景氣領先指標研究－－信用管道指標之建構

A Study on the Credit Index of Leading Indicators

全球經濟與金融部門歷經結構改變及金融自由化過程後，央行透過貨幣總計數已無法有效控制銀行之資產負債表操作，國外學者主張應更重視信用，再加上美國經濟諮商理事會（TCB）以多條信用經濟數列彙編為貨幣部門的領先信用指數（Leading Credit Index, LCI），以替換領先性減弱的實質貨幣總計數M2，以提升領先指標對景氣循環轉折點的預測能力。因此，本文將探討信用傳遞管道的經濟數列納入領先指標中，能否提升對景氣循環變化的研判能力。實證發現，現行領先指標構成項目中的核發建照面積，其領先性已減弱趨於同時性，甚於景氣循環谷底時，反平均落後1個月，因而建議以信用傳遞管道的經濟數列做替換，並合成領先指標與現行領先指標加以比較。最後發現，以全體金融機構放款做為替換構成項目後，所合成的領先指標的領先性優於現行領先指標，將有助於對景氣循環變化的研判與掌握。

After the Global economy and financial sectors have gone through deregulation and structural changes. The central bank couldn’t efficient control the Balance-sheet of the bank system through the Monetary Aggregates, so the foreign professional argues that we must attach importance to the credit view. The Conference Board（TCB）choose several credit indicators and aggregate them into a single composite index which name the Leading Credit Index（LCI）. Because of the real M2 has performed poorly as leading indicator, which will be replaced by LCI. This new leading indicators can be helpful to forecast performance of the business cycle turning points. So this study argues that the new leading indicator is useful in predicting business cycle turning points, including the Credit transmission channel variable. The empirical result of this study show that the building permits of the existing leading indicators has performed poorly as coincident indicator, and lag one month on average in the business cycle through. Therefor we suggest that the loan of financial institution is an appropriate replacement for the building permits, and aggregate them into a new leading indicator. This study find that the new leading indicator have better existing leading indicator, will be improved the forecasting performance.