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題名 財政政策的乘數效果－追蹤資料分量迴歸之應用
The multiplier effect of fiscal policy－an application of panel data quantile regression作者 徐鵬凱
Hsu, Peng Kai貢獻者 林馨怡
Lin, Hsin Yi
徐鵬凱
Hsu, Peng Kai關鍵詞 財政政策
景氣
分量迴歸
追蹤資料
Fiscal policy
Business cycle
Quantile regression
Panel data日期 2016 上傳時間 5-Apr-2017 15:39:10 (UTC+8) 摘要 在 2008 年金融危機之後，財政政策的非線性效果已漸漸受到關注。本文使用 1960－2012 年 48 個國家的季資料分析財政政策的非線性效果，並使用動態追蹤資料分量迴歸模型來驗證當經濟處在不同的景氣階段時，財政政策是否有不同的成效。本文發現，景氣處在相對較差的階段時，財政政策乘數較大，而景氣處在相對較好的階段時，財政政策乘數則較小，實證結果支持財政政策確實具有非線性效果。本文可提供政府在政策制定上之參考依據，並合理化政府利用財政工具拯救經濟的手段。 參考文獻 Aghion, P., Hémous, D., Kharroubi, E., 2014.Cyclical Fiscal Policy, Credit Constraint, and Industry Growth.Journal of Monetary Economics, 62, 43--58.Aiyagari, S. R., Christiano, L. J., Eichenbaum, M., 1992.The Output, Employment, and Interest Rate Effects of Government Consumption.Journal of Monetary Economics, 30(1), 73--86.Anderson, T. W., Hsiao, C., 1981. Estimation of Dynamic Models with Error Components.Journal of the American Statistical Association, 76(375), 598--606.Arellano, M., Bond, S., 1991.Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.The Review of Economic Studies, 58(2), 277--297.Arellano, M., Bover, O., 1995.Another Look at Instrumental Variables Estimation of Error Components Models.Journal of Econometrics, 68, 29--51.Auerbach, A. J., Gorodnichenko, Y., 2012.Measuring the Output Responses to Fiscal Policy.American Economic Journal: Economic Policy, 4(2), 1--27.Auerbach, A. J., Gorodnichenko, Y., 2013.Fiscal Multipliers in Recession and Expansion. In: Fical Policy after the Financial Crisis, Alberto Alesina and Francesco Giavazzi, eds., University of Chicago Press.Bachmann, R., Sims, E. R., 2012.Confidence and the Transmission of Government Spending Shocks.Journal of Monetary Economics, 59, 235--249.Baltagi, B. H., 2005.Econometric Analysis of Panel Data. 3rd. Chichester, UK: Wiley.Barro, R. J., 1981. Output Effects of Government Purchases.Journal of Political Economy, 89(6), 1086--1121.Barro, R. J., King, R. G. 1984. Time－Separable Preferences and Intertemporal－Substitution Models of Business Cycles.The Quarterly Journal of Economics, 99(4), 817--39.Barro, R. J., Redlick, C. J. 2011.Macroeconomic Effects from Government.The Quarterly Journal of Economics, 126(1), 51--102.Baxter, M., King, R. G., 1993.Fiscal Policy in General Equilibrium.American Economic Review, 83(3), 315--34.Beetsma, R., Giuliodori, M., 2011. The Effects of Government Purchase Shocks: Review and Estimates for the EU.The Economic Journal, 121 (February), 4--32.Bernanke, B., Mihove, I., 1998. Measuring Monetary Policy.The Quarterly Journal of Economics, CXIII, 315--334.Blanchard, O., Perotti, R., 2002.An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output.The Quarterly Journal of Economics, 117, 1329--1368.Caggiano, G., Castelnuovo, E., Colombo, V., Nodari, G., 2015.Estimating Fiscal Multipliers: News from a Non－linear World.The Economic Journal, 125 (May), 746--776.Cameron, A. C., Trivedi, P. K., 2005. Microeconometrics: Methods and Applications. Cambridge University Press, New York, May 2005.Canay, I. A., 2011.A Simple Approach to Quantile Regression for Panel Data.The Econometrics Journal, 14, 368--386.Canzoneri, M., Collard, F., Dellas, H., Diba, B., 2012.Fiscal Multiplers in Recession. Mimeo, Georgetown University and University of Bern.Christiano, R., Eichenbaum, M., Rebelo, S., 2011. When is the Government Spending Multiplier Large.Journal of Political Economy, 119, no. 1.Cogan, J. F., Cwik, T., Taylor, J. B., Wieland, V,. 2010. New Keynesian Versus Old Keynesian Government Spending Multipliers.Journal of economic dynamics and control, 34(3), 281--95.Corsetti, G., Meier, A., Müller, G., 2012. What Determines Government Spending Multipliers. IMF Working Paper, 12/150.Cúrdia, V., Woodford, M., 2010.Credit Spreads and Monetary Policy.Journal of Money, Credit and Banking, 42, Issue S1, 3--35.Edelberg, W., Eichenbaum M., Fisher, J. D. M., 1999.Understanding the Effects of a Shock to Government Purchases.Review of Economic Dynamics, 2(1), 166--206.Eggertsson, G. B., 2010.What Fiscal Policy is Effective at Zero Interest Rate.NBER Macroeconomics Annual 2010, Volume 25, University of Chicago Press.Eggertsson, G. B. Woodford, M., 2003.The Zero Bound on Interest Rates and Optimal Monetary Policy.Brookings Papers on Economic Activity, 1, 139--211.Evans, M. K., 1969.Reconstruction and Estimation of the Balanced Budget Multiplier.Review of Economics and Statistic, 51(1), 14--25.Flannery, M. J., Hankins, K. W., 2013.Estimating Dynamic Panel Models in Corporate Finance.Journal of Corporate Finance, 19, 1--19.Galí, J., Vallès, J., López－Salido, J. D., 2007. Understanding the Effects of Government Spending in Consumption.Journal of the European Economic Association, 5(1), 227--70.Gordon, R. J., Krenn, R., 2010. The End of the Great Depression 1939－41: Policy Contributions and Fiscal Multipliers. NBER Working Paper No. 16380.Hall, R. E. 1986.The Role of Consumption in Economic Fluctuations.The American Business Cycle: Continuity and Change, University of Chicago Press.Hall, R. E. 2009.By How Much Does GDP Rise if the Government Buys More Output. NBER Working Paper No. 15496.Ilzetzki, E., Mendoza, E. G., Végh, C. A., 2013.How Big(Small?) are Fiscal Multipliers?Journal of Monetary Economics, 60, 239--254.International Monetary Fund (IMF), 2014. Is it Time for an Infrastructure Push? The Macroeconomic Effects of Public Investment. World Economic Outlook: Legacies, Clouds, Uncertainties, October 2014, Ch3, 75--114.Kraay, A., 2012.How Large is the Government Spending Multiplier? Evidence from the World Bank Lending.The Quarterly Journal of Economics, 127, 829--887.Koenker, R., 2004.Quantile Regression for Longitudinal Data.Journal of Multivariate Analysis, 91, 74--89.Koenker, R., Bassett, G., 1978.Regression Quantiles.Econometrica, 46, 33--50.Lin, H. Y., 2010.Endogeneity in Panel Data Quantile Regression Models: A Fitted Value Approach. Working Paper, National Chengchi University.Michaillat, P., 2014.A Theory of Countercyclical Government Multiplier.American Economic Journal: Macroeconomics, 6(1), 190--217.Mountford, A., Uhlig, H., 2009.What are the Effects of Fiscal Policy Shocks.Journal of Applied Econometrics, 24, 960--992.Nakamura, E., Steinsson, J., 2014.Fiscal Stimulus in a Monetary Union: Evidence from US Regions.American Economic Review, 104(3), 753--792.Owyang, M. T., Ramey, V. A., Zubairy, S., 2013.Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth－Century Historical Data.American Economic Review: Papers & Proceeding, 103(3), 129--134.Perotti, R., 1999.Fiscal Policy in Good Times and Bad.The Quarterly Journal of Economics, 114, 1399--1436.Perotti, R., 2005.Estimating the Effects of Fiscal Policy in OECD Countries.CEPR Discussion Papers 4842.Perotti, R., 2007.In Search of the Transmission Mechanism of Fiscal Policy. NBER Working Paper NO. 13143.Ramey, V. A., 2011a.Identifying Government Spending Shocks: It"s All in the Timing.The Quarterly Journal of Economics, 126, 1--50.Ramey, V. A., 2011b. Can Government Purchases Stimulate the Economy?Journal of Economic Literature, 49(3), 673--685.Ramey, V. A., Shapiro, M. D., 1998.Costly Capital Reallocation and the Effects of Government Spending. In: Carnegie－Rochester Conference Series on Public Policy, 48, 145--194.Ramey, V. A., Zubairy, S., 2014.Government Spending Multipliers in Good Time and in Bad: Evidence from U.S. Historical Data. NBER Working Paper No. 20719.Ravn, M. O., 2006.Deep Habits.The Review of Economic Studies, 73, 159--218.Ravn, M. O., Schmitt－Grohé, M., Uribe M., 2012.Consumption, Government Spending, and the Real Exchange Rate.Journal of Monetary Economics, 59, 215--234.Rotemberg, J. J., Woodford, M., 1992. Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity.Journal of Political Economy, 100, 1153--1207.Riera－Crichton, A., Vegh, C. A., Vuletin, G., 2014.Procyclical and Countercyclical Fiscal Multipliers: Evidence from OECD Countries. NBER Working Paper No. 20533.Smets, F., Wouters, R., 2007.Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach.American Economic Review, 97, 586--606.Uhlig, H., 2005.What are the Effects of Monetary Policy? Results from an Agnostic Identification Procedure.Journal of Monetary Economics, 52, 381--419. 描述 碩士
國立政治大學
經濟學系
103258003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258003 資料類型 thesis dc.contributor.advisor 林馨怡 zh_TW dc.contributor.advisor Lin, Hsin Yi en_US dc.contributor.author (Authors) 徐鵬凱 zh_TW dc.contributor.author (Authors) Hsu, Peng Kai en_US dc.creator (作者) 徐鵬凱 zh_TW dc.creator (作者) Hsu, Peng Kai en_US dc.date (日期) 2016 en_US dc.date.accessioned 5-Apr-2017 15:39:10 (UTC+8) - dc.date.available 5-Apr-2017 15:39:10 (UTC+8) - dc.date.issued (上傳時間) 5-Apr-2017 15:39:10 (UTC+8) - dc.identifier (Other Identifiers) G0103258003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/108130 - 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) 103258003 zh_TW dc.description.abstract (摘要) 在 2008 年金融危機之後，財政政策的非線性效果已漸漸受到關注。本文使用 1960－2012 年 48 個國家的季資料分析財政政策的非線性效果，並使用動態追蹤資料分量迴歸模型來驗證當經濟處在不同的景氣階段時，財政政策是否有不同的成效。本文發現，景氣處在相對較差的階段時，財政政策乘數較大，而景氣處在相對較好的階段時，財政政策乘數則較小，實證結果支持財政政策確實具有非線性效果。本文可提供政府在政策制定上之參考依據，並合理化政府利用財政工具拯救經濟的手段。 zh_TW dc.description.tableofcontents 1 緒論 12 文獻回顧.......................... 42.1 理論文獻........................ 42.2 實證文獻........................ 83 計量方法 193.1 追蹤資料....................... 193.2 動態追蹤資料.................... 223.3 追蹤資料分量迴歸................. 243.4 動態追蹤資料分量迴歸.............. 284 資料與模型 ........................314.1 資料........................... 314.2 模型設定........................ 355 實證結果.......................... 375.1 基本結果........................ 375.2 不同衝擊與變數處理................ 405.3 不同時期........................ 425.4 不同群體........................ 435.5 債務........................... 456 結論 .............................47參考文獻........................... 53A 國家資料樣本...................... 57B 政府消費資料來源.................. 58C 產出資料來源..................... 61 zh_TW dc.format.extent 1402325 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258003 en_US dc.subject (關鍵詞) 財政政策 zh_TW dc.subject (關鍵詞) 景氣 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 追蹤資料 zh_TW dc.subject (關鍵詞) Fiscal policy en_US dc.subject (關鍵詞) Business cycle en_US dc.subject (關鍵詞) Quantile regression en_US dc.subject (關鍵詞) Panel data en_US dc.title (題名) 財政政策的乘數效果－追蹤資料分量迴歸之應用 zh_TW dc.title (題名) The multiplier effect of fiscal policy－an application of panel data quantile regression en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aghion, P., Hémous, D., Kharroubi, E., 2014.Cyclical Fiscal Policy, Credit Constraint, and Industry Growth.Journal of Monetary Economics, 62, 43--58.Aiyagari, S. R., Christiano, L. J., Eichenbaum, M., 1992.The Output, Employment, and Interest Rate Effects of Government Consumption.Journal of Monetary Economics, 30(1), 73--86.Anderson, T. W., Hsiao, C., 1981. Estimation of Dynamic Models with Error Components.Journal of the American Statistical Association, 76(375), 598--606.Arellano, M., Bond, S., 1991.Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.The Review of Economic Studies, 58(2), 277--297.Arellano, M., Bover, O., 1995.Another Look at Instrumental Variables Estimation of Error Components Models.Journal of Econometrics, 68, 29--51.Auerbach, A. J., Gorodnichenko, Y., 2012.Measuring the Output Responses to Fiscal Policy.American Economic Journal: Economic Policy, 4(2), 1--27.Auerbach, A. J., Gorodnichenko, Y., 2013.Fiscal Multipliers in Recession and Expansion. In: Fical Policy after the Financial Crisis, Alberto Alesina and Francesco Giavazzi, eds., University of Chicago Press.Bachmann, R., Sims, E. R., 2012.Confidence and the Transmission of Government Spending Shocks.Journal of Monetary Economics, 59, 235--249.Baltagi, B. H., 2005.Econometric Analysis of Panel Data. 3rd. Chichester, UK: Wiley.Barro, R. J., 1981. Output Effects of Government Purchases.Journal of Political Economy, 89(6), 1086--1121.Barro, R. J., King, R. G. 1984. Time－Separable Preferences and Intertemporal－Substitution Models of Business Cycles.The Quarterly Journal of Economics, 99(4), 817--39.Barro, R. J., Redlick, C. J. 2011.Macroeconomic Effects from Government.The Quarterly Journal of Economics, 126(1), 51--102.Baxter, M., King, R. G., 1993.Fiscal Policy in General Equilibrium.American Economic Review, 83(3), 315--34.Beetsma, R., Giuliodori, M., 2011. The Effects of Government Purchase Shocks: Review and Estimates for the EU.The Economic Journal, 121 (February), 4--32.Bernanke, B., Mihove, I., 1998. Measuring Monetary Policy.The Quarterly Journal of Economics, CXIII, 315--334.Blanchard, O., Perotti, R., 2002.An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output.The Quarterly Journal of Economics, 117, 1329--1368.Caggiano, G., Castelnuovo, E., Colombo, V., Nodari, G., 2015.Estimating Fiscal Multipliers: News from a Non－linear World.The Economic Journal, 125 (May), 746--776.Cameron, A. C., Trivedi, P. K., 2005. Microeconometrics: Methods and Applications. Cambridge University Press, New York, May 2005.Canay, I. A., 2011.A Simple Approach to Quantile Regression for Panel Data.The Econometrics Journal, 14, 368--386.Canzoneri, M., Collard, F., Dellas, H., Diba, B., 2012.Fiscal Multiplers in Recession. Mimeo, Georgetown University and University of Bern.Christiano, R., Eichenbaum, M., Rebelo, S., 2011. When is the Government Spending Multiplier Large.Journal of Political Economy, 119, no. 1.Cogan, J. F., Cwik, T., Taylor, J. B., Wieland, V,. 2010. New Keynesian Versus Old Keynesian Government Spending Multipliers.Journal of economic dynamics and control, 34(3), 281--95.Corsetti, G., Meier, A., Müller, G., 2012. What Determines Government Spending Multipliers. IMF Working Paper, 12/150.Cúrdia, V., Woodford, M., 2010.Credit Spreads and Monetary Policy.Journal of Money, Credit and Banking, 42, Issue S1, 3--35.Edelberg, W., Eichenbaum M., Fisher, J. D. M., 1999.Understanding the Effects of a Shock to Government Purchases.Review of Economic Dynamics, 2(1), 166--206.Eggertsson, G. B., 2010.What Fiscal Policy is Effective at Zero Interest Rate.NBER Macroeconomics Annual 2010, Volume 25, University of Chicago Press.Eggertsson, G. B. Woodford, M., 2003.The Zero Bound on Interest Rates and Optimal Monetary Policy.Brookings Papers on Economic Activity, 1, 139--211.Evans, M. K., 1969.Reconstruction and Estimation of the Balanced Budget Multiplier.Review of Economics and Statistic, 51(1), 14--25.Flannery, M. J., Hankins, K. W., 2013.Estimating Dynamic Panel Models in Corporate Finance.Journal of Corporate Finance, 19, 1--19.Galí, J., Vallès, J., López－Salido, J. D., 2007. Understanding the Effects of Government Spending in Consumption.Journal of the European Economic Association, 5(1), 227--70.Gordon, R. J., Krenn, R., 2010. The End of the Great Depression 1939－41: Policy Contributions and Fiscal Multipliers. NBER Working Paper No. 16380.Hall, R. E. 1986.The Role of Consumption in Economic Fluctuations.The American Business Cycle: Continuity and Change, University of Chicago Press.Hall, R. E. 2009.By How Much Does GDP Rise if the Government Buys More Output. NBER Working Paper No. 15496.Ilzetzki, E., Mendoza, E. G., Végh, C. A., 2013.How Big(Small?) are Fiscal Multipliers?Journal of Monetary Economics, 60, 239--254.International Monetary Fund (IMF), 2014. Is it Time for an Infrastructure Push? The Macroeconomic Effects of Public Investment. World Economic Outlook: Legacies, Clouds, Uncertainties, October 2014, Ch3, 75--114.Kraay, A., 2012.How Large is the Government Spending Multiplier? Evidence from the World Bank Lending.The Quarterly Journal of Economics, 127, 829--887.Koenker, R., 2004.Quantile Regression for Longitudinal Data.Journal of Multivariate Analysis, 91, 74--89.Koenker, R., Bassett, G., 1978.Regression Quantiles.Econometrica, 46, 33--50.Lin, H. Y., 2010.Endogeneity in Panel Data Quantile Regression Models: A Fitted Value Approach. Working Paper, National Chengchi University.Michaillat, P., 2014.A Theory of Countercyclical Government Multiplier.American Economic Journal: Macroeconomics, 6(1), 190--217.Mountford, A., Uhlig, H., 2009.What are the Effects of Fiscal Policy Shocks.Journal of Applied Econometrics, 24, 960--992.Nakamura, E., Steinsson, J., 2014.Fiscal Stimulus in a Monetary Union: Evidence from US Regions.American Economic Review, 104(3), 753--792.Owyang, M. T., Ramey, V. A., Zubairy, S., 2013.Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth－Century Historical Data.American Economic Review: Papers & Proceeding, 103(3), 129--134.Perotti, R., 1999.Fiscal Policy in Good Times and Bad.The Quarterly Journal of Economics, 114, 1399--1436.Perotti, R., 2005.Estimating the Effects of Fiscal Policy in OECD Countries.CEPR Discussion Papers 4842.Perotti, R., 2007.In Search of the Transmission Mechanism of Fiscal Policy. NBER Working Paper NO. 13143.Ramey, V. A., 2011a.Identifying Government Spending Shocks: It"s All in the Timing.The Quarterly Journal of Economics, 126, 1--50.Ramey, V. A., 2011b. Can Government Purchases Stimulate the Economy?Journal of Economic Literature, 49(3), 673--685.Ramey, V. A., Shapiro, M. D., 1998.Costly Capital Reallocation and the Effects of Government Spending. In: Carnegie－Rochester Conference Series on Public Policy, 48, 145--194.Ramey, V. A., Zubairy, S., 2014.Government Spending Multipliers in Good Time and in Bad: Evidence from U.S. Historical Data. NBER Working Paper No. 20719.Ravn, M. O., 2006.Deep Habits.The Review of Economic Studies, 73, 159--218.Ravn, M. O., Schmitt－Grohé, M., Uribe M., 2012.Consumption, Government Spending, and the Real Exchange Rate.Journal of Monetary Economics, 59, 215--234.Rotemberg, J. J., Woodford, M., 1992. Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity.Journal of Political Economy, 100, 1153--1207.Riera－Crichton, A., Vegh, C. A., Vuletin, G., 2014.Procyclical and Countercyclical Fiscal Multipliers: Evidence from OECD Countries. NBER Working Paper No. 20533.Smets, F., Wouters, R., 2007.Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach.American Economic Review, 97, 586--606.Uhlig, H., 2005.What are the Effects of Monetary Policy? Results from an Agnostic Identification Procedure.Journal of Monetary Economics, 52, 381--419. zh_TW
