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題名 地下經濟與金融發展對經濟成長的影響:追蹤資料的實證研究
The impact of underground economy and financial development on economic growth:a panel data analysis作者 許瑞祐
Hsu, Juei Yu貢獻者 洪福聲
Hung, Fu Sheng
許瑞祐
Hsu, Juei Yu關鍵詞 地下經濟規模
金融發展
門檻迴歸
私部門信貸規模
股市成交值規模
Underground ecoomy
Financial development
Threshold regression
Private credit
Stock trade日期 2017 上傳時間 11-Jul-2017 12:03:33 (UTC+8) 摘要 本文旨在研究地下經濟規模與金融發展對實質人均GDP成長率之影響。我們使用二種不同金融發展資料,分別為私部門信貸規模及股市成交值規模。使用的資料型式為追蹤資料,時間由西元1981年至2008年,國家共22個,其中有14個已開發國家,8個開發中國家。模型部分共採用三種型式,首先為一般線性模型,其次為納入地下經濟規模與金融發展交互作用之非線性模型,最後則是門檻迴歸模型。 結果顯示,在一般線性模型中,地下經濟規模及私部門信貸規模對實質人均GDP成長率的影響並不顯著,而股市成交值規模對實質人均GDP成長率有顯著正面影響。 而在納入地下經濟規模與金融發展之交互作用項後,私部門信貸規模與地下經濟規模的交互作用項對實質人均GDP成長率有顯著負面影響,而股市成交值規模與地下經濟規模之交互作用項對實質人均GDP成長率有負面影響,但不顯著。由上面的結果,我們推斷地下經濟規模與實質人均GDP成長率可能存在著非線性的關係。 在門檻迴歸中,若把顯著水準設在10%,我們發現納入私部門信貸規模與股市成交值規模的模型存在顯著的門檻效果。在門檻迴歸中,若把私部門信貸規模或是股市成交值規模當作門檻變數,當金融發展程度低時,地下經濟規模對實質人均GDP成長率有顯著正面影響,而當金融發展程度高時,地下經濟規模對實質人均GDP成長率的影響並不顯著。 總結來說,我們建議低度金融發展國家適度的允許地下部門發展,因為政府無法干預地下部門,因此地下部門的營運較有效率,適度允許反而有助於提高資本投資的效率,進而促進實質人均GDP成長率。相反地,我們建議高度金融發展國家的政府應限制地下部門的發展。
This paper focuses on linear effects and nonlinear effects of underground economy and financial development on the growth rate of real GDP per capita. Utilizing two alternative measures of financial development, including the size of private credit and stock trade. The analysis relies on a sample of 22 countries for the period 1981-2008, including 14 developed countries and 8 developing countries. We use three different models, including linear model, nonlinear regression with a cross-term and panel threshold model. The results show that in the linear model, underground economy and private credit have no significant impact on the growth rate of real GDP per capita, but stock trade has a significant positive impact on the growth rate of real GDP per capita. Moreover, the interaction between private credit and underground economy has a significant negative impact on the growth rate of real GDP per capita, on the other hand, the interaction between stock trade and underground economy has an insignificant negative impact on the growth rate of real GDP per capita. Hence, we speculate there have a nonlinear effect between underground economy and the growth rate of real GDP per capita. In the panel threshold model, if the level of significance is set in 10%, we find that the model with private credit and stock trade have threshold effect, it implies that the sample can be split into two regimes: High degree of financial development and Low degree of financial development. Underground economy has a significant positive impact on the growth rate of real GDP per capita when private credit is low, so does stock trade. In conclusion, we suggest that it may be optimal for countries with a less developed formal financial sector to accept more tax evasion, because it accelerates the efficiency in capital investment and then facilates the growth rate of real GDP per capita. On the contrary, countries with a more developed formal financial sector should impose more tax compliance.參考文獻 一、中文部分1.沈中華、林昌平 (2009),「金融發展對經濟成長的影響—動態追蹤資料門檻模型」,經濟研究,45(2),143-188。2.李建強 (2006),「金融發展、經濟成長與通貨膨脹的門檻效果」,台灣經濟預測與政策,36(2),77-113。3.韋端、郭彩寶 (1982),「地下經濟問題及對國民經濟影響之初探」,理論與政策,6(2),109-129。4.鄧哲偉 (2002),「我國地下經濟規模變動之研究」,國立中山大學公共事務管理研究所碩士論文。二、英文部分1.Adam, M. and Ginsburgh, V. (1985). The effects of irregular markets on macroeconomic policy: Some estimates for Belgium. European Economic Review, 29(1), 15-33.2.Aigner, D., Schneider, F. and Ghosh, D. (1988). Me and my shadow: estimating the size of the US hidden economy from time series data. Dynamic Econometric Modelling, 224-243.3.Barro, R. J. and Lee, J. W. (2004). IMF Programs: Who is chosen and what are the effects?. mimeograph.4.Barro, R. J. (2000). Inequality and growth in a panel of countries. Journal of Economic Growth, 5(1), 5-32.5.Blackburn, K., Bose, N. and Capasso, S. (2012). Tax evasion, underground economy and financial development. Journal of Economic Behavior and Organization, 83, 243-253.6.Capasso, S. and Jappelli, T. (2012). Financial development and the underground economy. Journal of Development Economics, 101, 167-78.7.Chang, S. C. (2015). Effects of financial developments and income on energy consumption. International Review of Economics and Finance, 35, 28-44.8.Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21, 520-533.9.Checherita, C. and Rother, P. (2010). The impact of high and growing government debt on economic growth: an empirical investigation for the euro area. European Central Bank Working Papers, Series 1237.10.Dabla-Norris, E., Gradstein, M. and Inchauste, G. (2008). What causes firms to hide output ? The determinants of informality. Journal of Development Economics, 85(1), 1-27.11.De Gregorio, J. and Guidotti, P. (1995). Financial development and economic growth. World Development, 23(3), 433-448.12.Diamond, D.W. and Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401-419.13.Eilat, Y. and Clifford, Z. (2000). The evolution of the shadow economy in transition countries: Consequences for economic growth and donor assistance. CAER II Discussion Paper, Series 83. 14.Elgin, C. and Oztunali, O. (2012). Shadow economy around the world: model based estimates. Bogazici University Department of Economics Working Paper.15.Feige, E. L. (1979). How big is the irregular economy?. Challenge, 22(1), 5-13.16.Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.17.Gutmann, P. M. (1977). The subterranean economy. Financial Analysis Journal, 34, 24-27.18.Hansen, B. (1999). Threshold effects in non-dynamic panels: estimation, testing, and inference. Journal of Econometrics, 93(2), 345-368.19.Hansen, B. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica, 64, 413-430.20.Hung, F. S. (2015). Tax evasion financial dualism and economic growth. Academia Economic Papers.21.Ihrig, J. and Moe, K. (2004). Lurking in the shadows: The informal sector and government policy. Journal of Development Economics, 73, 541-577.22.Joreskog, K. G. and Goldberger, A. S. (1975). Estimation of a model with multiple indicators and multiple causes of a single latent variable. Journal of the American Statistical Association, 70, 631-639.23.Kan, K. (2000). Informal capital sources and household investment: Evidence from Taiwan. Journal of Development Economics , 62, 209-232.24.Kaufmann, D. and Kaliberda, A. (1996). Integrating the unofficial into the dynamics of post-socialist economies: A framework of analysis and evidence. World Bank Policy Research Working Paper, Series 1691.25.King, R. G. and Levine, R. (1993). Finance and growth: Schumpeter might be right. Quarterly Journal of Economics, 108(3), 717-737.26.Kormendi, R. C. and Meguire, P. G. (1985). Macroeconomic determinants of growth: Cross-country evidence. Journal of Monetary Economics, 16, 141-163.27.Khan, M. and Senhadji, A. (2003). Financial development and economic growth: A review and new evidence. Journal of African Economies, 12, 89-110.28.La Porta, R. and Shleifer. A. (2008). The unofficial economy and economic development. Brookings Papers on Economic Activity, 2008(2), 275-363.29.Levine, R. and Zervos, R. (1998). Stock markets, banks, and economic growth. The American Economic Review, 88(3), 537-558.30.Levine, R. (1991). Stock market, growth and tax Policy. Journal of Finance, 46(4), 1445-1465.31.Loayza, N. V. (1996). The economics of the informal sector: A simple model and some empirical evidence from Latin America. World Bank Policy Research Working Paper, Series 1727.32.Lucas, R. E. (1988). On the mechanics of economic development. Journal of Monetary Economics, 22, 3-42. 33.MacAfee, K. (1980). A glimpse of the hidden economy in the national accounts. Economic Trends, 136, 81-87.34.Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive moving average models of unknown order. Biometrika, 71, 599-607.35.Schneider, F. (1998). Stellt das anwachsen der schwarzarbeit eine wirtschaftspolitische herausforderung dar ? Einige gedanken aus volkswirtschaftlicher sicht. Linz. Mitteilungen des Instituts für angewandte Wirtschaftsforschung, 98(1), 4-13.36.Schneider, F. and Hofreither, M. F. (1986). Measuring the size of the shadoweconomy. Can the obstacles be overcome?. Economic Affairs, 7, 18-23.37.Smith, P. (1994). Assessing the size of the underground economy: The statistics Canada perspectives. Canadian Economic Observer, 7, 3.16-3.33.38.Tanzi, V. (1983). The underground economy in the United States: Annual estimates, 1931-1980. IMF Staff Papers, 30, 283-305.39.Tanzi, V. (1980). The underground economy in the United States: Estimates and implications. Banca Nazionale del Lavoro Quarterly Journal, 135, 427-453.40.Tong, H. (1978). On a threshold model. Pattern Recognition and Signal Processing. 描述 碩士
國立政治大學
經濟學系
104258001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104258001 資料類型 thesis dc.contributor.advisor 洪福聲 zh_TW dc.contributor.advisor Hung, Fu Sheng en_US dc.contributor.author (Authors) 許瑞祐 zh_TW dc.contributor.author (Authors) Hsu, Juei Yu en_US dc.creator (作者) 許瑞祐 zh_TW dc.creator (作者) Hsu, Juei Yu en_US dc.date (日期) 2017 en_US dc.date.accessioned 11-Jul-2017 12:03:33 (UTC+8) - dc.date.available 11-Jul-2017 12:03:33 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2017 12:03:33 (UTC+8) - dc.identifier (Other Identifiers) G0104258001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110849 - 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) 104258001 zh_TW dc.description.abstract (摘要) 本文旨在研究地下經濟規模與金融發展對實質人均GDP成長率之影響。我們使用二種不同金融發展資料,分別為私部門信貸規模及股市成交值規模。使用的資料型式為追蹤資料,時間由西元1981年至2008年,國家共22個,其中有14個已開發國家,8個開發中國家。模型部分共採用三種型式,首先為一般線性模型,其次為納入地下經濟規模與金融發展交互作用之非線性模型,最後則是門檻迴歸模型。 結果顯示,在一般線性模型中,地下經濟規模及私部門信貸規模對實質人均GDP成長率的影響並不顯著,而股市成交值規模對實質人均GDP成長率有顯著正面影響。 而在納入地下經濟規模與金融發展之交互作用項後,私部門信貸規模與地下經濟規模的交互作用項對實質人均GDP成長率有顯著負面影響,而股市成交值規模與地下經濟規模之交互作用項對實質人均GDP成長率有負面影響,但不顯著。由上面的結果,我們推斷地下經濟規模與實質人均GDP成長率可能存在著非線性的關係。 在門檻迴歸中,若把顯著水準設在10%,我們發現納入私部門信貸規模與股市成交值規模的模型存在顯著的門檻效果。在門檻迴歸中,若把私部門信貸規模或是股市成交值規模當作門檻變數,當金融發展程度低時,地下經濟規模對實質人均GDP成長率有顯著正面影響,而當金融發展程度高時,地下經濟規模對實質人均GDP成長率的影響並不顯著。 總結來說,我們建議低度金融發展國家適度的允許地下部門發展,因為政府無法干預地下部門,因此地下部門的營運較有效率,適度允許反而有助於提高資本投資的效率,進而促進實質人均GDP成長率。相反地,我們建議高度金融發展國家的政府應限制地下部門的發展。 zh_TW dc.description.abstract (摘要) This paper focuses on linear effects and nonlinear effects of underground economy and financial development on the growth rate of real GDP per capita. Utilizing two alternative measures of financial development, including the size of private credit and stock trade. The analysis relies on a sample of 22 countries for the period 1981-2008, including 14 developed countries and 8 developing countries. We use three different models, including linear model, nonlinear regression with a cross-term and panel threshold model. The results show that in the linear model, underground economy and private credit have no significant impact on the growth rate of real GDP per capita, but stock trade has a significant positive impact on the growth rate of real GDP per capita. Moreover, the interaction between private credit and underground economy has a significant negative impact on the growth rate of real GDP per capita, on the other hand, the interaction between stock trade and underground economy has an insignificant negative impact on the growth rate of real GDP per capita. Hence, we speculate there have a nonlinear effect between underground economy and the growth rate of real GDP per capita. In the panel threshold model, if the level of significance is set in 10%, we find that the model with private credit and stock trade have threshold effect, it implies that the sample can be split into two regimes: High degree of financial development and Low degree of financial development. Underground economy has a significant positive impact on the growth rate of real GDP per capita when private credit is low, so does stock trade. In conclusion, we suggest that it may be optimal for countries with a less developed formal financial sector to accept more tax evasion, because it accelerates the efficiency in capital investment and then facilates the growth rate of real GDP per capita. On the contrary, countries with a more developed formal financial sector should impose more tax compliance. en_US dc.description.tableofcontents 第壹章 緒論 1第一節 研究動機與目的 1第二節 研究流程 3第貳章 文獻回顧 4第一節 地下經濟的定義與估計方法 4第二節 地下經濟與經濟成長之文獻探討 7第三節 金融發展與經濟成長之文獻探討 9第四節 金融發展與地下經濟之文獻探討 10第五節 門檻迴歸模型之文獻探討 11第參章 研究設計 13第一節 控制變數與金融發展變數 13第二節 地下經濟規模推導及變數定義 153.2.1 地下經濟規模推導與估算 153.2.2 變數的定義與衡量 18第三節 模型設定 23第四節 門檻迴歸推導 26第肆章 實證結果 31第一節 資料描述與敘述統計 31第二節 相關係數矩陣與單根檢定 33第三節 實證結果與分析 36第伍章 結論與建議 43第一節 結論 43第二節 建議 44參考文獻 45附錄一 通膨改採GDP deflator之實證結果 48附錄二 門檻迴歸圖形 51 zh_TW dc.format.extent 1660859 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104258001 en_US dc.subject (關鍵詞) 地下經濟規模 zh_TW dc.subject (關鍵詞) 金融發展 zh_TW dc.subject (關鍵詞) 門檻迴歸 zh_TW dc.subject (關鍵詞) 私部門信貸規模 zh_TW dc.subject (關鍵詞) 股市成交值規模 zh_TW dc.subject (關鍵詞) Underground ecoomy en_US dc.subject (關鍵詞) Financial development en_US dc.subject (關鍵詞) Threshold regression en_US dc.subject (關鍵詞) Private credit en_US dc.subject (關鍵詞) Stock trade en_US dc.title (題名) 地下經濟與金融發展對經濟成長的影響:追蹤資料的實證研究 zh_TW dc.title (題名) The impact of underground economy and financial development on economic growth:a panel data analysis en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分1.沈中華、林昌平 (2009),「金融發展對經濟成長的影響—動態追蹤資料門檻模型」,經濟研究,45(2),143-188。2.李建強 (2006),「金融發展、經濟成長與通貨膨脹的門檻效果」,台灣經濟預測與政策,36(2),77-113。3.韋端、郭彩寶 (1982),「地下經濟問題及對國民經濟影響之初探」,理論與政策,6(2),109-129。4.鄧哲偉 (2002),「我國地下經濟規模變動之研究」,國立中山大學公共事務管理研究所碩士論文。二、英文部分1.Adam, M. and Ginsburgh, V. (1985). The effects of irregular markets on macroeconomic policy: Some estimates for Belgium. European Economic Review, 29(1), 15-33.2.Aigner, D., Schneider, F. and Ghosh, D. (1988). Me and my shadow: estimating the size of the US hidden economy from time series data. Dynamic Econometric Modelling, 224-243.3.Barro, R. J. and Lee, J. W. (2004). IMF Programs: Who is chosen and what are the effects?. mimeograph.4.Barro, R. J. (2000). Inequality and growth in a panel of countries. Journal of Economic Growth, 5(1), 5-32.5.Blackburn, K., Bose, N. and Capasso, S. (2012). Tax evasion, underground economy and financial development. Journal of Economic Behavior and Organization, 83, 243-253.6.Capasso, S. and Jappelli, T. (2012). Financial development and the underground economy. Journal of Development Economics, 101, 167-78.7.Chang, S. C. (2015). Effects of financial developments and income on energy consumption. International Review of Economics and Finance, 35, 28-44.8.Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21, 520-533.9.Checherita, C. and Rother, P. (2010). The impact of high and growing government debt on economic growth: an empirical investigation for the euro area. European Central Bank Working Papers, Series 1237.10.Dabla-Norris, E., Gradstein, M. and Inchauste, G. (2008). What causes firms to hide output ? The determinants of informality. Journal of Development Economics, 85(1), 1-27.11.De Gregorio, J. and Guidotti, P. (1995). Financial development and economic growth. World Development, 23(3), 433-448.12.Diamond, D.W. and Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401-419.13.Eilat, Y. and Clifford, Z. (2000). The evolution of the shadow economy in transition countries: Consequences for economic growth and donor assistance. CAER II Discussion Paper, Series 83. 14.Elgin, C. and Oztunali, O. (2012). Shadow economy around the world: model based estimates. Bogazici University Department of Economics Working Paper.15.Feige, E. L. (1979). How big is the irregular economy?. Challenge, 22(1), 5-13.16.Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120.17.Gutmann, P. M. (1977). The subterranean economy. Financial Analysis Journal, 34, 24-27.18.Hansen, B. (1999). Threshold effects in non-dynamic panels: estimation, testing, and inference. Journal of Econometrics, 93(2), 345-368.19.Hansen, B. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica, 64, 413-430.20.Hung, F. S. (2015). Tax evasion financial dualism and economic growth. Academia Economic Papers.21.Ihrig, J. and Moe, K. (2004). Lurking in the shadows: The informal sector and government policy. Journal of Development Economics, 73, 541-577.22.Joreskog, K. G. and Goldberger, A. S. (1975). Estimation of a model with multiple indicators and multiple causes of a single latent variable. Journal of the American Statistical Association, 70, 631-639.23.Kan, K. (2000). Informal capital sources and household investment: Evidence from Taiwan. Journal of Development Economics , 62, 209-232.24.Kaufmann, D. and Kaliberda, A. (1996). Integrating the unofficial into the dynamics of post-socialist economies: A framework of analysis and evidence. World Bank Policy Research Working Paper, Series 1691.25.King, R. G. and Levine, R. (1993). Finance and growth: Schumpeter might be right. Quarterly Journal of Economics, 108(3), 717-737.26.Kormendi, R. C. and Meguire, P. G. (1985). Macroeconomic determinants of growth: Cross-country evidence. Journal of Monetary Economics, 16, 141-163.27.Khan, M. and Senhadji, A. (2003). Financial development and economic growth: A review and new evidence. Journal of African Economies, 12, 89-110.28.La Porta, R. and Shleifer. A. (2008). The unofficial economy and economic development. Brookings Papers on Economic Activity, 2008(2), 275-363.29.Levine, R. and Zervos, R. (1998). Stock markets, banks, and economic growth. The American Economic Review, 88(3), 537-558.30.Levine, R. (1991). Stock market, growth and tax Policy. Journal of Finance, 46(4), 1445-1465.31.Loayza, N. V. (1996). The economics of the informal sector: A simple model and some empirical evidence from Latin America. World Bank Policy Research Working Paper, Series 1727.32.Lucas, R. E. (1988). On the mechanics of economic development. Journal of Monetary Economics, 22, 3-42. 33.MacAfee, K. (1980). A glimpse of the hidden economy in the national accounts. Economic Trends, 136, 81-87.34.Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive moving average models of unknown order. Biometrika, 71, 599-607.35.Schneider, F. (1998). Stellt das anwachsen der schwarzarbeit eine wirtschaftspolitische herausforderung dar ? 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