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題名 利用門檻迴歸探討金融發展與經濟成長之關係
作者 胡聚男
貢獻者 黃台心
胡聚男
關鍵詞 門檻迴歸模型
工具變數
技術效率
一般化動差法
世界生產函數
日期 2008
上傳時間 9-May-2016 11:50:01 (UTC+8)
摘要 本文從translog生產函數的角度出發，藉由三項金融發展指標分析金融發展對各項生產力指標的影響，而金融發展指標分別為商業銀行對中央銀行資產比、流動性負債除以國民所得與金融機構對私部門放款除以國民所得。使用Hansen (1999)與Caner and Hansen (2004)兩種門檻迴歸模型，前者與固定效果模型搭配估計世界生產函數，後者則動態縱橫資料模型搭配，用以彌補使用固定效果模型假設各國在樣本期間技術效率值不變之缺失。
     
      由固定效果模型迴歸結果可知，除了流動性負債除以國民所得的門檻估計值不呈統計顯著外，其他金融發展指標門檻值皆顯著，代表金融發展對經濟成長確有其影響存在。而金融發展程度高的樣本國家，技術效率值、資本產量彈性以及資本邊際產量皆較高，顯示金融發展使得各國能充分運用資本存量要素投入。然而，「所得水準高且金融發展程度高」的樣本國家，雖然資本產量彈性亦較高，但是技術效率值與技術進步率則較其比較組為低，因此金融發展對高所得國家可能較無影響。而就動態縱橫資料模型而言，雖然模型配適結果較前者為佳，但是僅流動性負債除以國民所得達到統計顯著。而該項金融發展程度愈高，技術效率、資本產量彈性、資本邊際產出以及調整速度亦較高，與固定效果模型的結果一致。
參考文獻 參考文獻
     李建強、洪福聲與黃柏農 (2005)，「金融發展與經濟成長的關係會消失嗎？─門檻迴歸模型之應用」，經濟研究，41:1，45-74。
     沈中華與李健強 (2005)，「同樣的金融發展，不同的經濟成長，為什麼？」金融體系論文集 I ，191-240。
     黃台心、陳盈秀與王美惠 (2008)，「我國與東亞諸國總體生產效率與生產力之研究」，經濟論文叢刊，已接受刊登。
     張淑華、蔡國柱與黃亮洲 (2008)，「印度金融發展與經濟成長之實證研究. 經社法制論叢」，41，149-176。
     Ahn, S. C., D. H. Good and R. Sickles (2002), Estimation of long-run inefficiency levels: A dynamic frontier approach, Econometric Reviews, 4, 461–92.
     Caner M. and B.E. Hansen (2004), Instrumental variable estimation of a threshold model, Econometric Theory , 20, 813-843.
     De Gregorio, J. and P.E. Guidotti (1995), Financial development and economic Growth, World Development, 23, 434-448.
     De Gregorio, J. (1992), Economic growth in Latin America, Journal of Economic Growth, 39, 59-84.
     Deidda, L. and B. Faatouh (2002), Non-linearity between finance and growth, Economic Letters, 74, 339-45.
     Duffy, J. and C. Papageorgiou (2000), a cross-country empirical investigation of the aggregate production function specification, Journal of Economic Growth, 5, 87-120.
     Hansen, B.E. (1996), Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica, 64, 413-430.
     Hansen, B.E (1999), Threshold effects in non-dynamic panels: estimation, testing, and Inference, Journal of Econometrics, 93(2), 345–368.
     Hansen, B.E (2000), Sample splitting and threshold estimation, Econometrica, 68(3), 575–605.
     Ho, T.W. (2006), Income thresholds and growth convergence: a panel data approach, The Manchester School 74(2), 170-189.
     Hunang, T.H. and Y.H. Chen (2008), A study on long-run inefficiency levels of a panel dynamic cost frontier under the framework of forward-looking rational Expectations, Working paper.
     Kneller R. and A. Stevens (2003), The specification of the aggregate production function in the presence of inefficiency, Economic Letters, 81, 223-226.
     Khan, M. and A. Senhadji (2001), Threshold effects in the relationship between inflation and growth, IMF working paper.
     Khan, M. , Senhadji A. and B.D. Smith (2006), Inflation and financial depth, Macroeconomic Depth, 10, 65-182.
     Kumar, S. and R.R. Russell(2002) Technological change, technological catch-upm and capital deepening: relative contributions to growth and convergence. American Economic Review 92,527-548.
     Kumbhakar, S.C. and C.A.K. Lovell (2000), Stochastic Frontier Analysis, New-York, NY: Cambridge University Press.
     Kumbhakar, S.C. and H,J, Wang (2005), Estimation of growth convergence using a stochastic production frontier approach, Economic Letter, 88, 300-305.
     King, R.G. and R. Levine (1993), Finance and growth: Schumpeter might be right, Quarterly Journal of Economics, 108(3), 717-37.
     Levine, R (1997), Financial development and economic growth: views and agenda, Journal of Economic Literature, 35(2), 688-726.
     Levine, R. and S. Zervos (1998), Stock market, banks, and economic growth, American Economic Review, 88:5, 37-58.
     Levine, R (1999), Law, finance, and economic growth. Journal of Financial Intermediation, 8, 8-35.
     Levine, R., N. Loayza, and T. Beck (2000a), Financial Intermediation andGrowth: Causality and Causes, Journal of Monetary Economics, 46, 31-77.Levine, R., N. Loayza, and T. Beck (2000b), Finance and the source of growth, Jouranl of Financial Economics, 58(1-2), 261-300.
     Loayza, R. and N. Ranciere (2006) Financial development, financial fragility, and Growth, Journal of Money, Credit, and Banking, 38(4), 1051-1076.
     Lucas, R. E. (1988), On The mechanics of economic development, Journal of Monetary Economics, 22, 3-42.
     McKinnon, R. I. (1973), Money and capital in economic development, The Brookings Institution, Washington, DC.
     Pagano, M. (1993), Financial markets and growth: an overview, European Economic Reivew, 37, 613-622.
     Robert, G. and R. Levine (1993), Finance and Growth: Schumpeter might be right. The Quarterly Journal of Economics, 108(3), 717-737.
     Rousseau, P.L. and P. Watchtel (2002), Inflation thresholds and finance─growth nexus, Journal of International Money and Finance, 21, 777-793.
     Shaw, E. (1973), Financial deepening in economic development, London: Oxford University Press.
     Schumpeter, J.A. (1911), The theory of economic development, Harvard University Press, Cambridge, MA.
     Thorsten, B., A. Demirgüç-Kunt and R. Levine (1999), A new database on financial development and structure, World Bank mimeo.
     Tsionas, E.G and S.C. Kumbhakar (2004), Markov switching stochastic frontier model, Econometrics Journal, 7, 398-425.
描述 碩士
國立政治大學
金融研究所
95352014
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095352014
資料類型 thesis
dc.contributor.advisor 黃台心zh_TW
dc.contributor.author (Authors) 胡聚男zh_TW
dc.creator (作者) 胡聚男zh_TW
dc.date (日期) 2008en_US
dc.date.accessioned 9-May-2016 11:50:01 (UTC+8)-
dc.date.available 9-May-2016 11:50:01 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:50:01 (UTC+8)-
dc.identifier (Other Identifiers) G0095352014en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94762-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 95352014zh_TW
dc.description.abstract (摘要) 本文從translog生產函數的角度出發，藉由三項金融發展指標分析金融發展對各項生產力指標的影響，而金融發展指標分別為商業銀行對中央銀行資產比、流動性負債除以國民所得與金融機構對私部門放款除以國民所得。使用Hansen (1999)與Caner and Hansen (2004)兩種門檻迴歸模型，前者與固定效果模型搭配估計世界生產函數，後者則動態縱橫資料模型搭配，用以彌補使用固定效果模型假設各國在樣本期間技術效率值不變之缺失。
     
      由固定效果模型迴歸結果可知，除了流動性負債除以國民所得的門檻估計值不呈統計顯著外，其他金融發展指標門檻值皆顯著，代表金融發展對經濟成長確有其影響存在。而金融發展程度高的樣本國家，技術效率值、資本產量彈性以及資本邊際產量皆較高，顯示金融發展使得各國能充分運用資本存量要素投入。然而，「所得水準高且金融發展程度高」的樣本國家，雖然資本產量彈性亦較高，但是技術效率值與技術進步率則較其比較組為低，因此金融發展對高所得國家可能較無影響。而就動態縱橫資料模型而言，雖然模型配適結果較前者為佳，但是僅流動性負債除以國民所得達到統計顯著。而該項金融發展程度愈高，技術效率、資本產量彈性、資本邊際產出以及調整速度亦較高，與固定效果模型的結果一致。		zh_TW
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
     　　第三節 　　論文架構 2
     第二章 文獻回顧 4
     　　第一節 　　金融發展與經濟成長 4
     　　第二節 　　門檻迴歸模型 8
     　　第三節 　　世界生產函數 10
     第三章 研究方法 12
     　　第一節 　　固定效果模型 12
     　　第二節 　　動態縱橫資料門檻迴歸 17
     第四章 變數定義與敘述統計量 22
     　　第一節 　　變數定義 22
     　　第二節 　　縱橫資料單根檢定 31
     第五章 實證分析 32
     　　第一節 　　各項生產力指標 32
     　　第二節 　　固定效果模型 34
     　　第三節 　　動態縱橫資料模型 44
     第六章 結論 50
     參考文獻 53
     附錄A 動態效果生產函數推導過程 56
     附錄B 樣本國家一覽表 58
     附錄C FD1固定效果模型─依所得分群 61
     附錄D FD2固定效果門檻迴歸模型 65
     附錄E FD2固定效果模型─依所得分群 67
     附錄F FD3固定效果模型─依所得分群 71
     附錄G FD1動態縱橫資料模型 75
     附錄H FD1動態縱橫資料模型─依所得分群 77
     附錄I FD2動態縱橫資料模型─依所得分群 81
     附錄J FD3動態縱橫資料模型 85
     附錄K FD3動態縱橫資料模型─依所得分群 87		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095352014en_US
dc.subject (關鍵詞) 門檻迴歸模型zh_TW
dc.subject (關鍵詞) 工具變數zh_TW
dc.subject (關鍵詞) 技術效率zh_TW
dc.subject (關鍵詞) 一般化動差法zh_TW
dc.subject (關鍵詞) 世界生產函數zh_TW
dc.title (題名) 利用門檻迴歸探討金融發展與經濟成長之關係zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     李建強、洪福聲與黃柏農 (2005)，「金融發展與經濟成長的關係會消失嗎？─門檻迴歸模型之應用」，經濟研究，41:1，45-74。
     沈中華與李健強 (2005)，「同樣的金融發展，不同的經濟成長，為什麼？」金融體系論文集 I ，191-240。
     黃台心、陳盈秀與王美惠 (2008)，「我國與東亞諸國總體生產效率與生產力之研究」，經濟論文叢刊，已接受刊登。
     張淑華、蔡國柱與黃亮洲 (2008)，「印度金融發展與經濟成長之實證研究. 經社法制論叢」，41，149-176。
     Ahn, S. C., D. H. Good and R. Sickles (2002), Estimation of long-run inefficiency levels: A dynamic frontier approach, Econometric Reviews, 4, 461–92.
     Caner M. and B.E. Hansen (2004), Instrumental variable estimation of a threshold model, Econometric Theory , 20, 813-843.
     De Gregorio, J. and P.E. Guidotti (1995), Financial development and economic Growth, World Development, 23, 434-448.
     De Gregorio, J. (1992), Economic growth in Latin America, Journal of Economic Growth, 39, 59-84.
     Deidda, L. and B. Faatouh (2002), Non-linearity between finance and growth, Economic Letters, 74, 339-45.
     Duffy, J. and C. Papageorgiou (2000), a cross-country empirical investigation of the aggregate production function specification, Journal of Economic Growth, 5, 87-120.
     Hansen, B.E. (1996), Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica, 64, 413-430.
     Hansen, B.E (1999), Threshold effects in non-dynamic panels: estimation, testing, and Inference, Journal of Econometrics, 93(2), 345–368.
     Hansen, B.E (2000), Sample splitting and threshold estimation, Econometrica, 68(3), 575–605.
     Ho, T.W. (2006), Income thresholds and growth convergence: a panel data approach, The Manchester School 74(2), 170-189.
     Hunang, T.H. and Y.H. Chen (2008), A study on long-run inefficiency levels of a panel dynamic cost frontier under the framework of forward-looking rational Expectations, Working paper.
     Kneller R. and A. Stevens (2003), The specification of the aggregate production function in the presence of inefficiency, Economic Letters, 81, 223-226.
     Khan, M. and A. Senhadji (2001), Threshold effects in the relationship between inflation and growth, IMF working paper.
     Khan, M. , Senhadji A. and B.D. Smith (2006), Inflation and financial depth, Macroeconomic Depth, 10, 65-182.
     Kumar, S. and R.R. Russell(2002) Technological change, technological catch-upm and capital deepening: relative contributions to growth and convergence. American Economic Review 92,527-548.
     Kumbhakar, S.C. and C.A.K. Lovell (2000), Stochastic Frontier Analysis, New-York, NY: Cambridge University Press.
     Kumbhakar, S.C. and H,J, Wang (2005), Estimation of growth convergence using a stochastic production frontier approach, Economic Letter, 88, 300-305.
     King, R.G. and R. Levine (1993), Finance and growth: Schumpeter might be right, Quarterly Journal of Economics, 108(3), 717-37.
     Levine, R (1997), Financial development and economic growth: views and agenda, Journal of Economic Literature, 35(2), 688-726.
     Levine, R. and S. Zervos (1998), Stock market, banks, and economic growth, American Economic Review, 88:5, 37-58.
     Levine, R (1999), Law, finance, and economic growth. Journal of Financial Intermediation, 8, 8-35.
     Levine, R., N. Loayza, and T. Beck (2000a), Financial Intermediation andGrowth: Causality and Causes, Journal of Monetary Economics, 46, 31-77.Levine, R., N. Loayza, and T. Beck (2000b), Finance and the source of growth, Jouranl of Financial Economics, 58(1-2), 261-300.
     Loayza, R. and N. Ranciere (2006) Financial development, financial fragility, and Growth, Journal of Money, Credit, and Banking, 38(4), 1051-1076.
     Lucas, R. E. (1988), On The mechanics of economic development, Journal of Monetary Economics, 22, 3-42.
     McKinnon, R. I. (1973), Money and capital in economic development, The Brookings Institution, Washington, DC.
     Pagano, M. (1993), Financial markets and growth: an overview, European Economic Reivew, 37, 613-622.
     Robert, G. and R. Levine (1993), Finance and Growth: Schumpeter might be right. The Quarterly Journal of Economics, 108(3), 717-737.
     Rousseau, P.L. and P. Watchtel (2002), Inflation thresholds and finance─growth nexus, Journal of International Money and Finance, 21, 777-793.
     Shaw, E. (1973), Financial deepening in economic development, London: Oxford University Press.
     Schumpeter, J.A. (1911), The theory of economic development, Harvard University Press, Cambridge, MA.
     Thorsten, B., A. Demirgüç-Kunt and R. Levine (1999), A new database on financial development and structure, World Bank mimeo.
     Tsionas, E.G and S.C. Kumbhakar (2004), Markov switching stochastic frontier model, Econometrics Journal, 7, 398-425.		zh_TW