.270.720.310.250.320.34 2010M08-0.461.291.291.291.290.380.640.860.880.91 2010M090.29-0.57-0.61-0.61-0.610.710.510.380.300.30 2010M100.560.250.270.290.290.560.710.810.860.86 2010M111.530.650.660.650.660.910.730.650.610.62 2010M121.251.821.841.831.820.940.981.071.101.10
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TS3月資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1月前2月前3月前4月前實際值1月前2月前3月前4月前 2008M012.943.373.433.453.422.692.482.712.672.69 2008M023.863.083.103.133.152.622.682.822.772.78 2008M033.944.164.124.124.143.062.772.732.702.72 2008M043.885.595.615.585.593.133.413.583.593.59 2008M053.713.313.093.093.103.232.832.602.582.58 2008M064.973.523.493.383.383.703.113.353.403.40 2008M075.814.934.864.844.784.063.453.813.763.75 2008M084.685.895.845.815.803.733.824.194.114.12 2008M093.104.614.654.644.603.263.893.843.743.76 2008M102.392.943.063.083.072.893.713.333.343.35 2008M111.942.272.322.362.382.453.372.892.962.96 2008M121.272.082.102.122.142.132.982.472.542.52 2009M011.481.221.301.301.312.482.462.042.142.11 2009M02-1.332.152.132.162.160.412.652.662.792.72 2009M03-0.15-1.47-1.05-1.05-1.040.811.510.400.400.35 2009M04-0.460.04-0.030.230.220.390.810.460.930.94 2009M05-0.09-0.43-0.42-0.43-0.330.110.550.360.500.43 2009M06-1.980.010.000.01-0.02-0.610.03-0.16-0.08-0.06 2009M07-2.33-1.95-1.91-1.91-1.90-0.93-0.21-0.52-0.43-0.43 2009M08-0.82-2.40-2.39-2.37-2.38-0.80-0.85-1.17-1.02-1.01 2009M09-0.88-0.83-0.85-0.85-0.82-0.97-0.97-0.94-0.80-0.78 2009M10-1.89-0.88-0.88-0.90-0.89-0.90-1.05-1.05-1.06-1.03 2009M11-1.62-1.97-1.96-1.96-1.99-0.86-0.94-0.87-0.87-0.87 2009M12-0.25-1.65-1.65-1.64-1.64-0.74-0.86-0.82-0.85-0.85 2010M010.26-0.16-0.18-0.18-0.16-1.12-0.84-0.78-0.80-0.80 2010M022.350.270.260.240.241.00-0.92-1.05-1.07-1.08 2010M031.272.352.272.282.260.100.070.981.031.03 2010M041.341.291.301.271.270.250.490.510.100.11 2010M050.741.291.291.311.290.220.430.310.300.24 2010M061.180.770.770.770.780.640.530.430.480.48 2010M071.311.231.231.231.230.720.310.370.410.42 2010M08-0.461.361.361.351.360.380.710.900.880.89 2010M090.29-0.50-0.50-0.51-0.510.710.620.470.390.39 2010M100.56-0.720.300.320.320.560.670.710.780.77 2010M111.530.610.620.610.630.910.610.560.540.55 2010M121.251.531.541.541.530.940.750.890.920.91
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C 季 資 料 模 型 預 測 結 果
RW季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.852.891.200.520.880.901.110.700.11 2005Q22.111.581.852.891.200.570.880.901.110.70 2005Q33.042.111.581.852.890.640.570.880.901.11 2005Q42.483.042.111.581.850.560.640.570.880.90 2006Q11.352.483.042.111.580.570.560.640.570.88 2006Q21.521.352.483.042.110.570.570.560.640.57 2006Q3-0.331.521.352.483.040.420.570.570.560.64 2006Q4-0.09-0.331.521.352.480.530.420.570.570.56 2007Q10.98-0.09-0.331.521.350.700.530.420.570.57 2007Q20.260.98-0.09-0.331.520.750.700.530.420.57 2007Q31.460.260.98-0.09-0.331.580.750.700.530.42 2007Q44.491.460.260.98-0.092.401.580.750.700.53 2008Q13.584.491.460.260.982.792.401.580.750.70 2008Q24.193.584.491.460.263.352.792.401.580.75 2008Q34.534.193.584.491.463.683.352.792.401.58 2008Q41.874.534.193.584.492.493.683.352.792.40 2009Q10.001.874.534.193.581.232.493.683.352.79 2009Q2-0.840.001.874.534.19-0.041.232.493.683.35 2009Q3-1.34-0.840.001.874.53-0.90-0.041.232.493.68 2009Q4-1.25-1.34-0.840.001.87-0.83-0.90-0.041.232.49 2010Q11.29-1.25-1.34-0.840.00-0.01-0.83-0.90-0.041.23 2010Q21.091.29-1.25-1.34-0.840.37-0.01-0.83-0.90-0.04 2010Q30.381.091.29-1.25-1.340.600.37-0.01-0.83-0.90 2010Q41.110.381.091.29-1.250.800.600.37-0.01-0.83‧ 國
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AO季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.58-0.27-0.200.001.250.88-0.600.690.090.63 2005Q22.11-0.27-0.200.001.250.57-0.600.690.090.63 2005Q33.04-0.27-0.200.001.250.64-0.600.690.090.63 2005Q42.48-0.27-0.200.001.250.56-0.600.690.090.63 2006Q11.351.62-0.27-0.200.000.570.71-0.600.690.09 2006Q21.521.62-0.27-0.200.000.570.71-0.600.690.09 2006Q3-0.331.62-0.27-0.200.000.420.71-0.600.690.09 2006Q4-0.091.62-0.27-0.200.000.530.71-0.600.690.09 2007Q10.982.301.62-0.27-0.200.700.660.71-0.600.69 2007Q20.262.301.62-0.27-0.200.750.660.71-0.600.69 2007Q31.462.301.62-0.27-0.201.580.660.71-0.600.69 2007Q44.492.301.62-0.27-0.202.400.660.71-0.600.69 2008Q13.580.612.301.62-0.272.790.520.660.71-0.60 2008Q24.190.612.301.62-0.273.350.520.660.71-0.60 2008Q34.530.612.301.62-0.273.680.520.660.71-0.60 2008Q41.870.612.301.62-0.272.490.520.660.71-0.60 2009Q10.001.800.612.301.621.231.360.520.660.71 2009Q2-0.841.800.612.301.62-0.041.360.520.660.71 2009Q3-1.341.800.612.301.62-0.901.360.520.660.71 2009Q4-1.251.800.612.301.62-0.831.360.520.660.71 2010Q11.293.541.800.612.30-0.013.081.360.520.66 2010Q21.093.541.800.612.300.373.081.360.520.66 2010Q30.383.541.800.612.300.603.081.360.520.66 2010Q41.113.541.800.612.300.803.081.360.520.66
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AR季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.591.501.551.550.880.460.580.580.56 2005Q22.111.341.341.331.330.570.900.470.470.47 2005Q33.041.241.381.381.380.640.230.260.260.26 2005Q42.483.293.663.693.690.560.820.660.660.65 2006Q11.352.622.472.552.540.570.500.600.600.60 2006Q21.521.371.131.091.050.570.750.720.720.70 2006Q3-0.331.211.231.151.150.420.530.590.590.60 2006Q4-0.090.26-0.03-0.02-0.010.530.410.450.450.44 2007Q10.980.490.430.360.360.700.590.540.540.55 2007Q20.260.710.800.790.800.750.730.690.690.69 2007Q31.461.121.041.061.071.580.830.820.820.82 2007Q44.491.191.261.231.232.401.851.561.561.55 2008Q13.583.423.963.983.992.792.532.302.302.30 2008Q24.193.813.834.024.013.352.882.772.762.74 2008Q34.533.773.813.833.613.683.203.002.992.97 2008Q41.873.103.193.223.212.493.383.173.153.14 2009Q10.002.682.472.522.501.231.812.192.172.14 2009Q2-0.840.13-0.15-0.22-0.28-0.040.640.890.910.88 2009Q3-1.34-0.99-1.01-1.22-1.09-0.90-0.70-0.38-0.38-0.32 2009Q4-1.25-0.19-0.19-0.26-0.01-0.83-0.62-0.52-0.48-0.45 2010Q11.29-0.52-0.52-0.53-0.50-0.01-0.17-0.06-0.04-0.01 2010Q21.091.481.561.531.550.370.930.850.870.88 2010Q30.381.211.191.261.340.600.861.131.111.13 2010Q41.110.580.530.500.380.800.710.820.870.86
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ARIMA季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.701.661.991.530.880.550.610.640.62 2005Q22.111.761.721.411.060.570.760.610.640.63 2005Q33.041.541.491.481.550.640.450.550.480.49 2005Q42.483.033.573.573.600.560.860.770.830.79 2006Q11.352.552.322.812.530.570.220.380.340.36 2006Q21.522.412.132.121.500.570.720.560.610.59 2006Q3-0.330.981.030.641.130.420.510.580.510.54 2006Q4-0.090.08-0.04-0.55-0.130.530.520.550.570.53 2007Q10.980.32-0.130.08-0.170.700.410.400.410.43 2007Q20.260.820.920.301.120.750.760.640.630.64 2007Q31.460.500.890.960.861.580.940.940.890.89 2007Q44.491.621.781.111.012.401.941.591.601.56 2008Q13.583.754.244.524.112.792.542.312.202.20 2008Q24.193.483.414.273.893.352.912.792.732.71 2008Q34.534.734.834.803.633.683.243.012.962.96 2008Q41.873.363.253.423.552.493.533.303.183.15 2009Q10.002.802.662.472.201.231.892.362.272.18 2009Q2-0.840.04-0.18-0.67-0.56-0.040.420.780.950.88 2009Q3-1.34-0.25-0.29-0.70-0.56-0.90-0.95-0.71-0.57-0.42 2009Q4-1.25-1.01-0.90-1.60-0.42-0.83-0.51-0.54-0.46-0.39 2010Q11.29-0.130.16-0.13-0.48-0.01-0.22-0.05-0.05-0.02 2010Q21.091.931.311.761.940.370.490.420.500.50 2010Q30.381.631.721.272.000.600.420.500.500.52 2010Q41.110.271.030.76-0.130.800.790.730.850.80
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VAR季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.422.312.001.910.880.460.940.790.86 2005Q22.112.082.091.611.500.571.251.050.850.62 2005Q33.042.082.152.272.130.640.420.820.700.48 2005Q42.482.843.143.082.800.560.780.680.620.65 2006Q11.352.732.762.552.220.570.640.860.720.43 2006Q21.521.831.651.661.410.570.720.820.860.74 2006Q3-0.331.611.531.571.510.420.560.680.690.60 2006Q4-0.09-0.13-0.34-0.42-0.440.530.380.420.380.39 2007Q10.98-0.55-0.33-0.34-0.270.700.530.560.610.37 2007Q20.260.911.071.101.140.750.940.940.850.86 2007Q31.46-0.110.090.350.121.580.590.740.730.71 2007Q44.491.341.751.381.262.402.031.521.601.50 2008Q13.583.784.174.134.462.792.722.492.452.39 2008Q24.194.024.464.023.593.352.362.642.522.89 2008Q34.534.073.654.123.833.683.572.942.872.94 2008Q41.873.944.534.564.442.493.703.803.893.55 2009Q10.001.682.291.762.451.231.692.702.462.70 2009Q2-0.840.09-0.130.110.08-0.041.081.101.431.21 2009Q3-1.34-1.59-1.21-1.03-0.92-0.90-0.98-0.250.020.12 2009Q4-1.25-1.42-1.77-1.67-0.95-0.83-0.96-1.24-1.07-0.74 2010Q11.290.43-0.33-0.84-0.95-0.010.33-0.05-0.39-0.48 2010Q21.092.161.891.901.910.370.961.121.010.61 2010Q30.380.851.101.331.490.600.230.630.870.90 2010Q41.110.740.490.370.570.800.620.320.310.49
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MM季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.451.391.451.460.880.380.480.480.47 2005Q22.111.381.411.391.420.570.680.480.480.47 2005Q33.041.251.371.381.370.640.230.270.280.28 2005Q42.483.403.753.793.790.560.870.720.720.71 2006Q11.352.652.492.582.570.570.520.640.650.65 2006Q21.521.541.301.251.230.570.890.870.870.85 2006Q3-0.331.301.301.211.200.420.580.700.700.72 2006Q4-0.090.340.050.050.050.530.440.500.500.50 2007Q10.980.570.500.420.420.700.630.590.590.60 2007Q20.261.011.071.061.090.750.930.900.900.91 2007Q31.461.201.081.101.101.580.880.950.950.95 2007Q44.491.021.071.001.012.401.721.461.461.45 2008Q13.583.083.473.493.432.792.141.841.871.86 2008Q24.193.743.794.003.993.352.812.522.522.50 2008Q34.533.663.703.713.453.683.092.852.802.76 2008Q41.872.973.033.052.982.493.242.952.922.82 2009Q10.002.612.462.502.471.231.752.092.042.01 2009Q2-0.840.17-0.08-0.15-0.21-0.040.700.930.940.90 2009Q3-1.34-0.94-0.95-1.15-1.05-0.90-0.65-0.29-0.29-0.25 2009Q4-1.25-0.18-0.17-0.230.00-0.83-0.57-0.45-0.39-0.37 2010Q11.29-0.54-0.52-0.53-0.49-0.01-0.14-0.010.020.05 2010Q21.091.511.561.551.570.370.970.900.930.95 2010Q30.381.191.171.231.310.600.861.161.141.16 2010Q41.110.530.490.470.340.800.690.810.860.85
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MC季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.671.591.351.160.880.800.880.850.83 2005Q22.111.151.131.180.960.570.820.800.830.81 2005Q33.040.610.880.900.930.640.450.510.510.52 2005Q42.482.913.533.423.430.560.610.560.580.58 2006Q11.352.962.852.672.580.570.490.500.480.49 2006Q21.521.651.071.090.800.570.520.500.510.50 2006Q3-0.331.010.971.011.070.420.520.510.500.51 2006Q4-0.090.11-0.28-0.29-0.050.530.340.360.360.36 2007Q10.980.400.340.370.390.700.520.470.470.47 2007Q20.260.480.640.660.810.750.690.650.630.64 2007Q31.461.171.111.081.101.580.720.700.690.68 2007Q44.491.341.431.441.362.401.751.531.521.52 2008Q13.582.943.813.803.832.792.632.422.352.35 2008Q24.193.874.003.983.943.352.902.842.772.74 2008Q34.534.154.194.193.543.683.533.373.353.32 2008Q41.872.672.742.732.562.493.793.733.683.67 2009Q10.002.202.062.041.951.232.122.522.502.47 2009Q2-0.840.14-0.20-0.18-0.28-0.040.741.101.241.23 2009Q3-1.34-1.51-1.62-1.63-1.44-0.90-0.61-0.25-0.10-0.04 2009Q4-1.25-0.53-0.52-0.490.04-0.83-1.32-1.18-1.01-0.94 2010Q11.290.160.120.120.32-0.01-0.85-1.07-1.00-0.91 2010Q21.092.182.252.282.240.370.32-0.05-0.15-0.12 2010Q30.381.801.681.621.760.600.500.480.310.26 2010Q41.111.110.890.960.730.800.680.630.620.54
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PC1季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.501.431.451.430.880.370.500.490.46 2005Q22.111.311.321.311.300.570.610.400.410.39 2005Q33.041.211.341.341.340.640.200.220.200.21 2005Q42.483.313.663.693.690.560.820.640.640.62 2006Q11.352.592.452.502.480.570.450.550.540.54 2006Q21.521.341.121.081.030.570.720.670.680.65 2006Q3-0.331.181.211.141.150.420.510.570.560.58 2006Q4-0.090.23-0.03-0.020.000.530.400.440.440.43 2007Q10.980.430.370.320.320.700.560.500.510.51 2007Q20.260.670.760.750.790.750.710.650.650.66 2007Q31.461.091.021.041.051.580.820.800.800.79 2007Q44.491.171.241.221.212.401.861.551.551.54 2008Q13.583.413.913.923.942.792.512.292.272.27 2008Q24.193.833.854.003.983.352.882.762.752.71 2008Q34.533.773.823.833.583.683.213.002.992.95 2008Q41.873.153.233.253.242.493.423.213.183.16 2009Q10.002.742.562.592.571.231.852.272.242.20 2009Q2-0.840.11-0.05-0.08-0.15-0.040.680.991.051.01 2009Q3-1.34-1.02-1.03-1.22-1.07-0.90-0.71-0.36-0.33-0.24 2009Q4-1.25-0.23-0.23-0.280.02-0.83-0.62-0.53-0.47-0.42 2010Q11.29-0.54-0.55-0.56-0.53-0.01-0.18-0.07-0.05-0.02 2010Q21.091.451.521.501.520.370.920.830.850.87 2010Q30.381.211.191.251.320.600.841.111.091.11 2010Q41.110.540.490.480.340.800.690.800.840.83
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PC2季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.571.501.551.550.880.440.550.540.52 2005Q22.111.341.341.331.330.570.620.440.440.43 2005Q33.041.271.401.401.390.640.210.230.220.23 2005Q42.483.313.663.693.690.560.810.640.640.62 2006Q11.352.682.532.602.580.570.490.590.580.58 2006Q21.521.421.191.151.100.570.740.700.710.68 2006Q3-0.331.271.281.211.220.420.510.580.580.59 2006Q4-0.090.270.000.010.030.530.390.430.430.43 2007Q10.980.510.460.410.410.700.580.520.520.53 2007Q20.260.740.810.810.850.750.720.670.670.67 2007Q31.461.131.051.071.081.580.820.800.800.79 2007Q44.491.191.251.221.212.401.851.541.541.53 2008Q13.583.513.983.994.012.792.552.322.292.29 2008Q24.193.893.904.054.033.352.902.802.782.73 2008Q34.533.863.903.903.643.683.243.043.022.99 2008Q41.873.193.263.283.272.493.423.223.193.17 2009Q10.002.702.482.522.501.231.822.212.192.16 2009Q2-0.840.00-0.28-0.37-0.41-0.040.590.850.860.84 2009Q3-1.34-1.13-1.13-1.34-1.23-0.90-0.77-0.45-0.44-0.40 2009Q4-1.25-0.36-0.36-0.39-0.16-0.83-0.69-0.62-0.55-0.53 2010Q11.29-0.68-0.67-0.67-0.62-0.01-0.23-0.15-0.13-0.08 2010Q21.091.351.411.401.410.370.880.760.780.79 2010Q30.381.141.121.221.280.600.841.081.061.07 2010Q41.110.530.480.460.350.800.690.790.830.82
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PC3季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.341.271.361.350.880.250.290.290.25 2005Q22.111.151.191.171.190.570.660.410.410.41 2005Q33.041.141.301.311.310.640.300.340.340.35 2005Q42.483.213.583.633.630.560.870.740.740.69 2006Q11.352.622.482.592.570.570.590.700.710.71 2006Q21.521.341.111.061.000.570.670.680.670.65 2006Q3-0.331.191.221.131.140.420.510.540.540.57 2006Q4-0.090.24-0.04-0.020.000.530.430.460.460.46 2007Q10.980.390.330.240.240.700.440.400.400.41 2007Q20.260.610.710.700.730.750.750.660.660.67 2007Q31.461.030.971.001.011.580.890.890.890.89 2007Q44.491.181.261.241.232.401.901.641.641.62 2008Q13.583.403.923.953.962.792.462.272.282.28 2008Q24.193.793.814.044.023.352.952.822.822.76 2008Q34.533.733.783.803.563.683.122.952.952.90 2008Q41.872.832.922.952.932.493.082.832.822.79 2009Q10.002.051.992.042.011.231.571.891.861.82 2009Q2-0.84-0.77-0.67-0.65-0.72-0.040.710.900.980.90 2009Q3-1.34-1.76-1.76-1.66-1.50-0.90-0.68-0.24-0.18-0.06 2009Q4-1.25-0.62-0.62-0.62-0.30-0.83-0.35-0.23-0.07-0.01 2010Q11.29-0.28-0.32-0.28-0.28-0.010.310.590.620.75 2010Q21.091.871.981.921.920.371.081.241.301.31 2010Q30.381.481.411.551.570.600.821.151.171.19 2010Q41.110.760.640.560.480.800.600.700.740.75
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PC4季資料模型在不同觀察點下通貨膨脹率的預測結果 預測目標:CPIG預測目標:CPIXG 目標實際值1季前2季前3季前4季前實際值1季前2季前3季前4季前 2005Q11.581.551.471.541.550.880.390.500.500.49 2005Q22.111.321.321.321.250.570.700.510.510.50 2005Q33.041.241.361.361.360.640.250.300.310.32 2005Q42.483.293.633.673.670.560.800.650.650.63 2006Q11.352.532.392.492.510.570.400.500.510.51 2006Q21.521.451.201.161.070.570.780.720.730.70 2006Q3-0.331.211.221.161.160.420.520.610.610.62 2006Q4-0.090.17-0.11-0.11-0.060.530.360.400.400.39 2007Q10.980.320.280.210.210.700.510.440.440.44 2007Q20.260.730.860.860.900.750.740.680.670.68 2007Q31.461.081.001.021.021.580.810.810.800.80 2007Q44.491.061.131.091.052.401.791.481.481.47 2008Q13.583.483.813.823.822.792.482.202.182.18 2008Q24.193.813.824.034.013.352.882.752.722.68 2008Q34.533.793.833.843.543.683.202.992.972.93 2008Q41.873.133.213.243.232.493.393.173.153.12 2009Q10.002.682.482.522.491.231.812.202.172.14 2009Q2-0.840.05-0.21-0.29-0.34-0.040.660.930.940.91 2009Q3-1.34-1.08-1.06-1.24-1.12-0.90-0.72-0.36-0.34-0.29 2009Q4-1.25-0.23-0.22-0.28-0.01-0.83-0.62-0.54-0.47-0.44 2010Q11.29-0.49-0.49-0.50-0.50-0.01-0.17-0.06-0.04-0.03 2010Q21.091.401.491.471.480.370.910.830.860.87 2010Q30.381.191.171.241.320.600.851.111.091.11 2010Q41.110.640.590.570.410.800.710.820.860.85