台灣景氣落後指標初探

A Study on Composing a Lagging Indicator

鑒於台灣景氣落後指標自1984年已停止編製近25年，目前僅有領先指標與同時指標，落後指標則付之闕如，故本研究嘗試透過廣泛測試總體經濟數列，篩選適合之構成項目，編製景氣落後指標，俾使台灣景氣指標系統更臻完善。研究結果初步篩選出失業率（取倒數）、製造業單位產出勞動成本指數、金融業隔夜拆款利率、信用卡預借現金金額、海關進口值、製造業銷售（投資財），與製造業存貨率等7項構成項目，編製合成景氣落後指標。本研究建議之落後指標平均落後高峰8個月、谷底9個月，與基準循環最高相關係數0.70（落後5個月），未認定出的轉折點遺漏比例僅13%，整體而言表現優良。

With a quarter of a century having passed since Taiwan stopped compiling a lagging indicator, the time is due to consider reinstituting such an indicator to complement the leading and concurrent indicators presently in use. Hence, this study attempts to select suitable components for the compilation of a lagging indicator through extensive testing of macroeconomic series, to make Taiwan’s economic indicators more complete. The outcome of the study is the preliminary selection of seven components for the lagging indicator, namely: the unemployment rate (inverted), the index of labor cost per unit of output in manufacturing, overnight interest rates of the interbank call loan market, the amount of credit card cash advances, the customs value of imports, manufacturing sales (investment goods), and the manufacturing inventory to sales ratio. The lagging indicator composed from these components performs very well, showing a lag of 8 months at peak and a lag of 9 months at trough, with a highest correlation coefficient of 0.70, and a ratio of only 13% of missing turning points.