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題名 臺灣的經濟成長與地下經濟：ARDL分析
Underground Economy and Economic Growth of Taiwan：The ARDL Approach作者 陳柏臻
Chen, Po-Chen貢獻者 洪福聲
Hung, Fu-Sheng
陳柏臻
Chen, Po-Chen關鍵詞 經濟成長
地下經濟
自我迴歸遞延分配模型
長期關係
Economic Growth
Underground Economy
Autoregressive Distributed Lag Model
Long-term Relationship日期 2024 上傳時間 4-Sep-2024 14:39:36 (UTC+8) 摘要 地下經濟的存在可能使官方統計之經濟指標失真，亦使國家稅基遭受侵蝕，進一步影響國家財政健全，如何控制其發展更是所有國家的重要課題。本文擷取台灣1990至2016共計27年之季資料，以台灣實質GDP成長率為因變數、MCDR法估計之地下經濟規模成長率、出口佔GDP比率之年增率、人口成長年增率、民間固定資本形成毛額年增率、M1B貨幣供給年增率、消費者物價指數年增率、重大事件虛擬變數等季資料為自變數，使用自我迴歸遞延分配模型 (autoregressive distributed lag model, 以下簡稱ARDL），分析地下經濟規模對經濟成長的影響。實證結果顯示變數間具有一組長期共整合關係，地下經濟規模成長率、出口佔GDP比率之年增率、人口成長率、貨幣供給年增率與民間固定資本形成毛額年增率之迴歸係數均呈現顯著。將地下經濟轉變為地上經濟活動需要政府機關與民間共同努力，擁有穩定且充足的財政基礎，才能使政府將稅收有效率地分配。
The existence of the underground economy may distort official economic indicators and erode the national tax base, further affecting the soundness of national finances. Controlling its development is a critical issue for all countries. This study analyzes the impact of the underground economy on economic growth in Taiwan using 27 years of quarterly data from 1990 to 2016. The dependent variable is Taiwan's real GDP growth rate, and the independent variables include the growth rate of the underground economy (estimated using the MCDR method), the annual growth rate of the ratio of exports to GDP, the annual population growth rate, the annual growth rate of gross fixed capital formation by the private sector, the annual growth rate of M1B money supply, the annual growth rate of the consumer price index, and dummy variables for significant events. The autoregressive distributed lag model (ARDL) was employed for analysis. The empirical results show that there is a long-term cointegrated relationship among the variables, and the regression coefficients for the growth rate of the underground economy, the annual growth rate of the ratio of exports to GDP, the population growth rate, the growth rate of money supply, and the annual growth rate of gross fixed capital formation by the private sector are all significant. Transforming underground economic activities into above-ground ones requires joint efforts from government agencies and the private sector. A stable and sufficient fiscal foundation is essential for the government to efficiently allocate tax revenues.參考文獻 中文部分 江永基 (2001)，政府政策與經濟成長─台灣、日本和南韓的實證研究，國立清華大學碩士論文。 李庸三與錢釧燈 (1997)，台灣地下經濟論文集，台北市，聯經。 林朕陞 (2024)，我國地下/非正式經濟的發展，APEC News Letter， 270, 9-12。 林朕陞 (2019)，台灣地下經濟的三個議題，國立政治大學經濟學研究所博士學位論文。 林朕陞、洪福聲與朱美麗 (2020)，租稅負擔與地下經濟的門檻效果—台灣的實證研究，中央研究院經濟研究所經濟論文，48:4, 511-555。 林朕陞與洪福聲 (2019)，台灣的金融發展和經濟成長：地下經濟的角色，經濟研究，台北大學經濟學系出版，55:1, 71-144。 許瑞祐 (2017)，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，國立政治大學經濟學研究所論文。 陳品廷 (2024)，固定資本形成對經濟成長率之影響分析，國立中正大學經濟系國際經濟學研究所碩士論文。 陳建霖 (2002)，西太平洋地區國家總體變量與經濟成長的比較研究，國立東華大學碩士論文。 傅敬堯 (2017)，台灣的地下經濟與稅制改革，國立中山大學經濟學研究所碩士論文。 塗玉卉（2013），失業率與台灣總體經濟因素的關係，真理大學碩士文。 葉惠娟 (2005)，影響台灣經濟成長之關鍵因素分析，中華大學經營管理研究所碩士論文。 廖逸文 (2022)，總體經濟變數對核心通膨的影響 ARDL模型分析，國立台灣大學社會科學院經濟學系在職專班碩士論文。 戴韻珊 (2004)，台灣地下經濟之探討—MIMIC模型之應用，國立中正大學國際經濟研究所碩士論文。 英文部分 Barro, R. J. (1996). Inflation and growth. Review-Federal Reserve Bank of Saint Louis, 78, 153-169. Birinci, S. (2013). Trade openness, growth, and informality: Panel VAR evidence from OECD economies. Economics Bulletin, 33(1), 694-705. Bovi, M. (2004). Underground Shocks Ground Zero Responses. Bruno, M., & Easterly, W. (1998). Inflation crises and long-run growth. Journal of Monetary economics, 41(1), 3-26. Bukhari, S., Ali, L., & Saddaqat, M. (2007). Public investment and economic growth in the three little dragons: evidence from heterogeneous dynamic panel data. International Journal of Business and Information, 2(1), 57-79. Chaitip, P., Chokethaworn, K., Chaiboonsri, C., and Khounkhalax, M. (2015). Money supply influencing on economic growth-wide phenomena of AEC open region. Procedia Economics and Finance, 24, 108-115. Davidson, J. E., Hendry, D. F., Srba, F., and Yeo, S. (1978). Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom. The economic journal, 88(352), 661-692. Din, B. H. (2016), “Estimating the Determinants of Shadow Economy in Malaysia,” Malaysian Journal of Society and Space, 12, 191–201. Duarte, P. (2017). The relationship between GDP and the size of the informal economy: Empirical evidence for Spain. Empirical Economics, 52, 1409-1421. Feige, E. L. (1979). How big is irregular economy? Challenge, 22(2), 5-13. Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary economics, 32(3), 485-512. Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120. Gutmann, P. M. (1977). The subterranean economy. Financial Analysis Journal, 34, 24-27. Jöreskog, K. G., & 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(351a), 631-639. 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. 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. MacAfee, K. (1980). A glimpse of the hidden economy in the national accounts. Economic Trends, 136, 81-87. Page, E. S. (1954). Continuous inspection schemes. Biometrika, 41(1/2), 100-115. Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. Pickhardt, M. and J. Sardà (2011), “The Size of the Underground Economy in Germany: A Correction of the Record and New Evidence from the Modified-Cash-Deposit-Ratio Approach,” European Journal of Law and Economics, 32, 143-163. Schneider, F. (1998). Stellt das Anwachsen der Schwarzarbeit eine wirtschaftspolitische Herausforderung dar?: Einige Gedanken aus volkswirtschaftlicher Sicht. Inst. für Volkswirtschaft. Schneider, F. and Hofreither, M. F. (1986). Measuring the size of the shadoweconomy. Can the obstacles be overcome? Economic Affairs, 7, 18-23. Smith, P. (1994). Assessing the size of the underground economy: The statistics Canada perspectives. Canadian Economic Observer, 7, 3.16-3.33. Smith, P. M. (1997). Assessing the size of the underground economy: The statistics Canada perspective. The Underground Economy: Global Evidence of its Size and Impact, 11-37. Tanzi, V. (1980). The underground economy in the United States: Estimates and implications. Banca Nazionale del Lavoro Quarterly Journal, 135, 427-453. Tanzi, V. (1983). The Underground Economy in the United States: Annual Estimates, 1930-80. IMF Staff Papers, 30, 283-305. Yelwa, M., & Adam, A. (2017). Informality and economic growth in Nigeria: 1980-2014. Journal of Economics and Public Finance, 3(3), 405-417. 描述 碩士
國立政治大學
經濟學系
111258033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111258033 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) 陳柏臻 zh_TW dc.contributor.author (Authors) Chen, Po-Chen en_US dc.creator (作者) 陳柏臻 zh_TW dc.creator (作者) Chen, Po-Chen en_US dc.date (日期) 2024 en_US dc.date.accessioned 4-Sep-2024 14:39:36 (UTC+8) - dc.date.available 4-Sep-2024 14:39:36 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2024 14:39:36 (UTC+8) - dc.identifier (Other Identifiers) G0111258033 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153297 - 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) 111258033 zh_TW dc.description.abstract (摘要) 地下經濟的存在可能使官方統計之經濟指標失真，亦使國家稅基遭受侵蝕，進一步影響國家財政健全，如何控制其發展更是所有國家的重要課題。本文擷取台灣1990至2016共計27年之季資料，以台灣實質GDP成長率為因變數、MCDR法估計之地下經濟規模成長率、出口佔GDP比率之年增率、人口成長年增率、民間固定資本形成毛額年增率、M1B貨幣供給年增率、消費者物價指數年增率、重大事件虛擬變數等季資料為自變數，使用自我迴歸遞延分配模型 (autoregressive distributed lag model, 以下簡稱ARDL），分析地下經濟規模對經濟成長的影響。實證結果顯示變數間具有一組長期共整合關係，地下經濟規模成長率、出口佔GDP比率之年增率、人口成長率、貨幣供給年增率與民間固定資本形成毛額年增率之迴歸係數均呈現顯著。將地下經濟轉變為地上經濟活動需要政府機關與民間共同努力，擁有穩定且充足的財政基礎，才能使政府將稅收有效率地分配。 zh_TW dc.description.abstract (摘要) The existence of the underground economy may distort official economic indicators and erode the national tax base, further affecting the soundness of national finances. Controlling its development is a critical issue for all countries. This study analyzes the impact of the underground economy on economic growth in Taiwan using 27 years of quarterly data from 1990 to 2016. The dependent variable is Taiwan's real GDP growth rate, and the independent variables include the growth rate of the underground economy (estimated using the MCDR method), the annual growth rate of the ratio of exports to GDP, the annual population growth rate, the annual growth rate of gross fixed capital formation by the private sector, the annual growth rate of M1B money supply, the annual growth rate of the consumer price index, and dummy variables for significant events. The autoregressive distributed lag model (ARDL) was employed for analysis. The empirical results show that there is a long-term cointegrated relationship among the variables, and the regression coefficients for the growth rate of the underground economy, the annual growth rate of the ratio of exports to GDP, the population growth rate, the growth rate of money supply, and the annual growth rate of gross fixed capital formation by the private sector are all significant. Transforming underground economic activities into above-ground ones requires joint efforts from government agencies and the private sector. A stable and sufficient fiscal foundation is essential for the government to efficiently allocate tax revenues. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究範圍 2 第三節 研究流程與論文結構安排 3 第二章 文獻探討 4 第一節 地下經濟定義及其估計方法介紹 4 第二節 經濟成長之文獻回顧 7 第三節 地下經濟與經濟成長之文獻回顧 9 第三章 研究方法 11 第一節 地下經濟估計方法 11 3.1.1 CDR法 11 3.1.2 MCDR法 12 第二節 ARDL實證步驟概述 14 3.2.1 單根檢定 14 3.2.2 AIC與BIC資訊量準則 16 3.2.3 ARDL模型 17 3.2.4 長期均衡關係檢驗 17 3.2.5 誤差修正模型 18 3.2.6 誤差序列自我相關檢定 18 3.2.7 異質變異數檢定 19 3.2.8 穩定性檢驗—CUSUM Test 20 第四章 實證結果分析 21 第一節 變數說明與資料來源 21 第二節 單根檢定與資訊準則選定 26 第三節 實證結果分析：ARDL模型 29 第四節 殘差自我相關與長期關係檢驗 30 第五節 實證模型分析結果：ECM誤差修正模型 34 第六節 異質變異數檢定 35 第七節 穩定性診斷 36 第五章 結論與建議 38 參考文獻 41 zh_TW dc.format.extent 1461213 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111258033 en_US dc.subject (關鍵詞) 經濟成長 zh_TW dc.subject (關鍵詞) 地下經濟 zh_TW dc.subject (關鍵詞) 自我迴歸遞延分配模型 zh_TW dc.subject (關鍵詞) 長期關係 zh_TW dc.subject (關鍵詞) Economic Growth en_US dc.subject (關鍵詞) Underground Economy en_US dc.subject (關鍵詞) Autoregressive Distributed Lag Model en_US dc.subject (關鍵詞) Long-term Relationship en_US dc.title (題名) 臺灣的經濟成長與地下經濟：ARDL分析 zh_TW dc.title (題名) Underground Economy and Economic Growth of Taiwan：The ARDL Approach en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分 江永基 (2001)，政府政策與經濟成長─台灣、日本和南韓的實證研究，國立清華大學碩士論文。 李庸三與錢釧燈 (1997)，台灣地下經濟論文集，台北市，聯經。 林朕陞 (2024)，我國地下/非正式經濟的發展，APEC News Letter， 270, 9-12。 林朕陞 (2019)，台灣地下經濟的三個議題，國立政治大學經濟學研究所博士學位論文。 林朕陞、洪福聲與朱美麗 (2020)，租稅負擔與地下經濟的門檻效果—台灣的實證研究，中央研究院經濟研究所經濟論文，48:4, 511-555。 林朕陞與洪福聲 (2019)，台灣的金融發展和經濟成長：地下經濟的角色，經濟研究，台北大學經濟學系出版，55:1, 71-144。 許瑞祐 (2017)，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，國立政治大學經濟學研究所論文。 陳品廷 (2024)，固定資本形成對經濟成長率之影響分析，國立中正大學經濟系國際經濟學研究所碩士論文。 陳建霖 (2002)，西太平洋地區國家總體變量與經濟成長的比較研究，國立東華大學碩士論文。 傅敬堯 (2017)，台灣的地下經濟與稅制改革，國立中山大學經濟學研究所碩士論文。 塗玉卉（2013），失業率與台灣總體經濟因素的關係，真理大學碩士文。 葉惠娟 (2005)，影響台灣經濟成長之關鍵因素分析，中華大學經營管理研究所碩士論文。 廖逸文 (2022)，總體經濟變數對核心通膨的影響 ARDL模型分析，國立台灣大學社會科學院經濟學系在職專班碩士論文。 戴韻珊 (2004)，台灣地下經濟之探討—MIMIC模型之應用，國立中正大學國際經濟研究所碩士論文。 英文部分 Barro, R. J. (1996). Inflation and growth. Review-Federal Reserve Bank of Saint Louis, 78, 153-169. Birinci, S. (2013). Trade openness, growth, and informality: Panel VAR evidence from OECD economies. Economics Bulletin, 33(1), 694-705. Bovi, M. (2004). Underground Shocks Ground Zero Responses. Bruno, M., & Easterly, W. (1998). Inflation crises and long-run growth. Journal of Monetary economics, 41(1), 3-26. Bukhari, S., Ali, L., & Saddaqat, M. (2007). Public investment and economic growth in the three little dragons: evidence from heterogeneous dynamic panel data. International Journal of Business and Information, 2(1), 57-79. Chaitip, P., Chokethaworn, K., Chaiboonsri, C., and Khounkhalax, M. (2015). Money supply influencing on economic growth-wide phenomena of AEC open region. Procedia Economics and Finance, 24, 108-115. Davidson, J. E., Hendry, D. F., Srba, F., and Yeo, S. (1978). Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom. The economic journal, 88(352), 661-692. Din, B. H. (2016), “Estimating the Determinants of Shadow Economy in Malaysia,” Malaysian Journal of Society and Space, 12, 191–201. Duarte, P. (2017). The relationship between GDP and the size of the informal economy: Empirical evidence for Spain. Empirical Economics, 52, 1409-1421. Feige, E. L. (1979). How big is irregular economy? Challenge, 22(2), 5-13. Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary economics, 32(3), 485-512. Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120. Gutmann, P. M. (1977). The subterranean economy. Financial Analysis Journal, 34, 24-27. Jöreskog, K. G., & 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(351a), 631-639. 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. 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. MacAfee, K. (1980). A glimpse of the hidden economy in the national accounts. Economic Trends, 136, 81-87. Page, E. S. (1954). Continuous inspection schemes. Biometrika, 41(1/2), 100-115. Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. Pickhardt, M. and J. Sardà (2011), “The Size of the Underground Economy in Germany: A Correction of the Record and New Evidence from the Modified-Cash-Deposit-Ratio Approach,” European Journal of Law and Economics, 32, 143-163. Schneider, F. (1998). Stellt das Anwachsen der Schwarzarbeit eine wirtschaftspolitische Herausforderung dar?: Einige Gedanken aus volkswirtschaftlicher Sicht. Inst. für Volkswirtschaft. Schneider, F. and Hofreither, M. F. (1986). Measuring the size of the shadoweconomy. Can the obstacles be overcome? Economic Affairs, 7, 18-23. Smith, P. (1994). Assessing the size of the underground economy: The statistics Canada perspectives. Canadian Economic Observer, 7, 3.16-3.33. Smith, P. M. (1997). Assessing the size of the underground economy: The statistics Canada perspective. The Underground Economy: Global Evidence of its Size and Impact, 11-37. Tanzi, V. (1980). The underground economy in the United States: Estimates and implications. Banca Nazionale del Lavoro Quarterly Journal, 135, 427-453. Tanzi, V. (1983). The Underground Economy in the United States: Annual Estimates, 1930-80. IMF Staff Papers, 30, 283-305. Yelwa, M., & Adam, A. (2017). Informality and economic growth in Nigeria: 1980-2014. Journal of Economics and Public Finance, 3(3), 405-417. zh_TW
