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題名 經濟成長與經濟波動的關係-分量迴歸法之應用
Economic Growth and Volatility - A Quantile Regression Approach作者 陳筱婷 貢獻者 林信助
陳筱婷關鍵詞 經濟成長
經濟波動
分量迴歸
結構性改變
Growth
Volatility
Quantile Regression
Structural Change日期 2015 上傳時間 27-Jul-2015 11:18:17 (UTC+8) 摘要 本文利用分量迴歸方法探討經濟成長和經濟波動間的關係，使用亞洲10個主要經濟體的實質GDP季資料來進行分析。從實證結果發現，大部分國家在大多數分量下產出波動對實質GDP成長率有正向影響，唯有在某些國家當經濟成長率低時產出波動對經濟成長會有負面影響。另外，進一步考慮了產出波動結構性改變因素之後，基本上仍然不會改變波動性對經濟成長率的影響，產出波動變數同樣在大多數國家的大部分分量對GDP成長率有顯著影響，其中高所得國家在高低分量皆為正相關；中低所得國家在低分量下為負相關，高分量下為正相關。此結果顯示，即使在同一個國家資料中，經濟波動的影響也會隨著經濟成長率的高低而有所不同；此外，因為不同國家有不同所得水準，所受到的正、反向影響也會不一樣。
This thesis employs the quantile regression model to investigate the link between economic growth and its volatility, using quarterly real GDP data for ten main Asian economies. Our empirical results show that the output growth volatility positively affects real GDP growth rate at most quantiles for most nations. Only when some countries are at a period of low economic growth, does output volatility negatively affect economic growth. In addition, after considering possible structural breaks in the GDP growth volatility, the relation between volatility and output growth rate stays qualitatively the same. That is, the output volatility still has significant impact on real GDP growth rate at most quantiles for most nations. For high income countries, volatility and economic growth are positively correlated at higher and lower quantiles; while for low and middle income countries, these two factors are negatively correlated at lower quantiles, and positively correlated at higher quantiles. Our empirical evidence indicates that even in the same country, the impact of volatility varies according to the country’s economic growth rate. Besides, due to different income levels, the volatility impact on economic growth rate will differ in different countries.參考文獻 中文文獻方文碩，曾仁清，鄭淑青，2011。大緩和：五個亞洲新興國家證據，經濟與管理論叢 7/1，227-256。林彥廷，2013 。股票市場與經濟成長領先落後關係之研究：分量迴歸模型的應用，國立東華大學經濟學系碩士論文。鐘姿菁，2011。台幣匯率與台灣經濟成長的關係-分量迴歸的應用，國立成功大學財務金融研究所碩士論文。王怡仁，2009。原油價格與美國經濟成長的分量迴歸分析，國立成功大學財務金融研究所碩士論文。莊智安，2007。公司現金持有與經濟成長-分量迴歸之應用，國立成功大學財務金融研究所碩士論文。謝君惠，2006。中小企業與經濟成長的關係—分量迴歸的應用，淡江大學財務金融學系碩士班碩士論文。賴慧珊，2011。公共投資與經濟成長：分量迴歸法之應用，臺灣大學經濟學研究所碩士論文。蕭宇翔，2011。民主會影響經濟成長嗎?追蹤資料分量迴歸的應用，國立政治大學經濟學系碩士論文。陳宜君，2009。資訊科技對經濟成長貢獻之探討，世新大學經濟學研究所(含碩專班)碩士論文。英文文獻Black, F., 1987. Business Cycles and Equilibrium, Basil Blackwell, New York.Bernanke, B.S., 1983. Irreversibility, uncertainty, and cyclical investment, Quarterly Journal of Economics, 98, 85-106.Chowdhury, A. R., 1993. Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error Correction Model, Review of Economics and Statistics, 75, 700-706.Ćorić, B., 2012. The global extent of the great moderation, Oxford Bulletin of Economics and Statistics, 74, 493–509.Fang, W. and Miller, S. M., 2008. The great moderation and the relationship between output growth and its volatility, Southern Economic Journal, 74, 819-838.Fountas, S. and Karanasos, M., 2006. The relationship between economic growth and real uncertainty in the G3, Economic Modelling, 23, 638-647.Grier, K. B. and Tullock, G., 1989. An empirical analysis of cross-national economic growth, 1951-80, Journal of Monetary Economics, 24, 259-276.Inclán, C. and Tiao, G. C., 1994. Use of cumulative sums of squares for retrospective detection of changes of variance, Journal of the American Statistical Association, 89,913-923.Kim, C. J. and Nelson, C. R., 1999. Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle, Review of Economics and Statistics, 81, 608-616.Koenker, R. and Bassett, G., 1978. Regression Quantiles, Econometrica, 40, 33-50.Kormendi, R. and Meguire, P., 1985. Macroeconomic determinants of growth: Cross-country evidence, Journal of Monetary Economics, 16, 141-163.Lamoureux, C. G. and Lastrapes, W. D., 1990. Persistence in Variance, Structural Change, and the GARCH Model, Journal of Business and Economic Statistics, 8, 225-234.Martin, P. and Rogers, C.A., 1997. Stabilization Policy, Learning-by-Doing, and Economic Growth, Oxford Economic Papers, 49, 152-166.Martin, P. and Rogers, C.A., 2000. Long-term Growth and Short-term Economic Instability, European Economic Review, 44 (2), 359–381.McConnell, M. and Perez-Quiros, G., 2000. Output Fluctuations in the United States: What Has Changed since the Early 1980’s?, American Economic Review, 90, 1464-1476.Mills, T. C. and Wang, P., 2003. Have output growth rates stabilized? Evidence from the G-7 economies, Scottish Journal of Political Economy, 50, 232-246.Mirman, L., 1971. Uncertainty and optimal consumption decisions, Econometrica, 39, 179-185.Pozo, S., 1992. Conditional exchange rate variability and the volume of international trade: evidence from the early 1900s, The Review of Economics and Statistics, 74, 325–29Pindyck, R. S., 1991. Irreversibility, uncertainty, and investment, Journal of Economic Literature, 29, 1110-1148.Ramey, G. and Ramey, V., 1995. Cross-country evidence on the link between volatility and growth, American Economic Review, 85, 1138–1151Stock, J. and Watson, M., 2005. Understanding changes in international business cycle dynamics, Journal of the European Economic Association, 3, 968–1006. 描述 碩士
國立政治大學
國際經營與貿易研究所
102351035資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102351035 資料類型 thesis dc.contributor.advisor 林信助 zh_TW dc.contributor.author (Authors) 陳筱婷 zh_TW dc.creator (作者) 陳筱婷 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 27-Jul-2015 11:18:17 (UTC+8) - dc.date.available 27-Jul-2015 11:18:17 (UTC+8) - dc.date.issued (上傳時間) 27-Jul-2015 11:18:17 (UTC+8) - dc.identifier (Other Identifiers) G0102351035 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76839 - 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) 102351035 zh_TW dc.description.abstract (摘要) 本文利用分量迴歸方法探討經濟成長和經濟波動間的關係，使用亞洲10個主要經濟體的實質GDP季資料來進行分析。從實證結果發現，大部分國家在大多數分量下產出波動對實質GDP成長率有正向影響，唯有在某些國家當經濟成長率低時產出波動對經濟成長會有負面影響。另外，進一步考慮了產出波動結構性改變因素之後，基本上仍然不會改變波動性對經濟成長率的影響，產出波動變數同樣在大多數國家的大部分分量對GDP成長率有顯著影響，其中高所得國家在高低分量皆為正相關；中低所得國家在低分量下為負相關，高分量下為正相關。此結果顯示，即使在同一個國家資料中，經濟波動的影響也會隨著經濟成長率的高低而有所不同；此外，因為不同國家有不同所得水準，所受到的正、反向影響也會不一樣。 zh_TW dc.description.abstract (摘要) This thesis employs the quantile regression model to investigate the link between economic growth and its volatility, using quarterly real GDP data for ten main Asian economies. Our empirical results show that the output growth volatility positively affects real GDP growth rate at most quantiles for most nations. Only when some countries are at a period of low economic growth, does output volatility negatively affect economic growth. In addition, after considering possible structural breaks in the GDP growth volatility, the relation between volatility and output growth rate stays qualitatively the same. That is, the output volatility still has significant impact on real GDP growth rate at most quantiles for most nations. For high income countries, volatility and economic growth are positively correlated at higher and lower quantiles; while for low and middle income countries, these two factors are negatively correlated at lower quantiles, and positively correlated at higher quantiles. Our empirical evidence indicates that even in the same country, the impact of volatility varies according to the country’s economic growth rate. Besides, due to different income levels, the volatility impact on economic growth rate will differ in different countries. en_US dc.description.tableofcontents 摘要 I目錄 III表次 IV圖次 V1 研究背景和文獻 12 研究方法 32.1 經濟成長率波動度之衡量 32.2 ICSS運算法於波動變異 (結構性改變) 時點之檢測 42.3 分量迴歸 63 資料說明與基本統計量 84 實證結果分析 124.1 結構性改變之檢測結果 124.2 模型建構 164.3 模型估計 164.3.1 未考慮結構性改變 164.3.2 考慮結構性改變 184.3.3 國家所得 214.3.4 考慮重大事件 225 結論 23參考文獻 24 zh_TW dc.format.extent 1575513 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102351035 en_US dc.subject (關鍵詞) 經濟成長 zh_TW dc.subject (關鍵詞) 經濟波動 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 結構性改變 zh_TW dc.subject (關鍵詞) Growth en_US dc.subject (關鍵詞) Volatility en_US dc.subject (關鍵詞) Quantile Regression en_US dc.subject (關鍵詞) Structural Change en_US dc.title (題名) 經濟成長與經濟波動的關係-分量迴歸法之應用 zh_TW dc.title (題名) Economic Growth and Volatility - A Quantile Regression Approach en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文文獻方文碩，曾仁清，鄭淑青，2011。大緩和：五個亞洲新興國家證據，經濟與管理論叢 7/1，227-256。林彥廷，2013 。股票市場與經濟成長領先落後關係之研究：分量迴歸模型的應用，國立東華大學經濟學系碩士論文。鐘姿菁，2011。台幣匯率與台灣經濟成長的關係-分量迴歸的應用，國立成功大學財務金融研究所碩士論文。王怡仁，2009。原油價格與美國經濟成長的分量迴歸分析，國立成功大學財務金融研究所碩士論文。莊智安，2007。公司現金持有與經濟成長-分量迴歸之應用，國立成功大學財務金融研究所碩士論文。謝君惠，2006。中小企業與經濟成長的關係—分量迴歸的應用，淡江大學財務金融學系碩士班碩士論文。賴慧珊，2011。公共投資與經濟成長：分量迴歸法之應用，臺灣大學經濟學研究所碩士論文。蕭宇翔，2011。民主會影響經濟成長嗎?追蹤資料分量迴歸的應用，國立政治大學經濟學系碩士論文。陳宜君，2009。資訊科技對經濟成長貢獻之探討，世新大學經濟學研究所(含碩專班)碩士論文。英文文獻Black, F., 1987. Business Cycles and Equilibrium, Basil Blackwell, New York.Bernanke, B.S., 1983. Irreversibility, uncertainty, and cyclical investment, Quarterly Journal of Economics, 98, 85-106.Chowdhury, A. R., 1993. Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error Correction Model, Review of Economics and Statistics, 75, 700-706.Ćorić, B., 2012. The global extent of the great moderation, Oxford Bulletin of Economics and Statistics, 74, 493–509.Fang, W. and Miller, S. M., 2008. The great moderation and the relationship between output growth and its volatility, Southern Economic Journal, 74, 819-838.Fountas, S. and Karanasos, M., 2006. The relationship between economic growth and real uncertainty in the G3, Economic Modelling, 23, 638-647.Grier, K. B. and Tullock, G., 1989. An empirical analysis of cross-national economic growth, 1951-80, Journal of Monetary Economics, 24, 259-276.Inclán, C. and Tiao, G. C., 1994. Use of cumulative sums of squares for retrospective detection of changes of variance, Journal of the American Statistical Association, 89,913-923.Kim, C. J. and Nelson, C. R., 1999. Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle, Review of Economics and Statistics, 81, 608-616.Koenker, R. and Bassett, G., 1978. Regression Quantiles, Econometrica, 40, 33-50.Kormendi, R. and Meguire, P., 1985. Macroeconomic determinants of growth: Cross-country evidence, Journal of Monetary Economics, 16, 141-163.Lamoureux, C. G. and Lastrapes, W. D., 1990. Persistence in Variance, Structural Change, and the GARCH Model, Journal of Business and Economic Statistics, 8, 225-234.Martin, P. and Rogers, C.A., 1997. Stabilization Policy, Learning-by-Doing, and Economic Growth, Oxford Economic Papers, 49, 152-166.Martin, P. and Rogers, C.A., 2000. Long-term Growth and Short-term Economic Instability, European Economic Review, 44 (2), 359–381.McConnell, M. and Perez-Quiros, G., 2000. Output Fluctuations in the United States: What Has Changed since the Early 1980’s?, American Economic Review, 90, 1464-1476.Mills, T. C. and Wang, P., 2003. Have output growth rates stabilized? Evidence from the G-7 economies, Scottish Journal of Political Economy, 50, 232-246.Mirman, L., 1971. Uncertainty and optimal consumption decisions, Econometrica, 39, 179-185.Pozo, S., 1992. Conditional exchange rate variability and the volume of international trade: evidence from the early 1900s, The Review of Economics and Statistics, 74, 325–29Pindyck, R. S., 1991. Irreversibility, uncertainty, and investment, Journal of Economic Literature, 29, 1110-1148.Ramey, G. and Ramey, V., 1995. Cross-country evidence on the link between volatility and growth, American Economic Review, 85, 1138–1151Stock, J. and Watson, M., 2005. Understanding changes in international business cycle dynamics, Journal of the European Economic Association, 3, 968–1006. zh_TW
