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題名 小型開放經濟體系總體經濟政策之研究
Estimating the Effects of Fiscal Policy in a Small Open Economy: The Case of Taiwan作者 李麗華 貢獻者 霍德明<br>朱浩民
李麗華關鍵詞 符號限制法
財政政策衝擊
結構向量自我回歸模型
小型開放經濟體系日期 2010 上傳時間 3-Jun-2013 17:52:36 (UTC+8) 摘要 本文建立小型開放經濟體系的VAR模型，利用符號限制法（Sign Restrictions）認定財政政策衝擊，評估台灣財政政策的總體經濟效果。符號限制法係利用對衝擊反應函數做符號限制的方式認定財政衝擊，對關心的變數如：實質GDP、民間消費、民間投資、貿易收支等變數對財政政策衝擊的反應則不設限制，讓資料來回答。本研究參酌Mountford and Uhlig（2009）及Ho and Yeh（2010）的方式認定總合供給衝擊、總合需求衝擊、貨幣政策衝擊、政府支出衝擊以及政府收入衝擊。研究結果發現，政府支出衝擊對民間投資短期會產生排擠效果，中長期（二十季）則有提振的效果。政府支出衝擊引發短期名目利率上漲，國外資金流入，實質有效匯率上升，貿易收支因而下跌。政府支出衝擊對於實質GDP一開始有正向效果，但排擠效果短期會使實質GDP下跌，一旦政府支出帶動中長期民間投資後，對實質GDP有正向效果，但並不顯著。 政府收入衝擊短期對實質GDP、民間消費、民間投資有正向效果，中長期的效果為負。若以政府支出衝擊細項來看，政府消費支出衝擊對實質GDP有顯著提振的效果，政府投資支出衝擊對於實質GDP的助益十分有限。 參考文獻 林向愷，賴惠子(2009)，「預算體制與政府跨期預算行為—台灣的實證研究」，《經濟論文》，37(2)，207-252。 黃琝琇 (2007)，「台灣財政政策之有效性—遞迴法之應用」，《財稅研究》，37，159-182。 Aiyagari, R., L. Christiano, and M. Eichenbaum (1990), “Output, Employment and Interest Rate Effects of Government Consumption?” Journal of Monetary Economics, 30(1), 73-86. Baxter, M. and R. G. King (1993), “Fiscal Policy in General Equilibrium,” American Economic Review, 83(3), 315-333. Berument, H. (2007),“Measuring Monetary Policy for a Small Open Economy: Turkey,” Journal of Macroeconomics, 29, 411-430. Blanchard, O. (1990), “Comment, on Giavazzi and Pagano (1990),” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 111-116, Cambridge: MIT Press. Blanchard, O. and R. Perotti (2002), “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output,” Quarterly Journal of Economics, 117(4), 1329-1368. Burnside, C., M. Eichenbaum, and J. Fisher (2004), “Fiscal Shocks and Their Consequences,” Journal of Economic Theory, 115(1), 89-117. Canova, F. and G. De Nicol´o (2002), “Monetary Disturbances Matter for Business Fluctuations in the G7,” Journal of Monetary Economics, 49, 1131–1159. Canova, F. and E. Pappa (2007), “Price Differentials in Monetary Unions: the Role of Fiscal Shocks,” Economic Journal, 117, 713–737. Christiano, L. J. and M. Eichenbaum (1992),“Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations,”American Economic Review, 82(3), 430-50. Edelberg, W., M. Eichenbaum, and J. D. M. Fisher (1999),“Understanding the Effects of a Shock to Government Purchases,”Review of Economic Dynamics, 2(1), 166-206. Fatás, A., and I. Mihov (2001),“The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence,”CEPR Discussion Paper, No.2760. Fry, R. and A. Pagan (2007), “Some Issues in Using Sign Restrictions for Identifying Structural VARs,” NCER Working Paper Series, No. 14. Galí, J., J. D. López-Salido, and J. Vallés (2007),“Understanding the Effects of Government Spending on Consumption,”Journal of the European Economic Association, 5(1), 227-270. Giavazzi, F., T. Jappelli, and M. Pagano (1990), “Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries,” in O. Blanchard and S. Fisher,(ed.), NBER Macroeconomics Annual, 75–110, Cambridge: MIT Press. Grilli, V., and N. Roubini (1995), “Liquidity and Exchange Rate: Puzzling Evidence from the G-7 Countries,” Unpublished paper, New York University. Ho, T.-k. and K.-c. Yeh (2010), “Measuring Monetary Policy in a Small Open Economy with Managed Exchange Rates: the Case of Taiwan,” Southern Economic Journal, 76(3),811-826. Leeper, E. and D. B. Gordon (1992), “In Search of the Liquidity Effect,” Journal of Monetary Economics, 29, 341-369. Monacelli, T. and R. Perotti (2006), “Fiscal Policy, the Trade Balance and the Real Exchange Rate: Implications for International Risk Sharing,” Mimeo, IGIER. Mountford, A. (2005), “Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy,” Oxford Bulletin of Economics & Statistics, 67(5), 597-621. Mountford, A. and H. Uhlig (2009), “What are the Effects of Fiscal Policy Shocks? ” Journal of Applied Econometrics, 24(6), 960-992. Paustian, M. (2007), “Assessing Sign Restrictions,” The B.E. Journal of Macroeconomics Topics, 7 (1), Article 23. Perotti, R. (2005), “Estimating the Effects of Fiscal Policy in OECD Countries,” CEPR Discussion Paper, No.4842. Ramey, V. A. and M. D. Shapiro (1998), “Costly Capital Reallocation and the Effects of Government Spending,” Carnegie-Rochester Conference Series on Public Policy, 48, 145-194. Ravn, M. O., S. Schmitt-Grohé, and M. Uribe (2007), “Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate,” NBER Working Papers, No.13328. Romer, C. D. and D. H. Romer (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 121-170, Cambridge: MIT Press. Romer, C. D., and D. H. Romer (2007), “The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks,” NBER Working Papers, No.13264. Rubio-Ramirez, F. Juan, D. Waggoner, and T. Zha (2005), “Markov-Switching Structural Vector Autoregressions: Theory and Application,” Federal Reserve Bank of Atlanta Working Paper, No. 2005-27. Sims, C. (1992), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy,” European Economic Review, 36, 975-1000. Sims, C. A. and T. Zha, (1998), “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949-968. Sims, C. A. and T. Zha (1999), “Error Bands for Impulse Responses,” Econometrica, 67(5), 1113-1155. Sutherland, A. (1997),“Fiscal Crises and Aggregate Demand: Can High Public Debt Reverse the Effect of Fiscal Policy? ” Journal of Public Economics, 65(2), 147-162. Uhlig, H. (1994), “What Macroeconomists Should Know About Unit Roots? ” Econometric Theoy, 10, 645-671. Uhlig, H. (2005), “What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,” Journal of Monetary Economics, 52(2), 381-419. 描述 博士
國立政治大學
金融研究所
93352507
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0933525071 資料類型 thesis dc.contributor.advisor 霍德明<br>朱浩民 zh_TW dc.contributor.author (Authors) 李麗華 zh_TW dc.creator (作者) 李麗華 zh_TW dc.date (日期) 2010 en_US dc.date.accessioned 3-Jun-2013 17:52:36 (UTC+8) - dc.date.available 3-Jun-2013 17:52:36 (UTC+8) - dc.date.issued (上傳時間) 3-Jun-2013 17:52:36 (UTC+8) - dc.identifier (Other Identifiers) G0933525071 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58334 - dc.description (描述) 博士 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) 93352507 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 本文建立小型開放經濟體系的VAR模型，利用符號限制法（Sign Restrictions）認定財政政策衝擊，評估台灣財政政策的總體經濟效果。符號限制法係利用對衝擊反應函數做符號限制的方式認定財政衝擊，對關心的變數如：實質GDP、民間消費、民間投資、貿易收支等變數對財政政策衝擊的反應則不設限制，讓資料來回答。本研究參酌Mountford and Uhlig（2009）及Ho and Yeh（2010）的方式認定總合供給衝擊、總合需求衝擊、貨幣政策衝擊、政府支出衝擊以及政府收入衝擊。研究結果發現，政府支出衝擊對民間投資短期會產生排擠效果，中長期（二十季）則有提振的效果。政府支出衝擊引發短期名目利率上漲，國外資金流入，實質有效匯率上升，貿易收支因而下跌。政府支出衝擊對於實質GDP一開始有正向效果，但排擠效果短期會使實質GDP下跌，一旦政府支出帶動中長期民間投資後，對實質GDP有正向效果，但並不顯著。 政府收入衝擊短期對實質GDP、民間消費、民間投資有正向效果，中長期的效果為負。若以政府支出衝擊細項來看，政府消費支出衝擊對實質GDP有顯著提振的效果，政府投資支出衝擊對於實質GDP的助益十分有限。 zh_TW dc.description.tableofcontents 第壹章、 緒論 1 第貳章、 文獻回顧 4 第參章、 資料初探 6 第肆章、 實證研究設計 第一節、 實證模型設定與符號限制認定 9 第二節、 資料說明 12 第伍章、 實證結果分析 第一節、 結構衝擊認定 14 第二節、 負向總合供給衝擊反應 15 第三節、 負向總合需求衝擊反應 16 第四節、 緊縮性貨幣政策衝擊反應 17 第五節、 擴張性政府支出衝擊反應 18 第六節、 正向政府收入衝擊反應 19 第七節、 預測誤差變異數分解 20 第八節、 財政政策乘數 21 第陸章、 其他政府支出衝擊 第一節、 正向政府消費支出衝擊反應 24 第二節、 正向政府投資支出衝擊反應 24 第柒章、 結論 26 圖表附錄 28 附錄1：符號限制法說明 37 附錄2：變數說明 40 參考文獻 42 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0933525071 en_US dc.subject (關鍵詞) 符號限制法 zh_TW dc.subject (關鍵詞) 財政政策衝擊 zh_TW dc.subject (關鍵詞) 結構向量自我回歸模型 zh_TW dc.subject (關鍵詞) 小型開放經濟體系 zh_TW dc.title (題名) 小型開放經濟體系總體經濟政策之研究 zh_TW dc.title (題名) Estimating the Effects of Fiscal Policy in a Small Open Economy: The Case of Taiwan en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 林向愷，賴惠子(2009)，「預算體制與政府跨期預算行為—台灣的實證研究」，《經濟論文》，37(2)，207-252。 黃琝琇 (2007)，「台灣財政政策之有效性—遞迴法之應用」，《財稅研究》，37，159-182。 Aiyagari, R., L. Christiano, and M. Eichenbaum (1990), “Output, Employment and Interest Rate Effects of Government Consumption?” Journal of Monetary Economics, 30(1), 73-86. Baxter, M. and R. G. King (1993), “Fiscal Policy in General Equilibrium,” American Economic Review, 83(3), 315-333. Berument, H. (2007),“Measuring Monetary Policy for a Small Open Economy: Turkey,” Journal of Macroeconomics, 29, 411-430. Blanchard, O. (1990), “Comment, on Giavazzi and Pagano (1990),” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 111-116, Cambridge: MIT Press. Blanchard, O. and R. Perotti (2002), “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output,” Quarterly Journal of Economics, 117(4), 1329-1368. Burnside, C., M. Eichenbaum, and J. Fisher (2004), “Fiscal Shocks and Their Consequences,” Journal of Economic Theory, 115(1), 89-117. Canova, F. and G. De Nicol´o (2002), “Monetary Disturbances Matter for Business Fluctuations in the G7,” Journal of Monetary Economics, 49, 1131–1159. Canova, F. and E. Pappa (2007), “Price Differentials in Monetary Unions: the Role of Fiscal Shocks,” Economic Journal, 117, 713–737. Christiano, L. J. and M. Eichenbaum (1992),“Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations,”American Economic Review, 82(3), 430-50. Edelberg, W., M. Eichenbaum, and J. D. M. Fisher (1999),“Understanding the Effects of a Shock to Government Purchases,”Review of Economic Dynamics, 2(1), 166-206. Fatás, A., and I. Mihov (2001),“The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence,”CEPR Discussion Paper, No.2760. Fry, R. and A. Pagan (2007), “Some Issues in Using Sign Restrictions for Identifying Structural VARs,” NCER Working Paper Series, No. 14. Galí, J., J. D. López-Salido, and J. Vallés (2007),“Understanding the Effects of Government Spending on Consumption,”Journal of the European Economic Association, 5(1), 227-270. Giavazzi, F., T. Jappelli, and M. Pagano (1990), “Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries,” in O. Blanchard and S. Fisher,(ed.), NBER Macroeconomics Annual, 75–110, Cambridge: MIT Press. Grilli, V., and N. Roubini (1995), “Liquidity and Exchange Rate: Puzzling Evidence from the G-7 Countries,” Unpublished paper, New York University. Ho, T.-k. and K.-c. Yeh (2010), “Measuring Monetary Policy in a Small Open Economy with Managed Exchange Rates: the Case of Taiwan,” Southern Economic Journal, 76(3),811-826. Leeper, E. and D. B. Gordon (1992), “In Search of the Liquidity Effect,” Journal of Monetary Economics, 29, 341-369. Monacelli, T. and R. Perotti (2006), “Fiscal Policy, the Trade Balance and the Real Exchange Rate: Implications for International Risk Sharing,” Mimeo, IGIER. Mountford, A. (2005), “Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy,” Oxford Bulletin of Economics & Statistics, 67(5), 597-621. Mountford, A. and H. Uhlig (2009), “What are the Effects of Fiscal Policy Shocks? ” Journal of Applied Econometrics, 24(6), 960-992. Paustian, M. (2007), “Assessing Sign Restrictions,” The B.E. Journal of Macroeconomics Topics, 7 (1), Article 23. Perotti, R. (2005), “Estimating the Effects of Fiscal Policy in OECD Countries,” CEPR Discussion Paper, No.4842. Ramey, V. A. and M. D. Shapiro (1998), “Costly Capital Reallocation and the Effects of Government Spending,” Carnegie-Rochester Conference Series on Public Policy, 48, 145-194. Ravn, M. O., S. Schmitt-Grohé, and M. Uribe (2007), “Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate,” NBER Working Papers, No.13328. Romer, C. D. and D. H. Romer (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 121-170, Cambridge: MIT Press. Romer, C. D., and D. H. Romer (2007), “The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks,” NBER Working Papers, No.13264. Rubio-Ramirez, F. Juan, D. Waggoner, and T. Zha (2005), “Markov-Switching Structural Vector Autoregressions: Theory and Application,” Federal Reserve Bank of Atlanta Working Paper, No. 2005-27. Sims, C. (1992), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy,” European Economic Review, 36, 975-1000. Sims, C. A. and T. Zha, (1998), “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949-968. Sims, C. A. and T. Zha (1999), “Error Bands for Impulse Responses,” Econometrica, 67(5), 1113-1155. Sutherland, A. (1997),“Fiscal Crises and Aggregate Demand: Can High Public Debt Reverse the Effect of Fiscal Policy? ” Journal of Public Economics, 65(2), 147-162. Uhlig, H. (1994), “What Macroeconomists Should Know About Unit Roots? ” Econometric Theoy, 10, 645-671. Uhlig, H. (2005), “What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,” Journal of Monetary Economics, 52(2), 381-419. zh_TW
