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, 2014 1 / 20
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, 2014 2 / 20
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, 2014 3 / 20
Annual Data of Taiwan s GDP: 1951 2013 17000000 GDP (1951 -- 2013) (%) 16 15000000 14 13000000 12 11000000 10 8 9000000 6 7000000 4 5000000 2 3000000 0 1000000-2 -1000000-4 2013 2011 2009 2007 2005 2003 2001 1999 1997 1995 1993 1991 1989 1987 1985 1983 1981 1979 1977 1975 1973 1971 1969 1967 1965 1963 1961 1959 1957 1955 1953 1951 GDP and its growth rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 4 / 20
Annual Data of Taiwan s Unemployment Rates: 1978 2013 7 % (1978 -- 2013) 6 5 4 3 2 1 0 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 1984 1983 1982 1981 1980 1979 1978 Unemployment rates C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 5 / 20
Annual Data of GDP Components: 1951 2013 9000000 (1951 -- 2013) (%) (%) 18 (1951 -- 2013) (%) 45 8000000 16 2000000 35 7000000 14 25 6000000 12 1500000 15 10 5000000 5 8 4000000 6 1000000-5 3000000 4-15 2000000 2 500000-25 1000000 0-35 0 1951 1953 1955 1957 1959 1961 1963 1965 1967 1969 1971 1973 1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013-2 0 1951 1953 1955 1957 1959 1961 1963 1965 1967 1969 1971 1973 1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013-45 (a) Private consumption (b) Private investment C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 6 / 20
Quarterly Data of Taiwan s GDP: 1961Q1 2014Q2 4000000 GDP (1961Q1 -- 2014Q2) (%) 20 3500000 15 3000000 10 2500000 2000000 5 1500000 0 1000000-5 500000 0 2014Q1 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, 2014 7 / 20
SA Quarterly Data of Taiwan s GDP: 1981Q1 2014Q2 GDP (1981Q1 -- 2014Q2) (%) 8 4000000 6 3500000 4 3000000 2 2500000 0 2000000-2 1500000-4 1000000-6 500000-8 0 1981Q1 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, 2014 8 / 20
Summary Statistics of Annual GDP Growth Rates Stat. 52 13 52 59 60 69 70 79 80 89 90 99 00 09 Avg 7.28 8.37 9.03 10.12 7.70 6.35 3.43 S.d. 3.44 2.07 1.68 3.88 2.64 1.32 3.15 Max 13.49 11.84 11.57 13.49 11.00 7.88 6.19 Min 1.81 5.30 6.32 1.86 3.97 3.47 1.81 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 9 / 20
Summary Statistics of Annual Unemployment Rates Stat. 78 13 80 89 90 99 00 09 Avg 2.95 2.07 2.04 4.41 S.d. 1.36 0.60 0.61 0.79 Max 5.85 2.91 2.92 5.85 Min 1.23 1.23 1.45 2.99 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 10 / 20
Summary Statistics of Annual Consumption Growth Rates Stat. 52 13 52 59 60 69 70 79 80 89 90 99 00 09 Avg 7.02 7.82 9.19 9.69 7.71 7.29 2.34 S.d. 3.72 4.45 2.61 2.73 3.37 1.40 1.86 Max 16.63 16.63 14.84 12.72 13.29 9.60 5.17 Min 0.93 1.07 5.58 4.68 4.71 5.07 0.93 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 11 / 20
Summary Statistics of Annual Investment Growth Rates Stat. 52 13 52 59 60 69 70 79 80 89 90 99 00 09 Avg 10.24 13.45 18.22 13.34 9.65 8.36 0.27 S.d. 14.05 25.52 12.09 8.23 7.02 7.47 14.91 Max 41.69 41.69 34.92 21.63 21.53 18.40 25.62 Min 32.24 32.24 1.73 1.25 0.95 5.09 22.98 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 12 / 20
Summary Statistics of Quarterly GDP Growth Rates (YoY) Stat. 62Q1 14Q2 62 69 70 79 80 89 90 99 00 09 Avg 7.14 9.68 10.15 7.71 6.35 3.47 S.d. 4.22 2.18 4.55 2.91 1.54 4.47 Max 17.06 13.43 17.06 12.83 9.66 9.67 Min 8.12 5.20 3.40 2.86 2.50 8.12 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 13 / 20
Summary Statistics of SA GDP Growth Rates (QoQ) Stat. 82Q1 14Q2 82 89 90 99 00 09 Avg 1.37 1.98 1.51 0.96 S.d. 1.72 1.66 1.25 2.21 Max 5.64 4.98 5.64 4.94 Min 5.07 1.79 1.71 5.07 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 14 / 20
Taiwan s Gini Coefficient and Oshima Index: 1964 2013 Two leading indices that characterize Income inequality are: Gini cofficient and Oshima index (income ratio of the high and low income groups). 7.0 20% / 20% (1964 -- 2013) 0.37 6.5 0.35 6.0 0.33 5.5 0.31 5.0 0.29 4.5 0.27 4.0 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 1984 1983 1982 1981 1980 1979 1978 1977 1976 1974 1972 1970 1968 1964 0.25 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 15 / 20
Summary Statistics of Gini Coefficient and Oshima Index Index Stat. 70 13 70 79 80 89 90 99 00 09 Avg 0.31 0.29 0.29 0.32 0.34 Gini S.d. 0.02 0.00 0.01 0.01 0.01 Coefficient Max 0.35 0.29 0.30 0.33 0.35 Min 0.28 0.28 0.28 0.31 0.33 Avg 5.22 4.34 4.50 5.33 6.06 Oshima S.d. 0.75 0.16 0.26 0.16 0.23 Index Max 6.39 4.58 4.94 5.51 6.39 Min 4.17 4.18 4.17 4.97 5.55 C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 16 / 20
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, 2014 17 / 20
Summary Statistics of Some Household Characteristics Variable Group 1980 1990 2000 2005 Saving Lowest 20% 0.155 0.095 0.076 0.001 rate Highest 20% 0.378 0.359 0.275 0.270 Age of Lowest 20% 43.9 51.3 58.4 61.7 Head Highest 20% 43.0 43.3 45.1 45.8 Size of Lowest 20% 3.66 2.66 1.93 1.87 Household Highest 20% 5.67 4.96 4.50 4.24 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, 2014 18 / 20
Age Distributions of the Head of Household C.-M. Kuan (Finance & CRETA, NTU) Analysis of Economic Data September 14, 2014 19 / 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, 2014 20 / 20