建構臺灣的週頻經濟活動指標

A WEEKLY ECONOMIC ACTIVITY INDEX FOR TAIWAN

為了即時刻劃當前的經濟活動情勢，本文參考Eraslan and Gotz（2021）的做法，應用混合頻率共同因子模型，建構屬於臺灣的「週頻經濟活動指標」（weekly economic index，WEI）。首先，本文建構的WEI與重要經濟事件存在良好的對應性，顯示WEI具有捕捉臺灣經濟活動變化的能力;其次，藉由混合頻率Granger因果檢定，可發現在樣本期間內，WEI含有當期國內生產毛額及民間消費成長率之預測資訊;最後，透過混合頻率資料抽樣（mixed-data sampling，MIDAS）模型，並以本土COVID-19疫情衝擊時，全國升至三級警戒之2021年第2季作為樣本外即時預報（nowcast）期間，可發現WEI確實具有刻劃當季經濟與民間消費成長率的能力，有助即時掌握景氣變化。

To effectively capture the current economic activity landscape in real time, this study draws on the work of Eraslan and Gotz (2021) to develop a“Weekly Economic Index”(WEI) tailored for Taiwan, utilizing a mixed-frequency factor model. Following its construction, the analysis reveals that the Taiwan WEI demonstrates a strong positive correlation with significant economic events, signifying its capacity to accurately reflect changes in economic activity. The empirical investigation employs mixed-frequency Granger causality tests, indicating that the WEI encompasses predictive information related to current Gross Domestic Product (GDP) and private consumption growth rates throughout the entire sample period. Furthermore, leveraging the MIDAS model and focusing on the local COVID-19 pandemic’s impact, along with the nationwide escalation to Level 3 alert in the second quarter of 2021 as an out-of-sample nowcasting period, this study confirms the WEI’s effectiveness in delineating the prevailing economic conditions and private consumption growth rates, thus facilitating timely monitoring of economic fluctuations.