學術產出-Theses
Article View/Open
Publication Export
-
題名 所得不確定性對經常帳之影響-以亞洲國家為例
The relationship between income uncertainty and current account- take Asian countries as example作者 李曼筠 貢獻者 林信助
李曼筠關鍵詞 所得波動
經常帳
不確定性
Current account
Volatililty
Income uncertainty日期 2017 上傳時間 10-Aug-2017 09:39:35 (UTC+8) 摘要 本文主要目的在於探討亞洲國家所得不確定性與經常帳之間的關聯性。本文延續Adams and Park(2003)、Bernenke(2007)等提出所得不確定性為影響亞洲經常帳的重要因素此論點，實證是否如上所述，所得不確定性為造成亞洲國家高經常帳剩餘水準的重要因素之一。過去雖不乏探討經常帳影響因素的文獻，然而文獻中多採用OECD或全體國家大樣本資料。由於根據國家特性的不同，影響其經常帳的重要因素也有所不同，不同時空背景下所得不確定性對於全球經濟的影響程度也有所不同(Herwartz and Siedenburg,2007)，我們採用不同於過去的樣本做實證。本文採用1990年代後亞洲十國為樣本，依循Fogli and Perri(2013)以相對所得波動度代表所得不確定性，並加入控制變數如平均所得成長率、政府支出波動度、平均通貨膨脹率及貿易開放程度於迴歸式當中。實證結果發現，所得波動性對經常帳效果為正顯著，證實預防性儲蓄理論(precautionary saving)適用於解釋亞洲國家經常帳。迴歸式當中另一顯著的變數為平均所得成長率，與經常帳呈負顯著關係。從估計結果可得出，整體而言亞洲國家樣本特性較接近Roldos(1996)的國家發展階段理論(stages of development hypothesis)中所述之開發中國家的特性，與過去文獻提到歐、美等國家特性具有差異。綜合實證結果以及過去文獻，本文得到的結論為預防性儲蓄動機理論應適用於解釋亞洲國家的高經常帳剩餘現象。
This thesis aims to investigate the relationship between income uncertainty and current account balance in Asian countries. Following Adams and Park(2003), Bernanke(2007) and more economists’ perspective that income uncertainty is the determining factor that results in Asian countries’ high saving rate, this thesis provides empirical result for the above statement. Though there are literature investigating factors that affect current account balance, those literature are not applicable to our topic because most of them use OECD countries as sample. Since the determining factors of current account may differ in different country groups and under different background (Herwartz and Siedenburg, 2007), we take 10 Asian countries as sample to investigate on our topic. Based on Fogli and Perri’s (2015) method, we adopt relative volatility of GDP growth in representing uncertainty in the real world, and consider average GDP growth, volatility of government consumption growth, inflation, openness as other control variables. Our empirical result shows that GDP volatility is positively and significantly related to current account, which justifies the applicability of the precautionary saving theory in Asian countries. In addition, among other variables, average GDP growth demonstrates negative and significant impact on current account. Overall, the result is in consistent with the characteristic of “developing countries” implied by the stages of development hypothesis (Roldos, 1996), which is different from European and American countries’ suggested in past literature. Combining the empirical result and past literature, this thesis concludes that Asian countries’ high current account level is attributable to precautionary saving motive.參考文獻 Adams, Charles and Donghyun Park, (2009), “Causes and Consequences of Global Imbalances: Perspective from Developing Asia,” ADB Economics Working Paper Series, No. 157Aiyagari, S. Rao, (1994), “Uninsured Idiosyncratic Risk Aggregate Saving,” Quarterly Journal of Economics, 109, 659-684 Aristovnik, Aleksander, (2008), “Short-term determinants of current account deficits: evidence from Eastern Europe and the former Soviet Union,” Eastern European Economics 46, 24–42Bosworth, Barry P., (1993), “Saving and Investment in Global Economy,” The Brookings Institution, Washington, DC.Bernanke, Ben S., (2005), “The global saving glut and the U.S. current account deficit,” Federal Reserve Board, Sandridge LectureBernanke, Ben S., (2007), “Global Imbalances: Recent Developments and Prospects,” Federal Reserve Board, Bundesbank LectureBroer, Tobias, (2012), “Domestic or Global Imbalances? Rising income risk and the fall in the US current account,” Working paper, IIES StockholmBrzozowski, Michał and Sadananda Prusty, (2011) “Impact of GDP volatility on current account balances,” Working Papers 2011-02, Faculty of Economic Sciences, University of WarsawCaballero, Ricardo J., (1990), “Consumption puzzles and precautionary savings,” Journal of Monetary Economics, 25, 113-136 Caballero, Ricardo J. et al. (2008), “An Equilibrium Model of “Global Imbalances” and Low Interest Rates,” American Economic Review, 98(1),358–393.Chinn, Menzie D. Chinn and Eswar S. Prasad, (2003), “Medium-term determinants of current accounts in industrial and developing countries: an empirical exploration,” Journal of International Economics 59, 47–76Dow, James P. and Lars J. Olson, (1991), “An Analytic Solution to a Stochastic Consumption-Saving Problem with Liquidity Constraints,” Southern Economic Journal, 58, 459-464 Dreze, Jacques and Franco Modigliani, (1972), “Consumption Decisions under Uncertainty,” Journal of Economic Theory, 5:3, 308-325.Elgin, Ceyhun and Tolga Umut Kuzubas,(2013), “Current account balance and output volatility,” Economic Modelling, 33, 381-387 Fogli, Alessandra and Fabrizio Perri,(2015), “Macroeconomic volatility and external imbalances,” Journal of Monetary Economics, 40, 121-139Ghosh, Atish R and Jonathan D. Ostry,(1997), “Macroeconomic Uncertainty, Precautionary Saving, and the Current Account,” Journal of Monetary Economics, 40, 121-139Guest, Ross and Ian McDonald, (1999), “An evaluation of the saving, investment, and current account balances of five ASEAN economies,” Journal of Asian Economics, 10, 445–464Guy, Debelle and Hamid Faruqee, (1996), “What determines the current account? A cross-sectional and panel approach,” IMF Working Paper 96/ 58Herwartz, Helmut and Florian Siedenburg,(2007), “Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective.” Review of World Economics, 143, 349-374Jha, Shikha et al., (2009), “Saving in Asia and Issues for Rebalancing Growth,” Asian Development Bank Economics Working Paper No.162Karras, Georgios, (2016), “Macroeconomic Volatility and the Current Account: Evidence from a Panel of OECD Countries,” International Economic Journal, 30, 322-333Kim, Soyoung and Jong-Wha Lee, (2007), “Demographic Changes, Saving, and Current Account in East Asia.” Asian Economic Papers, 6(2), 22–53King, Mervyn, (1986), “Capital Market ‘‘Imperfection’’ and the Consumption Function,’’ Scandinavian Journal of Economics, 88, 59-83Lane, Philip R., (2003), “Business Cycles and Macroeconomic Policy in Emerging Market Economies,” Trinity Economics Papers 20032, Trinity College Dublin, Department of EconomicsLeland, Hayne E., (1968), “Saving and uncertainty: the precautionary demand for saving, ” Quarterly Journal of Economics, 82, 465-473.M.A.M., Thanoon and Baharumshah Ahmad Z.,(2012), “Comparing Savings Behavior in Asia and Latin America: The Role of Capital Inflows and Economic Growth,” The journal of developing areas, 46(1), 113-131Obstfeld, Maurice and Kenneth Rogoff, (1996), “Foundations of international macroeconomics,” Cambridge, MA: MIT Press Roldos, Jorge, (1996), “Human capital, borrowing constraints, and the stages of the balance of payments,” Manuscript, IMFRomer, David H., (2006), “Advanced Macroeconomics,” McGraw-Hill, Irwin, New YorkSachs, Jeffrey D., (1981), “The Current Account and Macroeconomics Adjustment in the 1970s,” Brookings Papers on Economic Activity, 1, 201-282 Sachs, Jeffrey D., (1982), “The Current Account in the Macroeconomic Adjustment Process,” Scandinavian Journal of Economics, 84(2), 147-159Sandmo, Agnaro, (1970), “The Effect of Uncertainty on Saving Decisions” The Review of Economic Studies, 37(3), 354-360Treager, Christian P., (2014), “Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity,” Economic Theory, Springer; Society for the Advancement of Economic Theory (SAET), 56, 627-664Xu, Xiaonian, (1995) “Precautionary Savings under Liquidity Constraints: A Decomposition,” International Economic Review, 36, 675-690 European Economy, Current Account Surpluses in the EU, 2012 Zanghieri, Paolo, (2004), “Current Accounts Dynamics in new EU members: Sustainability and Policy Issues,” Working Papers 2004-07, CEPII research center 描述 碩士
國立政治大學
國際經營與貿易學系
104351032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104351032 資料類型 thesis dc.contributor.advisor 林信助 zh_TW dc.contributor.author (Authors) 李曼筠 zh_TW dc.creator (作者) 李曼筠 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 10-Aug-2017 09:39:35 (UTC+8) - dc.date.available 10-Aug-2017 09:39:35 (UTC+8) - dc.date.issued (上傳時間) 10-Aug-2017 09:39:35 (UTC+8) - dc.identifier (Other Identifiers) G0104351032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111711 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 104351032 zh_TW dc.description.abstract (摘要) 本文主要目的在於探討亞洲國家所得不確定性與經常帳之間的關聯性。本文延續Adams and Park(2003)、Bernenke(2007)等提出所得不確定性為影響亞洲經常帳的重要因素此論點，實證是否如上所述，所得不確定性為造成亞洲國家高經常帳剩餘水準的重要因素之一。過去雖不乏探討經常帳影響因素的文獻，然而文獻中多採用OECD或全體國家大樣本資料。由於根據國家特性的不同，影響其經常帳的重要因素也有所不同，不同時空背景下所得不確定性對於全球經濟的影響程度也有所不同(Herwartz and Siedenburg,2007)，我們採用不同於過去的樣本做實證。本文採用1990年代後亞洲十國為樣本，依循Fogli and Perri(2013)以相對所得波動度代表所得不確定性，並加入控制變數如平均所得成長率、政府支出波動度、平均通貨膨脹率及貿易開放程度於迴歸式當中。實證結果發現，所得波動性對經常帳效果為正顯著，證實預防性儲蓄理論(precautionary saving)適用於解釋亞洲國家經常帳。迴歸式當中另一顯著的變數為平均所得成長率，與經常帳呈負顯著關係。從估計結果可得出，整體而言亞洲國家樣本特性較接近Roldos(1996)的國家發展階段理論(stages of development hypothesis)中所述之開發中國家的特性，與過去文獻提到歐、美等國家特性具有差異。綜合實證結果以及過去文獻，本文得到的結論為預防性儲蓄動機理論應適用於解釋亞洲國家的高經常帳剩餘現象。 zh_TW dc.description.abstract (摘要) This thesis aims to investigate the relationship between income uncertainty and current account balance in Asian countries. Following Adams and Park(2003), Bernanke(2007) and more economists’ perspective that income uncertainty is the determining factor that results in Asian countries’ high saving rate, this thesis provides empirical result for the above statement. Though there are literature investigating factors that affect current account balance, those literature are not applicable to our topic because most of them use OECD countries as sample. Since the determining factors of current account may differ in different country groups and under different background (Herwartz and Siedenburg, 2007), we take 10 Asian countries as sample to investigate on our topic. Based on Fogli and Perri’s (2015) method, we adopt relative volatility of GDP growth in representing uncertainty in the real world, and consider average GDP growth, volatility of government consumption growth, inflation, openness as other control variables. Our empirical result shows that GDP volatility is positively and significantly related to current account, which justifies the applicability of the precautionary saving theory in Asian countries. In addition, among other variables, average GDP growth demonstrates negative and significant impact on current account. Overall, the result is in consistent with the characteristic of “developing countries” implied by the stages of development hypothesis (Roldos, 1996), which is different from European and American countries’ suggested in past literature. Combining the empirical result and past literature, this thesis concludes that Asian countries’ high current account level is attributable to precautionary saving motive. en_US dc.description.tableofcontents 第一章 緒論 1第二章 變數定義與資料來源 6第一節 資料來源 6第二節 變數定義 6第三章 研究方法 9第一節 混合迴歸模型 9第二節 係數預測 10第四章 實證結果分析 12第五章 結論 19參考文獻 21 zh_TW dc.format.extent 1006619 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104351032 en_US dc.subject (關鍵詞) 所得波動 zh_TW dc.subject (關鍵詞) 經常帳 zh_TW dc.subject (關鍵詞) 不確定性 zh_TW dc.subject (關鍵詞) Current account en_US dc.subject (關鍵詞) Volatililty en_US dc.subject (關鍵詞) Income uncertainty en_US dc.title (題名) 所得不確定性對經常帳之影響-以亞洲國家為例 zh_TW dc.title (題名) The relationship between income uncertainty and current account- take Asian countries as example en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Adams, Charles and Donghyun Park, (2009), “Causes and Consequences of Global Imbalances: Perspective from Developing Asia,” ADB Economics Working Paper Series, No. 157Aiyagari, S. Rao, (1994), “Uninsured Idiosyncratic Risk Aggregate Saving,” Quarterly Journal of Economics, 109, 659-684 Aristovnik, Aleksander, (2008), “Short-term determinants of current account deficits: evidence from Eastern Europe and the former Soviet Union,” Eastern European Economics 46, 24–42Bosworth, Barry P., (1993), “Saving and Investment in Global Economy,” The Brookings Institution, Washington, DC.Bernanke, Ben S., (2005), “The global saving glut and the U.S. current account deficit,” Federal Reserve Board, Sandridge LectureBernanke, Ben S., (2007), “Global Imbalances: Recent Developments and Prospects,” Federal Reserve Board, Bundesbank LectureBroer, Tobias, (2012), “Domestic or Global Imbalances? Rising income risk and the fall in the US current account,” Working paper, IIES StockholmBrzozowski, Michał and Sadananda Prusty, (2011) “Impact of GDP volatility on current account balances,” Working Papers 2011-02, Faculty of Economic Sciences, University of WarsawCaballero, Ricardo J., (1990), “Consumption puzzles and precautionary savings,” Journal of Monetary Economics, 25, 113-136 Caballero, Ricardo J. et al. (2008), “An Equilibrium Model of “Global Imbalances” and Low Interest Rates,” American Economic Review, 98(1),358–393.Chinn, Menzie D. Chinn and Eswar S. Prasad, (2003), “Medium-term determinants of current accounts in industrial and developing countries: an empirical exploration,” Journal of International Economics 59, 47–76Dow, James P. and Lars J. Olson, (1991), “An Analytic Solution to a Stochastic Consumption-Saving Problem with Liquidity Constraints,” Southern Economic Journal, 58, 459-464 Dreze, Jacques and Franco Modigliani, (1972), “Consumption Decisions under Uncertainty,” Journal of Economic Theory, 5:3, 308-325.Elgin, Ceyhun and Tolga Umut Kuzubas,(2013), “Current account balance and output volatility,” Economic Modelling, 33, 381-387 Fogli, Alessandra and Fabrizio Perri,(2015), “Macroeconomic volatility and external imbalances,” Journal of Monetary Economics, 40, 121-139Ghosh, Atish R and Jonathan D. Ostry,(1997), “Macroeconomic Uncertainty, Precautionary Saving, and the Current Account,” Journal of Monetary Economics, 40, 121-139Guest, Ross and Ian McDonald, (1999), “An evaluation of the saving, investment, and current account balances of five ASEAN economies,” Journal of Asian Economics, 10, 445–464Guy, Debelle and Hamid Faruqee, (1996), “What determines the current account? A cross-sectional and panel approach,” IMF Working Paper 96/ 58Herwartz, Helmut and Florian Siedenburg,(2007), “Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective.” Review of World Economics, 143, 349-374Jha, Shikha et al., (2009), “Saving in Asia and Issues for Rebalancing Growth,” Asian Development Bank Economics Working Paper No.162Karras, Georgios, (2016), “Macroeconomic Volatility and the Current Account: Evidence from a Panel of OECD Countries,” International Economic Journal, 30, 322-333Kim, Soyoung and Jong-Wha Lee, (2007), “Demographic Changes, Saving, and Current Account in East Asia.” Asian Economic Papers, 6(2), 22–53King, Mervyn, (1986), “Capital Market ‘‘Imperfection’’ and the Consumption Function,’’ Scandinavian Journal of Economics, 88, 59-83Lane, Philip R., (2003), “Business Cycles and Macroeconomic Policy in Emerging Market Economies,” Trinity Economics Papers 20032, Trinity College Dublin, Department of EconomicsLeland, Hayne E., (1968), “Saving and uncertainty: the precautionary demand for saving, ” Quarterly Journal of Economics, 82, 465-473.M.A.M., Thanoon and Baharumshah Ahmad Z.,(2012), “Comparing Savings Behavior in Asia and Latin America: The Role of Capital Inflows and Economic Growth,” The journal of developing areas, 46(1), 113-131Obstfeld, Maurice and Kenneth Rogoff, (1996), “Foundations of international macroeconomics,” Cambridge, MA: MIT Press Roldos, Jorge, (1996), “Human capital, borrowing constraints, and the stages of the balance of payments,” Manuscript, IMFRomer, David H., (2006), “Advanced Macroeconomics,” McGraw-Hill, Irwin, New YorkSachs, Jeffrey D., (1981), “The Current Account and Macroeconomics Adjustment in the 1970s,” Brookings Papers on Economic Activity, 1, 201-282 Sachs, Jeffrey D., (1982), “The Current Account in the Macroeconomic Adjustment Process,” Scandinavian Journal of Economics, 84(2), 147-159Sandmo, Agnaro, (1970), “The Effect of Uncertainty on Saving Decisions” The Review of Economic Studies, 37(3), 354-360Treager, Christian P., (2014), “Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity,” Economic Theory, Springer; Society for the Advancement of Economic Theory (SAET), 56, 627-664Xu, Xiaonian, (1995) “Precautionary Savings under Liquidity Constraints: A Decomposition,” International Economic Review, 36, 675-690 European Economy, Current Account Surpluses in the EU, 2012 Zanghieri, Paolo, (2004), “Current Accounts Dynamics in new EU members: Sustainability and Policy Issues,” Working Papers 2004-07, CEPII research center zh_TW
