英文摘要 |
This paper examines the predictive power of macroeconomic variables for bear markets of the TAIEX and 8 industry indices in Taiwan. Based on Pagan and Sossounov’s (2003) modified Bry-Boschan method and probit models, the in-sample and out-of-sample results all reveal that the term spread is a better predictor, but only for shorter and longer forecast horizons. The annual percentage change in the consumer price index only contains information about future bear markets. The macroeconomic variables reflecting economic activity provide little information regarding future bear markets, marking a sharp contrast with the U.S. findings in Chen (2009). Finally, both fiscal and monetary polices have a great impact on the TAIEX as well as the cement and finance industries. However, while the food, plastic and chemical, and building materials and construction industries react only to monetary policy, the textile, paper and pulp, and electric machinery industries respond to monetary policy only in the short run, while responding to fiscal policy only in the long run. |