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題名 中國宏觀調控政策有效性之比較研究
A Comparative Study on the Effectiveness of China’s Macro-control Policies作者 盧韋
Lu, Wei貢獻者 黃仁德
Hwang, Jen-Te
盧韋
Lu, Wei關鍵詞 貨幣政策
財政政策
信用管道
共整合分析
向量誤差修正模型
Monetary Policy
Fiscal Policy
Credit Channel
Cointegration
Vector error correction model日期 2023 上傳時間 6-Apr-2023 18:09:27 (UTC+8) 摘要 中國經濟在改革開放後迎來了高速發展時期，中國經濟增長態勢成為國際經濟學者們關注的話題。而貨幣政策與財政政策一直都是一國政府和中央銀行對於經濟調控的重要手段。有鑒於此，本文以中國貨幣政策與財政政策為基礎，加入信用管道的傳導，利用共整合模型與向量誤差修正模型，探討中國宏觀調控政策有效性之比較研究。實證顯示貨幣政策和財政政策對中國國內生產總值都有顯著影響，但是不論是財政政策還是貨幣政策對中國國內生產總值存在遞延效果，但兩者的遞延效果並不一致。將財政政策與貨幣政策一起導入模型，實證結果顯示貨幣政策中貨幣存量、信貸總額與利率都對國內生產總值有顯著正向影響，但是利率的影響與理論不符合。財政政策中政府稅收對國內生產總值有顯著影響，而政府支出則對國內生產總值無顯著影響。
China’s economy is developing rapidly. Monetary policy and fiscal policy have always been important means for a country’s government and central bank to regulate the economy. In view of this, based on China`s monetary policy and fiscal policy, adding the transmission of credit channels, using the Cointegration model and VECM. Empirical evidence shows that both monetary policy and fiscal policy have a significant impact on GDP, both fiscal policy and monetary policy have a deferred effect on GDP, but the deferred effects of the two are not consistent. Introducing fiscal policy and monetary policy into the model, the empirical results show that the monetary stock, total credit and interest rate in monetary policy all have a significant positive impact on GDP, but the impact of interest rate does not conform to the theory. Government taxation has a significant impact on GDP, while government expenditure has no significant impact on GDP.參考文獻 吳盼文、任碧雲 (2007)，〈貨幣政策、財政政策、產業政策、貿易政策、匯率政策協調配合問題研究（下）〉。《華北金融》 ， 5，頁112-134。李松華 （2017)，〈中國貨幣政策對房價調控效應的模擬—基於新凱恩斯DSGE模型〉，華北水利水電大學博士論文。李春吉、孟晓宏（2006)，〈中國經濟波動—基於新凱恩斯主義壟斷競爭模型的分析〉。《經濟研究》， 2，頁1-23。李曉西 (2005), 《宏觀經濟學》。 北京：中國人民大學出版社。汪紅駒、黃達 (2002), 《中國貨幣有效性的研究》。 北京：中國人民大學出版社。高培勇、鐘春平（2014)，〈理解中國的宏觀經濟政策走向—歷史回顧、現實判斷、理政思路與政策選擇〉。《經濟學動態》 ， 10:1，頁1-67。莊芳莊、佳強、朱迎(2014)，〈中國財政政策和貨幣政策協調配合的定量效應—基於協整向量自回歸的分析〉。《金融研究》 ， 1:4，頁1-35。許志偉、王文甫（2018)，〈經濟政策不確定性對宏觀經濟的影響—基於實證與理論的動態分析〉。《經濟學季刊》 ， 18:3, 頁103-145。許偉、陳斌開 (2016),《稅收激勵和企業投資—基於2004～2009年增值稅轉型的自然實驗》。北京：國務院發展研究中心》。黃仁德、羅時萬 (2010)，《經濟成長：理論與實證》。 臺北：華泰。黃仁德 (2007)，《總體經濟理論與政策》。 臺北：華泰。黃蕊（2014)，〈美國擴張性貨幣與財政政策對中國通貨膨脹的影響〉，吉林大學經濟系博士論文。傅紅春（2005)，《經濟仿生學》。 臺北 : 正中。鄧曉蘭，黃顯林（2014)，〈公共債務貨幣化與財政可持續性的互動影響關係研究—基於財政與貨幣政策協調配合的視角〉，《經濟科學》， 1:2，頁111-134。鄧曉蘭、黃玉、黃顯林（2010)，〈論國債政策與貨幣政策的協調配合〉。《當代經濟科學》，1，頁1-23。劉溶滄 (2001)，《中國財政貨幣政策—理論與實踐》。北京：中國金融出版社。謝巧俐（2007),〈中國宏觀調控之研究─共整合分析〉, 國立政治大學經濟系碩士論文。龍小燕（2018)，《中國宏觀調控中財政政策與貨幣政策協調配合研究》。北京：中國財政科學研究院。Adolfson, M., S. Laséen, L. Jesper, and V. Mattias (2007), “Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through，”Journal of International Economics, 72:2, pp. 481-511.Agha, A. I. and M. S. Khan (2006), “An Empirical Analysis of Fiscal Imbalances and Inflation in Pakistan,”SBP Research Bulletin , 22, pp. 1-3.Aiyagari, S. R. and M. Gertler (1985), “ The Backing of Government Bonds and Monetarism, ” Journal of Monetary Economics , 16, pp. 19-44.Alesina, A. and L. H. Summers (1993), “Central Bank Independence and Macroeconomic Perfor-mance: Some Comparative Evidence,”Journal of Money, Credit and Banking, 25, pp. 62-151.Alloza, M. (2008), “Is Fiscal Policy More Effective in Uncertain Times or during Recessions?” Banco de España Working Paper，No. 1730.Barro, R. J. and R, C. John（2011), “ Macroeconomic Effects From Government Purchases and Taxes,” Quarterly Journal of Economics, 126, pp. 51-102.Bernanke，B. S. (1993), “Credit in the Macroeconomy,” Federal Reserve Bank of New York Quarterly Review, 18 , pp. 50-70.Bernanke，B. S. and M. Getler (1990), “Financial Fragility and Economic Performance,” Quarterly Journal of Economics, 105:1 , pp. 87-114.Bernanke，B. S. (1981), “Bankruptcy, Liquidity, and Recession,” American Economic Review, Paper and Proceedings, 71:2, pp. 9-155.Bianchi, F. (2019), “The Dire Effects of The Lack of Monetary and Fiscal Coordination,” Journal of Monetary Economics，12, pp. 1-21.Boschen, J. F. and C. M. Otrock (1994), “Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment, ” American Economic Review, 84, pp. 112-134.Bradley, E. (1986)，“Double Exponential Families and Their Use in Generaliezed Linear Regression,” Journal of the American Statistical Association, 81:3, pp. 709-721.Castelnuovo, E. (2019)，“What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers,” Australian Economic Review , 52:1, pp. 78-93.Davig, T. and L. M. Leeper (2006), “Fluctuating Macro Policies and the Fiscal Theory with Comments and Discussion，” NBER Macroeconomics Annual, 21, pp. 247-315.Granger, C.W. J. (1980), “Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics, 16, pp. 121-130.Graeve, F. D. (2008)，“ The External Finance Premium and The Macroeconomy: US Post-WWII Evidence,” Journal of Economic Dynamics and Contro1, 32:11, pp. 3415-3440.Hyman , P. M.（2008)，Stabilizing an Unstable Economy. New Haven: Yale University Press.Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economics and Control, 12, pp. 231-254.Keynes, J. M. (1937) , “The General Theory of Employment,” Quarterly Journal of Economics, 51:2, pp. 209-223.Koenig. G. and Z. Irem (2011), “Monetary and Fiscal Policy Efficiency and Coordination in a Multi-sector Open-economy General Equilibrium Model,” Scottish Journal of Political Economy, 57:4, pp. 473-492.Megs, A. J. (1962)，Freer Serves and Money Supply. Chicago：University Of Chicago Presss.Nasir, M. A . and F. U. Rehman (2010), “Fiscal and Monetary Policy Coordination: Evidence from Pakistan, ” International Research Journal of Finance and Economics, 35, pp. 202-213.Rossi, B. and S. Zubairy（2011), “What Is The Importance of Monetary and Fiscal Shocks In Explaining US Macroeconomic Fluctuations ?” Journal of Money, Credit and Banking, 43, pp. 124-170.Semmler W. and W. Zhang (2003)，“Monetary and Fiscal Policy Interactions: Some Empirical Evidence in the Euro-Area,” Empirica , 31, pp. 205-227.Simos，E. O. (1980), “Structural Change in the Production Function: Evidence from the U.S. Private Economy, ” Zeitschrift für Nationalökonomie, 40, pp. 144-149.Smte, F. and R. Wouters (2003), “An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,” Journal of the European Economic Association, 1, pp. 1123-1175.Stiglitz, J. E. (1992), “Asymmetric Information in Credit Markets and Its Implications for Macro-Economics,” Oxford Economic Paper, 44, pp. 694-724.Stiglitz, J. E. (1991)，“Credit Rationing in Markets with Imperfect Information,” New Keynesian Economics, 71:3, pp. 393-401.Suh, H. (2011), “Evaluating Macroprudential Policy with Financial Frictions DSGE Model,” Working Paper, No. 248.Warner, E. J. and C. Georges (2001), “The Credit Channel of Monetary Policy Transmission: Evidence from Stock Returns,” Economic inquiry, 39 :1, pp. 74-85. 描述 碩士
國立政治大學
經濟學系
107258043資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107258043 資料類型 thesis dc.contributor.advisor 黃仁德 zh_TW dc.contributor.advisor Hwang, Jen-Te en_US dc.contributor.author (Authors) 盧韋 zh_TW dc.contributor.author (Authors) Lu, Wei en_US dc.creator (作者) 盧韋 zh_TW dc.creator (作者) Lu, Wei en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Apr-2023 18:09:27 (UTC+8) - dc.date.available 6-Apr-2023 18:09:27 (UTC+8) - dc.date.issued (上傳時間) 6-Apr-2023 18:09:27 (UTC+8) - dc.identifier (Other Identifiers) G0107258043 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/144069 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 107258043 zh_TW dc.description.abstract (摘要) 中國經濟在改革開放後迎來了高速發展時期，中國經濟增長態勢成為國際經濟學者們關注的話題。而貨幣政策與財政政策一直都是一國政府和中央銀行對於經濟調控的重要手段。有鑒於此，本文以中國貨幣政策與財政政策為基礎，加入信用管道的傳導，利用共整合模型與向量誤差修正模型，探討中國宏觀調控政策有效性之比較研究。實證顯示貨幣政策和財政政策對中國國內生產總值都有顯著影響，但是不論是財政政策還是貨幣政策對中國國內生產總值存在遞延效果，但兩者的遞延效果並不一致。將財政政策與貨幣政策一起導入模型，實證結果顯示貨幣政策中貨幣存量、信貸總額與利率都對國內生產總值有顯著正向影響，但是利率的影響與理論不符合。財政政策中政府稅收對國內生產總值有顯著影響，而政府支出則對國內生產總值無顯著影響。 zh_TW dc.description.abstract (摘要) China’s economy is developing rapidly. Monetary policy and fiscal policy have always been important means for a country’s government and central bank to regulate the economy. In view of this, based on China`s monetary policy and fiscal policy, adding the transmission of credit channels, using the Cointegration model and VECM. Empirical evidence shows that both monetary policy and fiscal policy have a significant impact on GDP, both fiscal policy and monetary policy have a deferred effect on GDP, but the deferred effects of the two are not consistent. Introducing fiscal policy and monetary policy into the model, the empirical results show that the monetary stock, total credit and interest rate in monetary policy all have a significant positive impact on GDP, but the impact of interest rate does not conform to the theory. Government taxation has a significant impact on GDP, while government expenditure has no significant impact on GDP. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究目的 2第二章 文獻回顧 3第一節 貨幣政策對經濟週期的影響 3第二節 財政政策對經濟週期的影響 4第三節 信用管道的貨幣政策對經濟週期的影響 5第四節 實證文獻回顧 6第三章 中國經濟週期與宏觀調控政策 9第一節 第一次緊縮型宏觀調控─1979至1981年 11第二節 第二次緊縮型宏觀調控─1985至1986年 11第三節 第三次緊縮型宏觀調控─1989至1990年 12第四節 第四次緊縮型宏觀調控─1993 至 1997 年 13第五節 第一次擴張型宏觀調控─1998 至 2002 年 13第六節 第五次緊縮型宏觀調控─2003至2007年6月 15第七節 第二次擴張型宏觀調控─2008至2011年 16第八節 擴張型的財政政策與穩健型的貨幣政策─2011至2019年 17第九節 結語 19第四章 實證模型 20第五章 實證過程與結果 22第一節 資料來源與特性 22第二節 單根檢定 24第三節 變數之共整合檢定與向量誤差修正模型 24第六章 結論 32參考文獻 34 zh_TW dc.format.extent 1845274 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107258043 en_US dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 財政政策 zh_TW dc.subject (關鍵詞) 信用管道 zh_TW dc.subject (關鍵詞) 共整合分析 zh_TW dc.subject (關鍵詞) 向量誤差修正模型 zh_TW dc.subject (關鍵詞) Monetary Policy en_US dc.subject (關鍵詞) Fiscal Policy en_US dc.subject (關鍵詞) Credit Channel en_US dc.subject (關鍵詞) Cointegration en_US dc.subject (關鍵詞) Vector error correction model en_US dc.title (題名) 中國宏觀調控政策有效性之比較研究 zh_TW dc.title (題名) A Comparative Study on the Effectiveness of China’s Macro-control Policies en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 吳盼文、任碧雲 (2007)，〈貨幣政策、財政政策、產業政策、貿易政策、匯率政策協調配合問題研究（下）〉。《華北金融》 ， 5，頁112-134。李松華 （2017)，〈中國貨幣政策對房價調控效應的模擬—基於新凱恩斯DSGE模型〉，華北水利水電大學博士論文。李春吉、孟晓宏（2006)，〈中國經濟波動—基於新凱恩斯主義壟斷競爭模型的分析〉。《經濟研究》， 2，頁1-23。李曉西 (2005), 《宏觀經濟學》。 北京：中國人民大學出版社。汪紅駒、黃達 (2002), 《中國貨幣有效性的研究》。 北京：中國人民大學出版社。高培勇、鐘春平（2014)，〈理解中國的宏觀經濟政策走向—歷史回顧、現實判斷、理政思路與政策選擇〉。《經濟學動態》 ， 10:1，頁1-67。莊芳莊、佳強、朱迎(2014)，〈中國財政政策和貨幣政策協調配合的定量效應—基於協整向量自回歸的分析〉。《金融研究》 ， 1:4，頁1-35。許志偉、王文甫（2018)，〈經濟政策不確定性對宏觀經濟的影響—基於實證與理論的動態分析〉。《經濟學季刊》 ， 18:3, 頁103-145。許偉、陳斌開 (2016),《稅收激勵和企業投資—基於2004～2009年增值稅轉型的自然實驗》。北京：國務院發展研究中心》。黃仁德、羅時萬 (2010)，《經濟成長：理論與實證》。 臺北：華泰。黃仁德 (2007)，《總體經濟理論與政策》。 臺北：華泰。黃蕊（2014)，〈美國擴張性貨幣與財政政策對中國通貨膨脹的影響〉，吉林大學經濟系博士論文。傅紅春（2005)，《經濟仿生學》。 臺北 : 正中。鄧曉蘭，黃顯林（2014)，〈公共債務貨幣化與財政可持續性的互動影響關係研究—基於財政與貨幣政策協調配合的視角〉，《經濟科學》， 1:2，頁111-134。鄧曉蘭、黃玉、黃顯林（2010)，〈論國債政策與貨幣政策的協調配合〉。《當代經濟科學》，1，頁1-23。劉溶滄 (2001)，《中國財政貨幣政策—理論與實踐》。北京：中國金融出版社。謝巧俐（2007),〈中國宏觀調控之研究─共整合分析〉, 國立政治大學經濟系碩士論文。龍小燕（2018)，《中國宏觀調控中財政政策與貨幣政策協調配合研究》。北京：中國財政科學研究院。Adolfson, M., S. Laséen, L. Jesper, and V. Mattias (2007), “Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through，”Journal of International Economics, 72:2, pp. 481-511.Agha, A. I. and M. S. Khan (2006), “An Empirical Analysis of Fiscal Imbalances and Inflation in Pakistan,”SBP Research Bulletin , 22, pp. 1-3.Aiyagari, S. R. and M. Gertler (1985), “ The Backing of Government Bonds and Monetarism, ” Journal of Monetary Economics , 16, pp. 19-44.Alesina, A. and L. H. Summers (1993), “Central Bank Independence and Macroeconomic Perfor-mance: Some Comparative Evidence,”Journal of Money, Credit and Banking, 25, pp. 62-151.Alloza, M. (2008), “Is Fiscal Policy More Effective in Uncertain Times or during Recessions?” Banco de España Working Paper，No. 1730.Barro, R. J. and R, C. John（2011), “ Macroeconomic Effects From Government Purchases and Taxes,” Quarterly Journal of Economics, 126, pp. 51-102.Bernanke，B. S. (1993), “Credit in the Macroeconomy,” Federal Reserve Bank of New York Quarterly Review, 18 , pp. 50-70.Bernanke，B. S. and M. Getler (1990), “Financial Fragility and Economic Performance,” Quarterly Journal of Economics, 105:1 , pp. 87-114.Bernanke，B. S. (1981), “Bankruptcy, Liquidity, and Recession,” American Economic Review, Paper and Proceedings, 71:2, pp. 9-155.Bianchi, F. (2019), “The Dire Effects of The Lack of Monetary and Fiscal Coordination,” Journal of Monetary Economics，12, pp. 1-21.Boschen, J. F. and C. M. Otrock (1994), “Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment, ” American Economic Review, 84, pp. 112-134.Bradley, E. (1986)，“Double Exponential Families and Their Use in Generaliezed Linear Regression,” Journal of the American Statistical Association, 81:3, pp. 709-721.Castelnuovo, E. (2019)，“What Do We Know About the Macroeconomic Effects of Fiscal Policy? 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