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題名 財政管理法則對總體經濟與國家財政之影響：DSGE模型與實證迴歸分析
The Effects of Fiscal Regulation Rules on Macroeconomy and Fiscal Performance: Lessons from DSGE Models and Empirical Regressions作者 石恩銘
Shih, En-Ming貢獻者 陳國樑<br>朱琇妍
Chen, Joe<br>Chu, Shiou-Yen
石恩銘
Shih, En-Ming關鍵詞 財政紀律
財政管理
預算平衡
未償債務日期 2022 上傳時間 2-Sep-2022 15:28:17 (UTC+8) 摘要 許多國家透過「財政管理法則」(fiscal regulation rules) 立法避免政府財政赤字過大，拖累整體經濟，此類法規主要經由政府「預算平衡規則」(balanced budget rules)、或設立「舉債上限」(debt limit) 而為。財政管理法則通常會設定一個具體的預算平衡數或未償債務餘額作為目標，要求政府的債務政策須以達成該目標為前提方可實施；唯在國家遭遇重大危機時，允許政府舉債可以暫時不受財政管理法則約束，直到危機結束後，再調整至原來的法定目標。由前述可知，財政管理法則是管理政府債務的政策依據，對於國家預算平衡與總體經濟政策有重要的影響。然而，在目前的總體經濟研究中，較少討論財政管理法則的經濟效果；在實證研究上，學界對於財政管理法則之有效性尚未有一致共識。因此，本研究試從不同的面向，對財政管理法則進行研究：第一部分以動態隨機一般均衡模型 (dynamic stochastic general equilibrium model，DSGE模型) 為理論架構，建構一個新凱因斯模型 (New Keynesian model)，分析預算平衡規則與債限規則對總體經濟與政府財政的影響；第二部分則是在原本的DSGE模型架構中加入貝氏估計，透過實際國家資料估計出模型參數值，以分析實施財政管理法則後，政府是否會更積極調整債務達成法定的財政目標；第三部分則是以186國自1990年至2015年的資料作為對象，建立一般最小平方法 (ordinary least squares，OLS)、二元固定效果模型 (two-way fixed effect model) 以及工具變數法 (instrumental variable)，分析預算平衡規則或債限規則之政策效果 (treatment effect)。在第二章的部分，透過DSGE模型的分析，本研究得出四個主要發現：第一，相較於實施債限規則，實施預算平衡規則會增強外生衝擊對總體經濟變數的影響，產出、勞動、資本以及投資會有更好表現；第二，一般而言，預算平衡規則與債限規則皆使個人當期消費減少，唯前者在趨勢上持續下降，但後者則傾向回升。另外，當消費稅稅率的外生衝擊發生時，預算平衡規則與債限規則下的當期消費皆會增加，但後續的變化趨勢則無明顯改變；第三，實施預算平衡規則最有助於提高主要預算平衡數 (primary balance)，並讓政府的未償債務餘額持續下降；而債限規則下的政府債務僅在一開始減少，後續反而增加，使得政府未來必須籌措更多的稅收進行償債；第四，不論係實施預算平衡規則或債限規則，在相同的技術衝擊下，產出等經濟變數的當期表現皆優於未實施財政管理法則，但在二種財政管理法則之間並無明顯差異。第三章的部分則以瑞士和波蘭作為研究對象進行貝氏估計，分析結果顯示：瑞士在實施預算平衡規則後，其政府會更傾向以主要預算平衡數比例缺口作為債務增加或減少的依據，當該比例偏離目標值時，政府會增加或減少比實施之前更多的債務，以弭平財政赤字或剩餘。此外，實施預算平衡規則後也會改變外生衝擊對瑞士經濟的影響，其中，政府支出衝擊、消費稅稅率衝擊以及薪資所得稅稅率衝擊的刺激效果減少，而技術衝擊、資本所得稅稅率衝擊與股利所得稅衝擊之效果增加；在波蘭的部分，實施債限規則以後，政府會傾向維持既有的債務水準，對於未償債務餘額比例缺口與產出缺口所作的債務調整，在實施規則之前與之後並無明顯變化。另外，債限規則也會改變模型內的各項參數，使得波蘭的消費稅稅率衝擊、薪資所得稅稅率衝擊、資本所得稅稅率衝擊以及技術衝擊之刺激效果減弱，而政府支出衝擊與股利所得稅稅率衝擊的刺激效果則會增加。第四章的部分則為實證迴歸分析，本研究以186個國家為主要研究對象，按IMF財政管理法則資料庫 (Fiscal Rules Dataset) 之分類，辨別實施預算平衡規則或債限規則的國家，將之設定為迴歸模型中的虛擬變數 (dummy variable)，分析預算平衡規則或債限規則對國家財政之影響，並比較二者之效果差異。透過實證分析發現：第一，同時採用預算平衡規則與債限規則最能有效改善政府財政表現，其次則為實施預算平衡規則；第二，預算平衡規則與債限規則的政策有效性可能來源自兩種規則同時採用的國家，一旦在迴歸分析中排除此類國家，兩種財政管理法則對政府財政表現皆呈現不顯著；最後，在工具變數法的模型中，同時實施兩種財政管理法則以及實施預算平衡規則仍然顯著有效，但政策效果呈現縮小，而債限規則的效果則不顯著。 參考文獻 汪震亞 (2014) 「歐債危機爆發後的歐洲經濟整合之發展」，《經濟研究》，14，208–235。黃俞寧 (2013) 「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，《中央銀行季刊》，35，3–34。陳旭昇與湯茹茵 (2012) 「動態隨機一般均衡 (DSGE) 模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望」，《經濟論文叢刊》，40，289–323。Abrams, B. and W. 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國立政治大學
財政學系
106255502資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106255502 資料類型 thesis dc.contributor.advisor 陳國樑<br>朱琇妍 zh_TW dc.contributor.advisor Chen, Joe<br>Chu, Shiou-Yen en_US dc.contributor.author (Authors) 石恩銘 zh_TW dc.contributor.author (Authors) Shih, En-Ming en_US dc.creator (作者) 石恩銘 zh_TW dc.creator (作者) Shih, En-Ming en_US dc.date (日期) 2022 en_US dc.date.accessioned 2-Sep-2022 15:28:17 (UTC+8) - dc.date.available 2-Sep-2022 15:28:17 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2022 15:28:17 (UTC+8) - dc.identifier (Other Identifiers) G0106255502 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141750 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財政學系 zh_TW dc.description (描述) 106255502 zh_TW dc.description.abstract (摘要) 許多國家透過「財政管理法則」(fiscal regulation rules) 立法避免政府財政赤字過大，拖累整體經濟，此類法規主要經由政府「預算平衡規則」(balanced budget rules)、或設立「舉債上限」(debt limit) 而為。財政管理法則通常會設定一個具體的預算平衡數或未償債務餘額作為目標，要求政府的債務政策須以達成該目標為前提方可實施；唯在國家遭遇重大危機時，允許政府舉債可以暫時不受財政管理法則約束，直到危機結束後，再調整至原來的法定目標。由前述可知，財政管理法則是管理政府債務的政策依據，對於國家預算平衡與總體經濟政策有重要的影響。然而，在目前的總體經濟研究中，較少討論財政管理法則的經濟效果；在實證研究上，學界對於財政管理法則之有效性尚未有一致共識。因此，本研究試從不同的面向，對財政管理法則進行研究：第一部分以動態隨機一般均衡模型 (dynamic stochastic general equilibrium model，DSGE模型) 為理論架構，建構一個新凱因斯模型 (New Keynesian model)，分析預算平衡規則與債限規則對總體經濟與政府財政的影響；第二部分則是在原本的DSGE模型架構中加入貝氏估計，透過實際國家資料估計出模型參數值，以分析實施財政管理法則後，政府是否會更積極調整債務達成法定的財政目標；第三部分則是以186國自1990年至2015年的資料作為對象，建立一般最小平方法 (ordinary least squares，OLS)、二元固定效果模型 (two-way fixed effect model) 以及工具變數法 (instrumental variable)，分析預算平衡規則或債限規則之政策效果 (treatment effect)。在第二章的部分，透過DSGE模型的分析，本研究得出四個主要發現：第一，相較於實施債限規則，實施預算平衡規則會增強外生衝擊對總體經濟變數的影響，產出、勞動、資本以及投資會有更好表現；第二，一般而言，預算平衡規則與債限規則皆使個人當期消費減少，唯前者在趨勢上持續下降，但後者則傾向回升。另外，當消費稅稅率的外生衝擊發生時，預算平衡規則與債限規則下的當期消費皆會增加，但後續的變化趨勢則無明顯改變；第三，實施預算平衡規則最有助於提高主要預算平衡數 (primary balance)，並讓政府的未償債務餘額持續下降；而債限規則下的政府債務僅在一開始減少，後續反而增加，使得政府未來必須籌措更多的稅收進行償債；第四，不論係實施預算平衡規則或債限規則，在相同的技術衝擊下，產出等經濟變數的當期表現皆優於未實施財政管理法則，但在二種財政管理法則之間並無明顯差異。第三章的部分則以瑞士和波蘭作為研究對象進行貝氏估計，分析結果顯示：瑞士在實施預算平衡規則後，其政府會更傾向以主要預算平衡數比例缺口作為債務增加或減少的依據，當該比例偏離目標值時，政府會增加或減少比實施之前更多的債務，以弭平財政赤字或剩餘。此外，實施預算平衡規則後也會改變外生衝擊對瑞士經濟的影響，其中，政府支出衝擊、消費稅稅率衝擊以及薪資所得稅稅率衝擊的刺激效果減少，而技術衝擊、資本所得稅稅率衝擊與股利所得稅衝擊之效果增加；在波蘭的部分，實施債限規則以後，政府會傾向維持既有的債務水準，對於未償債務餘額比例缺口與產出缺口所作的債務調整，在實施規則之前與之後並無明顯變化。另外，債限規則也會改變模型內的各項參數，使得波蘭的消費稅稅率衝擊、薪資所得稅稅率衝擊、資本所得稅稅率衝擊以及技術衝擊之刺激效果減弱，而政府支出衝擊與股利所得稅稅率衝擊的刺激效果則會增加。第四章的部分則為實證迴歸分析，本研究以186個國家為主要研究對象，按IMF財政管理法則資料庫 (Fiscal Rules Dataset) 之分類，辨別實施預算平衡規則或債限規則的國家，將之設定為迴歸模型中的虛擬變數 (dummy variable)，分析預算平衡規則或債限規則對國家財政之影響，並比較二者之效果差異。透過實證分析發現：第一，同時採用預算平衡規則與債限規則最能有效改善政府財政表現，其次則為實施預算平衡規則；第二，預算平衡規則與債限規則的政策有效性可能來源自兩種規則同時採用的國家，一旦在迴歸分析中排除此類國家，兩種財政管理法則對政府財政表現皆呈現不顯著；最後，在工具變數法的模型中，同時實施兩種財政管理法則以及實施預算平衡規則仍然顯著有效，但政策效果呈現縮小，而債限規則的效果則不顯著。 zh_TW dc.description.tableofcontents 第一章 緒論…………………………………………………………………….1第一節 前言……………………………………………………………………….1第二節 研究架構與方法…………………………………………………………3一、DSGE模型之研究架構……………………………………………..4二、貝氏估計之研究架構………………………………………………….6三、實證迴歸之研究架構…………………………………………………….7第二章 預算平衡規則與債限規則對於總體經濟之影響分析…………….13第一節 研究動機………………………………………………………..13第二節 文獻回顧—DSGE模型在財政政策議題上的應用 …………..14第三節 DSGE模型設定與分析……………………………………………..16一、家計單位…………………………………………………………………16二、廠商部門…………………………………………………………………17三、政府部門…………………………………………………………………22四、一階自我迴歸模型…………………………………………………….25五、市場結清條件………………………………………………………………26六、模型校準………………………………………………………………27七、穩定狀態…………………………………………………………………29八、對數線性化過程………………………………………………………..30九、模型分析與結果………………………………………………………..31第四節 小結………………………………………………………………..44第三章 貝氏估計在財政管理法則上的應用—以瑞士與波蘭為例……..47第一節 研究動 47第二節 研究步驟與方 48一、第一步驟：選擇進行貝氏估計的國家以及其模型架構……………….48二、第二步驟：設定欲估計之參數以及其先驗分配…………………………..50三、第三步驟：選定研究資料並作成模型可操作的形式……………………55四、第四步驟：將資料輸入Dynare進行估計……………………………..55第三節 研究資料…………………………………………………………..56第四節 貝氏估計結果……………………………………………………60一、預算平衡組—瑞士…………………………………………………….60二、債限組—波蘭…………………………………………………………70第五節 小結…………………………………………………………………..80第四章 財政管理機制與財政表現之分析……………………………………83第一節 研究動機………………………………………………………..83第二節 文獻回顧—財政管理法則的學理基礎與實證研究…………………………84一、時間不一致問題與財政管理法則……………………………….84二、政治經濟學對財政管理法則之觀點…………………………………85三、財政管理法則之不同意見………………………………………………86四、實證研究對財政管理法則的政策效果分析…………………………………..87第三節 資料與模型設計………………………………………………………….90一、資料……………………………………………………………………90二、模型…………………………………………………………………96第四節 迴歸結果……………………………………………………………100一、最小平方法……………………………………………………………..100二、二元固定效果模型……………………………………………………….102三、工具變數法………………………………………………………………..105第五節 穩健性測 109一、極端值測試 109二、更換衡量政府財政表現的指標……………………………….110三、平行趨勢假設檢定…………………………………………….111四、匹配法結合差異中的差異分析…………………………………….112五、財政管理法則實施前後經濟條件是否改變………………………113第六節 小結………………………………………………………………………114第五章 結論……………………………………………………………..117第一節 論文總結……………………………………………………………117第二節 政策建議………………………………………………………………119第三節 研究限制……………………………………………………………119第四節 未來展望………………………………………………………………121附錄……………………………………………………………………………..126附錄A. 各國實施財政管理法則之類型…………………………………..126附錄B. 政府舉債上限試算舉例…………………………………………….129附錄C. 存量流量調整數……………………………………………………..131附錄D. 歐盟、歐元區財政改革回顧……………………………………….132附錄E. 新凱因斯菲利浦曲線的推導……………………………………….136附錄F. 穩定狀態………………………………………………………………138附錄G. 對數線性化方法…………………………………………………….140附錄H. 先驗分配與後驗分配圖形………………………………………..143附錄I. 穩健性測試結果表格………………………………………………148參考文獻……………………………………………………………………167 zh_TW dc.format.extent 9425748 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106255502 en_US dc.subject (關鍵詞) 財政紀律 zh_TW dc.subject (關鍵詞) 財政管理 zh_TW dc.subject (關鍵詞) 預算平衡 zh_TW dc.subject (關鍵詞) 未償債務 zh_TW dc.title (題名) 財政管理法則對總體經濟與國家財政之影響：DSGE模型與實證迴歸分析 zh_TW dc.title (題名) The Effects of Fiscal Regulation Rules on Macroeconomy and Fiscal Performance: Lessons from DSGE Models and Empirical Regressions en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 汪震亞 (2014) 「歐債危機爆發後的歐洲經濟整合之發展」，《經濟研究》，14，208–235。黃俞寧 (2013) 「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，《中央銀行季刊》，35，3–34。陳旭昇與湯茹茵 (2012) 「動態隨機一般均衡 (DSGE) 模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望」，《經濟論文叢刊》，40，289–323。Abrams, B. and W. 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