Analysis of Economic Data

Transcription

1 Analysis of Economic Data CHUNG-MING KUAN Department of Finance & CRETA National Taiwan University September 14, 2014 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

2 Lecture Outline 1 Introduction 2 Examples of Taiwan s Macroeconomic Data 3 Summary Statistics of Macro Data 4 Analysis of Taiwan s Income Distribution 5 Some Remarks C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

3 Introduction Economic data may be compiled by government agencies (e.g. GDP and unemployment rates), collected from survey studies (e.g. Survey of Family Income and Expenditure), or recorded by some electronic systems (e.g. stock market transaction data). The data may be time-series data recorded over a period of time, cross-section data recorded across different units (households, firms, or countries) at a particular time point, or panel data recorded across different units over a period of time. Econometrics is mainly concerned with analyzing economic data based on some economic theory or hypothesis. C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

4 Annual Data of Taiwan s GDP: GDP ( ) (%) GDP and its growth rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

5 Annual Data of Taiwan s Unemployment Rates: % ( ) Unemployment rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

6 Annual Data of GDP Components: ( ) (%) (%) 18 ( ) (%) (a) Private consumption (b) Private investment C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

7 Quarterly Data of Taiwan s GDP: 1961Q1 2014Q GDP (1961Q Q2) (%) Q1 2013Q1 2012Q1 2011Q1 2010Q1 2009Q1 2008Q1 2007Q1 2006Q1 2005Q1 2004Q1 2003Q1 2002Q1 2001Q1 2000Q1 1999Q1 1998Q1 1997Q1 1996Q1 1995Q1 1994Q1 1993Q1 1992Q1 1991Q1 1990Q1 1989Q1 1988Q1 1987Q1 1986Q1 1985Q1 1984Q1 1983Q1 1982Q1 1981Q1 1980Q1 1979Q1 1978Q1 1977Q1 1976Q1 1975Q1 1974Q1 1973Q1 1972Q1 1971Q1 1970Q1 1969Q1 1968Q1 1967Q1 1966Q1 1965Q1 1964Q1 1963Q1 1962Q1 1961Q1-10 Seasonally unadjusted GDP and its YoY growth rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

8 SA Quarterly Data of Taiwan s GDP: 1981Q1 2014Q2 GDP (1981Q Q2) (%) Q1 1982Q1 1983Q1 1984Q1 1985Q1 1986Q1 1987Q1 1988Q1 1989Q1 1990Q1 1991Q1 1992Q1 1993Q1 1994Q1 1995Q1 1996Q1 1997Q1 1998Q1 1999Q1 2000Q1 2001Q1 2002Q1 2003Q1 2004Q1 2005Q1 2006Q1 2007Q1 2008Q1 2009Q1 2010Q1 2011Q1 2012Q1 2013Q1 2014Q1-10 Seasonally adjusted GDP and its QoQ growth rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

9 Summary Statistics of Annual GDP Growth Rates Stat Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

10 Summary Statistics of Annual Unemployment Rates Stat Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

11 Summary Statistics of Annual Consumption Growth Rates Stat Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

12 Summary Statistics of Annual Investment Growth Rates Stat Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

13 Summary Statistics of Quarterly GDP Growth Rates (YoY) Stat. 62Q1 14Q Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

14 Summary Statistics of SA GDP Growth Rates (QoQ) Stat. 82Q1 14Q Avg S.d Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

15 Taiwan s Gini Coefficient and Oshima Index: Two leading indices that characterize Income inequality are: Gini cofficient and Oshima index (income ratio of the high and low income groups) % / 20% ( ) C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

16 Summary Statistics of Gini Coefficient and Oshima Index Index Stat Avg Gini S.d Coefficient Max Min Avg Oshima S.d Index Max Min C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

17 Taiwan s Income Distributions Real income distributions (left) and their standardized versions (right) C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

18 Summary Statistics of Some Household Characteristics Variable Group Saving Lowest 20% rate Highest 20% Age of Lowest 20% Head Highest 20% Size of Lowest 20% Household Highest 20% Note: All numbers in the columns 3 6 are the averages of the observations in a particular group. C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

19 Age Distributions of the Head of Household C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20

20 Some Remarks One may examine economic data using summary statistics that do not depend on the information of other economic variables. These statistics are unconditional, in the sense that they do not vary with other variables. It is more important to analyze the behavior of a variable, conditional on other economic variables; econometric (regression) analysis does exactly this. A conditional analysis enables us to understand the behavior of the variable of interest when the conditioning variables change. This is particularly important for, e.g., forecasting or policy decision. C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, / 20