臺灣博碩士論文加值系統

本篇論文在panel data 的模型基礎下，將Hansen (1999)所提出的
panel threshold model與Arellano and Bond (1991)的panel dynamic model進行結合，成功推導出panel dynamic threshold model的模
型設定，本模型的特色在加入內生解釋變數落後項的動態解釋下，
進行門檻效果的檢定，以觀察實證資料是否存在顯著的門檻效果。
我們並進一步運用此panel dynamic threshold model 對於金融發
展與經濟成長間的互動關係進行實證分析，發現若不採用門檻變數
將實證資料進行區分，所獲得的實證結果將會受到金融發展程度較
高國家的資料所影響，而金融發展程度較低的國家資料卻因此喪失
其原本應具有的影響力。此外，若比較採用股市發展變數做為門檻
變數的實證結果和以銀行發展變數做為門檻變數的實證結果，則於
金融發展變數對於經濟成長影響的差異性上，以銀行發展變數做為
探討金融發展對於經濟成長影響性的門檻變數應是較為適合的選擇。

The aim of this article is to investigate whether finance development has positive or negative relationship with the economic growth. We argue that the past studies do not reach consensus between finance development and the economic growth because the relationship may be indeed nonlinear. We plan to examine whether the effect of finance development on the growth depends on the threshold variable of bank development and stock market development. To examine this hypothesis, we develop a panel dynamic threshold model (PDTM) to test this hypothesis.
The PDTM is a direct extension of the recent two research strands when using panel data. One is the dynamic panel model of Arellano and Bond (1991), who consider the lagged dependent variable into the panel data. The other is the non-dynamic panel threshold model of Hansen (1999), who takes threshold effect into the panel data model. Past studies, however, did not take dynamic and threshold into account simultaneously.
Our PDTM thus incorporates the threshold into the dynamic panel data. Results demonstrate that the relationship between finance development and economic growth is nonlinear.

第一章 緒論
1.1 研究動機與目的 1
1.2 研究方法 2
1.3 研究限制 3
1.4 研究架構 4

第二章 文獻回顧
2.1 金融發展與經濟成長的傳統研究 5
2.2 Panel data分析方法於金融發展與經濟成長間的應用 9
2.2.1 Panel Threshold Model相關實證研究 10
2.2.2 Panel Dynamic Model相關實證研究 11

第三章 計量方法與模型
3.1 Panel Threshold Model 13
3.1.1 模型設定 13
3.1.2 門檻效果檢定 16
3.1.3 Bootstrap反覆抽樣法 18
3.2 Panel Dynamic Model 19
3.2.1 模型設定 19
3.2.2 GMM估計法 20
3.3 Panel Dynamic Threshold Model 22
3.3.1 模型設定 22
3.3.2 GMM估計法 24
3.3.3 門檻效果檢定與Bootstrap反覆抽樣法 25

第四章 資料與實證結果分析
4.1 資料說明與處理 28
4.2 實證Panel Dynamic Threshold Model的設定 38
4.3 以銀行發展為門檻變數 39
4.4 以股市發展為門檻變數 41

第五章 結論 50

參考文獻 52

沈中華 (1999),
「銀行危機形成原因探討」,
《存款保險資訊季刊》, 12, 88-102。
沈中華、郭照榮與陳曉蓉 (2001),
「銀行淨邊際利息收入的決定因子--Panel Threshold Model」,
《中國財務學刊》, 9, 47-83。
李建強 (2003),
「金融發展、經濟成長與資本所得稅」,
國立中正大學國際經濟研究所博士論文。
李建強 (2005),
「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》, 35, 79-105。
Arellano, M. and S. R. Bond (1991), ``Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equation,"
\textit{Review of Economic Studies}, 58, 277-297.
Arellano, M. and B. Honore (2001), ``Panel Data Models: Some Recent Developments,"
in J. J. Heckman and E. E. Leamer (eds), \textit{Handbook of Econometrics}, Vol. 5, North-Holland.
Arestis, P. and P. O. Demetriades (1996), ``Finance and Growth: Institutional Considerations and Causality,"
Paper presented at \textit{the Royal Economic Society Annual Conference}, University of Wales Swansea, 1-4.
Arestis, P., P. O. Demetriades, and B. Luintel (1997), ``Financial Development and Economic Growth: Assessing the Evidence,"
\textit{Economic Journal}, 107, 783-799.
Arestis, P., P. O. Demetriades, and B. Luintel (2001), ``Financial Development and Economic Growth: The Role of Stock Markets,"
\textit{Journal of Money, Credit, and Banking}, 33, 16-41.
Atje, R. and B. Jovanovic (1993), ``Stock Markets and Development,"
\textit{European Economic Review}, 37, 632-640.
Beck, T., R. Levine, and N. Loayza (2000), ``Finance and the Sources of Growth,"
\textit{Journal of Financial Economics}, 58, 261-300.
Beck, T. and R. Levine (2004), ``Stock Markets, Banks and Growth: Panel Evidence,"
\textit{Journal of Banking and Finance}, 28, 423-442.
Bekaert, G. and C. R. Harvey (2000), ``Foreign Speculators and Emerging Equity Markets,"
\textit{The Journal of Finance}, 55, 565-614.
Bekaert, G., C. R. Harvey, and C. Lundblad (2003), ``Does Financial Liberalization Spur Growth?,"
\textit{Journal of Financial Economics}, forthcoming.
Bencivenga, V. R. and B. D. Smith (1991), ``Financial Intermediation and Endogenous,"
\textit{Review of Economic Studies}, 58, 195-209.
Berthelemy, J. C. and A. Varoudakis (1994), ``Financial Intermediation and Endogenous Growth,"
\textit{Revue Economique}, 45, 737-750.
Bond, S. (2002), ``Dynamic Panel Data Models: a Guide to Micro Data Methods and Practice,"
\textit{Portuguese Economic Journal}, 1, 141-162.
Boyd, J., R. Levine, and B. Smith (1996), ``Inflation and Financial Market Performance,"
\textit{Federal Reserve Bank of Minneapolis Working Papers}: 573D.
Calderon, C. and L. Liu (2003), ``The Direction of Causality between Financial Development and Economic Growth,"
\textit{Journal of Development Economics}, 72, 321-334.
Carkovic, M. and R. Levine (2002), ``Does Foreign Direct Investment Accelerate Economic Growth?,"
Available: http://www.worldbank\.org/research/conferences/financial-globalization/fdi.pdf.
Chang, S. C. (2001), ``Stock Market Development and Economic Growth: A Panel Data Approach,"
\textit{Asia Pacific Management Review}, 6, 357-376.
Davies, R. B. (1987), ``Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative,"
\textit{Biometrika}, 74, 33-43.
De Gregorio, J. and P. Guidotti (1995), ``Financial Development and Economic Growth,"
\textit{Wold Development}, 23, 434-448.
Deidda, L. and B. Fattouh (2002), ``Non-linearity between Finance and Growth,"
\textit{Economics Letters}, 74, 339-345.
Demetriades, P. and K. Hussein (1996), ``Does Financial Development Cause Economic Growth? Time Series Evidence from 16 Countries,"
\textit{Journal of Development Economics}, 51, 387-411.
Demirq\"{u}\c{c}-Kunt, A. and R. Levine (1996), ``Stock Market Development and Financial Intermediaries: Stylized Facts,"
\textit{The World Bank Economic Review}, 10, 291-321.
Demirq\"{u}\c{c}-Kunt, A. and V. Maksimovic (1996), ``Stock Market Development and Financial Choices of Firms,"
\textit{The World Bank Economic Review}, 10, 341-369.
Efron, B. (1979), ``Bootstrap Methods. Another Look at the Jackknife,"
\textit{Annals of Statistics}, 7, 1-26.
Edison, H. J., R. Levine, L. Ricci, and Torsten S. (2002), ``International Financial Integration and Economic Growth,"
\textit{Journal of International Money and Finance}, 21, 749-776.
Goldsmith, Raymond W. (1969), \textit{Financial Structure and Development},
New Haven: Yale University Press.
Gorton, G., and G. Pennacchi (1990), ``Banks and Loan Sales: Marketing Non-Marketable Assets,"
\textit{NBER Working Papers}: 3551.
Granger, C. W. J. (1981), ``Some Properties of Time Series Data and Their Use in Econometric Model Specification,"
\textit{Journal of Econometrics}, 16, 121-130.
Hansen, B. E. (1996), ``Inference When a Nuisance parameter is not Identified Under the Null Hypothesis,"
\textit{Econometrica}, 64, 413-430.
Hansen, B. E. (1999), ``Threshold Effects in Non-dynamic panel: Estimation, Testing and Inference,"
\textit{Journal of Econometrics}, 93, 345-368.
Hansen, B. E. (2000), ``Sample Splitting and Threshold Estimation,"
\textit{Econometrica}, 68, 575-604.
Hansen, L. P. (1982), ``Large Sample Properties of Generalized Method of Moments Estimators, \textit{Econometrica}, 50, 1029-1054."
Harris, R. D. (1997), ``Stock Market and Development: A Re-asessment,"
\textit{European Economic Review}, 41, 139-146.
Kassimatis, K. and S. Spyrou (2001), ``Stock and Credit Market Expansion and Economic Development in Emerging Market: Futher Evidence Utilizing Cointegration Analysis,"
\textit{Applied Economics}, 33, 1057-1064.
Khan, A. (2001), ``Financial Development and Economic Growth,"
\textit{Macroeconomic Dynamics}, forthcoming.
King, R. G. and R. Levine (1993), ``Finance and Growth: Schumpeter might be right,"
\textit{Quarterly Journal of Economics}, 108, 717-737.
Kocherlakota, N. R. and K. M. Yi (1997), ``Is There Endogenous Long-Run Growth? Evidence from the United States and the United Kingdom,"
\textit{Journal of Money, Credit and Banking}, 29, 235-262.
Lamoreaux, N. (1994), ``Insider Leading: Banks, Personal Connections, and Economic Development in Industrial New England,"
\textit{NBER Series on Long-Term Factors in Ecomomic Development}, Cambridge University Press, Vol. 12, 170.
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. W. Vishny (1998), ``Law and Finance,"
\textit{Journal of Political Economy}, 106, 1113-1155.
Levine, R. (1992), ``Financial Intermediary Service and Growth,"
\textit{Journal of the Japanese and International Economics}, 6, 383-405.
Levine, R. (1997), ``Financial Development and Economic Growth: Views and Agenda,"
\textit{Journal of Economic Literature}, 35, 688-726.
Levine, R. (2001), ``Bank-Based or Market-Based Financial Systems: Which is Better?"
\textit{NBER Working Papers}: 9138.
Levine, R. (2002), ``More on Finance and Growth: More Finance, More Growth?"
\textit{The Federal Reserve Bank of St. Louis}, July/August, 31-52.
Levine, R. and D. Renelt (1992), ``A Sensitivity Analysis of Cross-Country Growth Regressions,"
\textit{American Economic Review}, 82, 942-963.
Levine, R. and S. Zervos (1996), ``Stock Market Development and Long-run Growth,"
\textit{The World Bank Economic Review}, 10, 323-339.
Levine, R. and S. Zervos (1998), ``Stock Markets, Banks, and Economic Growth,"
\textit{American Economic Review}, 88, 537-558.
Morck, R., A. Shleifer, and R. W. Vishny (1990), ``Do Managerial Objectives Drive Bad Acquisitions?"
\textit{Journal of Finance}, 45, 1-48.
Odedokun, M. O. (1996), ``Alternative Econometric Approaches for Analyzing the Role of the Financial Sector in Economic Growth: Time-series Evidence from LDCs,"
\textit{Journal of Development Economics}, 50, 119-146.
Rioja, F. and N. Valev (2004), ``Does One Size Fit All? A Reexamination of the Finance and Growth Relationship,"
\textit{Journal of Development Economics}, 74, 429-227.
Rousseau, P. L. and P. Wachtel (1998), ``Financial Intermediation and Economic Performance: Historical Evidence from Five Industrial Countries,"
\textit{Journal of Money, Credit and Banking}, 30, 657-678.
Rousseau, P. L. and P. Wachtel (2000), ``Equity Markets and Growth: Cross Country Evidence on Timing and Outcomes, 1980-95,"
\textit{Journal of Banking and Finance}, 24, 1933-1957.
Saint-Paul, G. (1992), ``Technological Choice, Financial Markets and Economic Development"
\textit{European Economic Review}, 36, 763-781.
Shan, Z., Morries, G. and F. Sun (2001), ``Financial Development and Economic Growth: An Egg-and-Chicken Problem?"
\textit{Review of International Economics}, 9, 443-454.
Shen, C. H. (2005), ``Cost Efficiency and Banking Performances In a Partial Universal Banking System: Application of the Panel Smooth Threshold Model,"
\textit{Applied Economics}, 37, 1-17.
Shen, C. H. and D. Hakes (1995), ``Monetary Policy as a Decision-Making Hierarchy: The Case of Taiwan,"
\textit{Journal of Macroeconomics}, 17, 357-368.
Shen, C. H. and C. C. Lee (2005), ``Same Financial Developement yet Different Economic Growth -- but why?"
\textit{Journal of Money, Credit, and Banking}, forthcoming.
Shen, C. H. and C. A. Wang (2005), ``The Impact of Cross--Ownership on the Reaction of Corporate Investment and Financing Constraints: A Panel Threshold Model,"
\textit{Applied Economics}, forthcoming.
Tong, H. (1978), ``On a Threshold Model,"
in \textit{Pattern Recognition and Signal Processing}, ed. by C. H. Chen. Amsterdam: Sijhoff and Noordhoff.
Xu, Z. (2000), ``Financial Development, Investment, and Growth,"
\textit{Economic Inquiry}, 38, 311-344.
Zhang, K. H. (2003), ``Does Financial Development Promote Economic Growth in the East Asia?"
\textit{China Journal of Finance}, 1, 1-10.
Zhu, A., Ash, M. and R. Pollin (2004), ``Stock Market Liquidity and Economic Growth: A Critical Appraisal of the Levine/Zervos Model,"
\textit{International Review of Applied Economics}, 18, 1-8.