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題名 探討金融發展與經濟成長之因果關係--內生聯立方程式之應用
作者 徐偉哲
貢獻者 黃台心
徐偉哲
關鍵詞 金融發展
經濟成長
一般化動差法(GMM)
Lewbel計量模型
日期 2007
上傳時間 14-Sep-2009 09:36:38 (UTC+8)
摘要 本文採用1980-2005年共94國的縱橫資料(Panel data)，探討金融發展與經濟成長的關係。有別於一般傳統採用單一迴歸模型的架構，本文改採聯立迴歸模型探討兩者之因果關係。
      本研究分別採用四個「金融發展指標」及三個「股市發展指標」，輔以與金融發展和經濟成長密切相關的外生控制變數，再分別與經濟成長指標建構聯立迴歸模型。此外，有關參數之估計與認定，以Lewbel (2007)的計量方法為立論依據，在殘差項具有異質共變異現象的限制條件下，利用一般化動差法(GMM)，同時估計聯立方程式的結構式參數。是故，本文根據不同之金融發展與股市發展變數的設定，總共建立七個聯立方程式模型，分別探討金融發展、股市發展與經濟成長之交互影響效果。實證結果彙整成以下兩點說明：
     一、 有關金融發展指標對經濟成長之綜合影響的實證結果顯示，惟有「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」對經濟成長具有正向的綜合影響，其他三項金融發展指標對經濟成長皆無顯著影響；另一方面，除了以「銀行部門對其本國之總放款額/GDP」做為金融發展指標的模型4為不顯著外，模型1至模型3皆顯示經濟成長分別對「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」、「全體金融機構流動負債/GDP」以及「全體金融機構對私部門放款總額/GDP」等三項金融發展指標存在正向綜合影響。
     二、 有關本研究股市發展指標對經濟成長之綜合影響效果的實證結果分歧。其中，「股市總成交金額/股市總市值 (股市週轉率)」對經濟成長有正向綜合影響；「上市公司股票總市值/GDP (股市資本率)」對經濟成長有負向綜合影響；而「股市總成交金額/GDP (股市總成交值比)」對經濟成長則無顯著之綜合影響；另一方面，考量經濟成長之當期項與落後期的綜合效果對股市發展的影響，本研究發現「經濟成長變數」的當期項與落後期對三個股市發展指標均無顯著的綜合影響。
參考文獻 中文部分：
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8. 沈中華、李建強（2005），「同樣的金融發展，不同的經濟成長，為什麼？」2005台灣財務金融學會年會暨學術論文研討會投稿論文。
9. 馬子喨（2005），「金融發展與經濟成長的關係探討-門檻迴歸模型之應用」，《國立中正大學國際經濟研究所碩士論文》。
10. 李建強（2006），「金融發展、經濟成長與通貨膨長的門檻效果」，《台灣經濟預測與政策》，36(2)，77-113。
11. 陳冠臻（2003），「新增NYSE市場對SPY、QQQ及DIA流動性之影響」，《淡江大學財務金融研究所碩士班論文》。
12. 賴景昌（2004），《總體經濟學(二版)》，雙葉書廊出版。
13. 于宗先、吳惠林主編，「經濟發展理論與政策之演變」，《俞國華文教基金會叢書(1)》。
14. 于宗先、李誠主編，「經濟政策與經濟發展-台灣經濟發展之評價」，《俞國華文教基金會叢書(2)》。
15. 陳明郎(1999)，《經濟成長》，華泰文化出版。
16. 黃仁德及羅時萬(2000)，《現代經濟成長理論》，華泰文化出版。
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描述 碩士
國立政治大學
金融研究所
95352005
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0953520051
資料類型 thesis
dc.contributor.advisor 黃台心zh_TW
dc.contributor.author (Authors) 徐偉哲zh_TW
dc.creator (作者) 徐偉哲zh_TW
dc.date (日期) 2007en_US
dc.date.accessioned 14-Sep-2009 09:36:38 (UTC+8)-
dc.date.available 14-Sep-2009 09:36:38 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:36:38 (UTC+8)-
dc.identifier (Other Identifiers) G0953520051en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31251-
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) 95352005zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 本文採用1980-2005年共94國的縱橫資料(Panel data)，探討金融發展與經濟成長的關係。有別於一般傳統採用單一迴歸模型的架構，本文改採聯立迴歸模型探討兩者之因果關係。
      本研究分別採用四個「金融發展指標」及三個「股市發展指標」，輔以與金融發展和經濟成長密切相關的外生控制變數，再分別與經濟成長指標建構聯立迴歸模型。此外，有關參數之估計與認定，以Lewbel (2007)的計量方法為立論依據，在殘差項具有異質共變異現象的限制條件下，利用一般化動差法(GMM)，同時估計聯立方程式的結構式參數。是故，本文根據不同之金融發展與股市發展變數的設定，總共建立七個聯立方程式模型，分別探討金融發展、股市發展與經濟成長之交互影響效果。實證結果彙整成以下兩點說明：
     一、 有關金融發展指標對經濟成長之綜合影響的實證結果顯示，惟有「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」對經濟成長具有正向的綜合影響，其他三項金融發展指標對經濟成長皆無顯著影響；另一方面，除了以「銀行部門對其本國之總放款額/GDP」做為金融發展指標的模型4為不顯著外，模型1至模型3皆顯示經濟成長分別對「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」、「全體金融機構流動負債/GDP」以及「全體金融機構對私部門放款總額/GDP」等三項金融發展指標存在正向綜合影響。
     二、 有關本研究股市發展指標對經濟成長之綜合影響效果的實證結果分歧。其中，「股市總成交金額/股市總市值 (股市週轉率)」對經濟成長有正向綜合影響；「上市公司股票總市值/GDP (股市資本率)」對經濟成長有負向綜合影響；而「股市總成交金額/GDP (股市總成交值比)」對經濟成長則無顯著之綜合影響；另一方面，考量經濟成長之當期項與落後期的綜合效果對股市發展的影響，本研究發現「經濟成長變數」的當期項與落後期對三個股市發展指標均無顯著的綜合影響。		zh_TW
dc.description.tableofcontents 目 錄
     圖 次 ii
     表 次 ii
     第一章　緒論 1
     1.1　研究動機與目的 1
     1.2 研究架構與流程 4
     第二章 文獻回顧 6
     2.1 經濟成長理論之演進 6
     2.2 金融發展與經濟成長之國外相關文獻 10
     2.3 金融發展與經濟成長之國內相關文獻 18
     第三章　研究方法 25
     3.1 迴歸模型 25
     3.2 Lewbel (2007)計量方法 28
     第四章　資料來源與處理 31
     4.1　變數定義 31
     4.2　資料來源與處理 35
     4.3　樣本統計量 38
     第五章　實證研究 41
     5.1 金融發展與經濟成長之聯立方程式模型實證結果 41
     5.2 股市發展與經濟成長之聯立方程式模型實證結果 47
     5.3 金融發展、股市發展與經濟成長之綜合分析 51
     第六章 結論與研究限制 65
     6.1 實證結果 66
     6.2　研究限制 68
     參考文獻 69		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0953520051en_US
dc.subject (關鍵詞) 金融發展zh_TW
dc.subject (關鍵詞) 經濟成長zh_TW
dc.subject (關鍵詞) 一般化動差法(GMM)zh_TW
dc.subject (關鍵詞) Lewbel計量模型zh_TW
dc.title (題名) 探討金融發展與經濟成長之因果關係--內生聯立方程式之應用zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文部分：zh_TW
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dc.relation.reference (參考文獻) 7. 李建強、洪福聲、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。zh_TW
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dc.relation.reference (參考文獻) 9. 馬子喨（2005），「金融發展與經濟成長的關係探討-門檻迴歸模型之應用」，《國立中正大學國際經濟研究所碩士論文》。zh_TW
dc.relation.reference (參考文獻) 10. 李建強（2006），「金融發展、經濟成長與通貨膨長的門檻效果」，《台灣經濟預測與政策》，36(2)，77-113。zh_TW
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dc.relation.reference (參考文獻) 英文部分：zh_TW
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