學術產出-Theses
Article View/Open
Publication Export
-
題名 金融發展與經濟成長 通貨膨脹的門檻效果
The threshold effect of inflation on the relation between financial development and economic growth作者 李怡萱 貢獻者 郭炳伸<br>林信助
李怡萱關鍵詞 門檻迴歸模型
通貨膨脹
金融發展
經濟成長日期 2011 上傳時間 30-Oct-2012 14:20:47 (UTC+8) 摘要 本文目的以門檻迴歸(threshold regression)方法，試分析台灣1965到2011年間銀行對民間放款總額(BL)、貨幣供給量(M2)、股市成交值(STV)等三大金融發展指標在面對不同通貨膨脹率時，與經濟成長間的關係是否會發生結構性的轉變。 實證結果發現，支持金融發展與經濟成長之間存在門檻效果，並且以「通貨膨脹率」為門檻指標時，分別可找到兩到三個門檻值：以銀行放款為例，有兩個門檻值將觀測點分成三群，當通膨處於低通膨區(小於3.76%)，銀行放款的成長可促進經濟成長；若通膨率處於溫和通膨區(介於3.76%~5.58%)，估計係數將由正轉負；一旦到達高通膨區(高於5.58%)，通膨將加劇資訊不對稱的問題而影響放款者決策，進而對經濟成長造成顯著的負面影響。M2成長率不論通膨率的高低，皆能促進經濟成長。股市成交值成長率也是在低通膨區對經濟有正向效果，但通膨一旦高於門檻值(2.88%)，則轉為不顯著的負面效果。此外，在分析金融發展對經濟成長關係之議題時，本文經由Wald test驗證「通貨膨脹率」較傳統的時間門檻為較佳的門檻變數，其中又以銀行放款(BL)變數的通膨門檻效果最為顯著，大幅提升門檻迴歸模型的效率。 參考文獻 Azariadis, C. and B. D. Smith (1996), “Private Information, Money, and Growth: Indeterminacy, Fluctuations, and the Mundell-Tobin Effect,” Journal of Economic Growth, 1(3), 309–332.Bose, N. (2002), “Inflation, the Credit Market, and Economic Growth,” Oxford Economic Papers, 54(3), 412–434.Boyd, J. H., R. Levine, and B. D. Smith (2001), “The Impact of Inflation on Financial Sector Performance,” Journal of Monetary Economics, 47(2), 221–248.Christopoulos,D. K. and E. G. Tsionas (2004), “Financial Development and Economic Growth: Evidence from Panel Unit Root and Cointegration Tests,” Journal of Development Economics, 73(1), 55–74.De Gregorio, J. and P. E. Guidotti (1995), “Financial Development and Economic Growth,” World Development, 23(3), 433–448.Diamond, D. W. and P. H. Dybvig (1983), “Bank Runs, Deposit Insurance, and Liquidity,” Journal of Political Economy, 91(3), 401–419.Demetriades, P. O. and K. B. Luintel (2001), “Financial Development and Economic Growth: The Role of Stock Markets,” Journal of Money, Credit and Banking, 33(1), 16-41Gurley, J. G. and E. S. Shaw (1955), “Financial Aspects of Economic Development,” The American Economic Review, 45(4), 515-538Hansen, B. E. (2000), “Sample Splitting and Threshold Estimation,” Econometrica, 68(3), 575– 603.Hsu, C. M. and S. M. Lin (2000). “Financial Development and Endogenous Growth Model,” Industry of Free China. 9, 21-47.Hung, F. S. (2003), “Inflation, Financial Development, and Economic Growth,” International Review of Economics and Finance, 12(1), 45–67.Huybens, E. and B.D. Smith (1999), “Inflation, FinancialMarkets and Long-Run Real Activity,” Journal of Monetary Economics, 43(2), 283–315.King, R. G. and R. Levine (1993), “Finance and Growth: Schumpeter Might be Right,” Quarterly Journal of Economics, 108(3), 717–737.Khan,M. S. and A. S. Senhadji (2001), “Threshold Effects in the Relationship Between Inflation and Growth,” IMF Staff Papers, 48(1), 1–21.Levine, R. (1991), “Stock market, growth, and tax policy,” The Journal of Finance, 46, 1445-1465Levine, R. and S. Zervos (1998), “Stock Markets, Banks, and Economic Growth,” American Economic Review, 88(3), 537–558.McKinnon, R. I. (1973), “Money and Capital in Economic Development,” Washington, DC: Brookings Institution.Odedokun, M. O. (1996), “Alternative Econometric Approaches for Analysing the Role of the Financial Sector in Economic Growth: Time-Series Evidence from LDCs,” Journal of Development Economics, 50(1), 119–146.Rousseau, P. L. and P. Wachtel (2002), “Inflation Thresholds and the Finance-Growth Nexus,” Journal of International Money and Finance, 21(6), 777–793.Saint-Paul, G. (1992), “Technological choice, financial markets and economic development,” European Review, 36, 763-781Schumpeter, J. A. (1911), The Theory of Economic Development, Cambridge, MA: Harvard University Press.李建強(2006)，「銀行發展、股市發展與經濟成長— 臺灣的實證研究」，《臺灣經濟預測與政策》，36:2，77–113。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(2005), 45-74。楊亦農(2009)，「時間序列分析 : 經濟與財務上之應用」，二版，雙葉書廊。 描述 碩士
國立政治大學
國際經營與貿易研究所
99351012
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099351012 資料類型 thesis dc.contributor.advisor 郭炳伸<br>林信助 zh_TW dc.contributor.author (Authors) 李怡萱 zh_TW dc.creator (作者) 李怡萱 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 14:20:47 (UTC+8) - dc.date.available 30-Oct-2012 14:20:47 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 14:20:47 (UTC+8) - dc.identifier (Other Identifiers) G0099351012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54903 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 99351012 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本文目的以門檻迴歸(threshold regression)方法，試分析台灣1965到2011年間銀行對民間放款總額(BL)、貨幣供給量(M2)、股市成交值(STV)等三大金融發展指標在面對不同通貨膨脹率時，與經濟成長間的關係是否會發生結構性的轉變。 實證結果發現，支持金融發展與經濟成長之間存在門檻效果，並且以「通貨膨脹率」為門檻指標時，分別可找到兩到三個門檻值：以銀行放款為例，有兩個門檻值將觀測點分成三群，當通膨處於低通膨區(小於3.76%)，銀行放款的成長可促進經濟成長；若通膨率處於溫和通膨區(介於3.76%~5.58%)，估計係數將由正轉負；一旦到達高通膨區(高於5.58%)，通膨將加劇資訊不對稱的問題而影響放款者決策，進而對經濟成長造成顯著的負面影響。M2成長率不論通膨率的高低，皆能促進經濟成長。股市成交值成長率也是在低通膨區對經濟有正向效果，但通膨一旦高於門檻值(2.88%)，則轉為不顯著的負面效果。此外，在分析金融發展對經濟成長關係之議題時，本文經由Wald test驗證「通貨膨脹率」較傳統的時間門檻為較佳的門檻變數，其中又以銀行放款(BL)變數的通膨門檻效果最為顯著，大幅提升門檻迴歸模型的效率。 zh_TW dc.description.tableofcontents 第1章、 緒論1.1 研究背景與動機……………………………………………………… 11.2 研究目的……………………………………………………………… 21.3 本文架構……………………………………………………………… 2第2章、 文獻探討………………………………………………………… 3第3章、 研究方法3.1 實證模型(可檢測價說) ………………………………………………… 63.2 變數定義與資料來源……………………………………………………… 93.3 相關統計量與計量方法……………………………………………………11第4章、 實證結果4.1 單根檢定……………………………………………………………………144.2 解釋變數最適落差期的決定………………………………………………164.3 門檻迴歸模型………………………………………………………………164.3.1 以「通膨率」為門檻變數………………………………………………214.3.2 金融指標參數的係數檢定………………………………………………29第5章、 研究結論……………………………………………………………30第6章、 參考文獻……………………………………………………………31 表目錄表1 各變數基本統計量……………………………………………………… 10表2 各變數之間的相關係數矩陣…………………………………………… 10表3 單根檢定………………………………………………………………… 14表4 三大金融指標的迴歸線性模型………………………………………… 16表5 「銀行放款成長率」對經濟成長的時間門檻效果………………………17表6 「貨幣供給量成長率」對經濟成長的時間門檻效果……………………18表7 「股市成交值成長率」對經濟成長的時間門檻效果……………………19表8 三大金融指標的時間門檻效果………………………………………… 20表9 銀行放款成長率的通膨門檻聯合檢定………………………………… 22表10 「銀行放款成長率」對經濟成長的通膨門檻效果…………………… 22表11 貨幣供給(M2)成長率的通膨門檻聯合檢定…………………………… 24表12 「貨幣供給量成長率」對經濟成長的通膨門檻效果………………… 25表13 股市成交值成長率(STV)的通膨門檻聯合檢定……………………… 26表14 「股市成交值成長率」對經濟成長的通膨門檻效果………………… 27表15 三大金融指標的通膨門檻效果小結…………………………………… 28表16 三大金融變數的係數檢定表…………………………………………… 29圖目錄圖1 實證變數的時間趨勢圖……………………………………………………15圖2 銀行放款成長率的通膨門檻鄒氏檢定……………………………………21圖3 M2流通量成長率的通膨門檻鄒氏檢定……………………………………24圖4 通貨膨脹變數的histogram………………………………………………26圖5 股市成交值年增率(STV)的通膨門檻鄒氏檢定…………………………26 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099351012 en_US dc.subject (關鍵詞) 門檻迴歸模型 zh_TW dc.subject (關鍵詞) 通貨膨脹 zh_TW dc.subject (關鍵詞) 金融發展 zh_TW dc.subject (關鍵詞) 經濟成長 zh_TW dc.title (題名) 金融發展與經濟成長 通貨膨脹的門檻效果 zh_TW dc.title (題名) The threshold effect of inflation on the relation between financial development and economic growth en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Azariadis, C. and B. D. Smith (1996), “Private Information, Money, and Growth: Indeterminacy, Fluctuations, and the Mundell-Tobin Effect,” Journal of Economic Growth, 1(3), 309–332.Bose, N. (2002), “Inflation, the Credit Market, and Economic Growth,” Oxford Economic Papers, 54(3), 412–434.Boyd, J. H., R. Levine, and B. D. Smith (2001), “The Impact of Inflation on Financial Sector Performance,” Journal of Monetary Economics, 47(2), 221–248.Christopoulos,D. K. and E. G. Tsionas (2004), “Financial Development and Economic Growth: Evidence from Panel Unit Root and Cointegration Tests,” Journal of Development Economics, 73(1), 55–74.De Gregorio, J. and P. E. Guidotti (1995), “Financial Development and Economic Growth,” World Development, 23(3), 433–448.Diamond, D. W. and P. H. Dybvig (1983), “Bank Runs, Deposit Insurance, and Liquidity,” Journal of Political Economy, 91(3), 401–419.Demetriades, P. O. and K. B. Luintel (2001), “Financial Development and Economic Growth: The Role of Stock Markets,” Journal of Money, Credit and Banking, 33(1), 16-41Gurley, J. G. and E. S. Shaw (1955), “Financial Aspects of Economic Development,” The American Economic Review, 45(4), 515-538Hansen, B. E. (2000), “Sample Splitting and Threshold Estimation,” Econometrica, 68(3), 575– 603.Hsu, C. M. and S. M. Lin (2000). “Financial Development and Endogenous Growth Model,” Industry of Free China. 9, 21-47.Hung, F. S. (2003), “Inflation, Financial Development, and Economic Growth,” International Review of Economics and Finance, 12(1), 45–67.Huybens, E. and B.D. Smith (1999), “Inflation, FinancialMarkets and Long-Run Real Activity,” Journal of Monetary Economics, 43(2), 283–315.King, R. G. and R. Levine (1993), “Finance and Growth: Schumpeter Might be Right,” Quarterly Journal of Economics, 108(3), 717–737.Khan,M. S. and A. S. Senhadji (2001), “Threshold Effects in the Relationship Between Inflation and Growth,” IMF Staff Papers, 48(1), 1–21.Levine, R. (1991), “Stock market, growth, and tax policy,” The Journal of Finance, 46, 1445-1465Levine, R. and S. Zervos (1998), “Stock Markets, Banks, and Economic Growth,” American Economic Review, 88(3), 537–558.McKinnon, R. I. (1973), “Money and Capital in Economic Development,” Washington, DC: Brookings Institution.Odedokun, M. O. (1996), “Alternative Econometric Approaches for Analysing the Role of the Financial Sector in Economic Growth: Time-Series Evidence from LDCs,” Journal of Development Economics, 50(1), 119–146.Rousseau, P. L. and P. Wachtel (2002), “Inflation Thresholds and the Finance-Growth Nexus,” Journal of International Money and Finance, 21(6), 777–793.Saint-Paul, G. (1992), “Technological choice, financial markets and economic development,” European Review, 36, 763-781Schumpeter, J. A. (1911), The Theory of Economic Development, Cambridge, MA: Harvard University Press.李建強(2006)，「銀行發展、股市發展與經濟成長— 臺灣的實證研究」，《臺灣經濟預測與政策》，36:2，77–113。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(2005), 45-74。楊亦農(2009)，「時間序列分析 : 經濟與財務上之應用」，二版，雙葉書廊。 zh_TW
