臺灣博碩士論文加值系統

本研究主要是探討外在不確定性因素對經濟成長率的影響，而不確定性因素，在本文的定義為國、內外突發或意料之外的政、經事件，如中共對我國發動飛彈演習、東南亞金融風暴、921大地震及911恐怖攻擊等事件，皆是足以衝擊我國經濟成長率的不確定性因素。
本文主要依據Clinton and Zelmer(1997)的研究，以風險溢價量化不確定性事件，並依據Duguay(1994)與Dornbucsh(1980)的理論基礎，建立一個以國內短期實質利率(SRR)、國內長短期利差(DLR)及風險溢價(RP)為解釋變數的實證模型，探討這些變數對我國經濟成長率的影響。使用的計量方法有共整合分析法，用以探討變數間的長期均衡關係。確認變數之間具長期關係後，再進一步以誤差修正模型來探討變數的短期動態調整過程。
本文整理出1995年至2001年這段期間所發生過的國內、外重大政、經事件，並與這段期間經濟成長率之實際變動率的圖形做比較，發現落後一年的不確定性事件確實可以用來解釋經濟成長率下降的現象。實證結果顯示長期之下，短期實質利率對經濟成長率的影響為負，此與過去文獻所得結果相符。在短期之下，風險溢價對經濟成長率的影響為負，與理論相符，且加入風險溢價變數，可以提高解釋經濟成長率變動率的能力，其平均貢獻度為32.55%。
關鍵詞：不確定性、風險溢價、經濟成長率、誤差修正模型

The main purpose of this study is to discuss how the external uncertainty influences the economic growth rate. The “uncertainty” used in this study is defined to be the unexpected national or international political and economic issues. For example, the missile test of China against Taiwan, the economic crises in south East Asia, 921 earthquakes and 911 terrorist attack are taken into account as the uncertainty that influence on our nation’s economic growth rate.
In this paper, according to the study of Clinton and Zelmer(1997), the uncertainty is measured by risk premium and based on the theory of Duguay(1994) and Dornbucsh(1980), we build a regression model in which the national short-term rate, spread and risk premium are as the explanatory variables in an effort to discuss their impacts on our nation’s economic growth rate. Cointegration analysis is used to discuss the long-run relationship between the variables. After the long-run relationship being determined, we then discuss the short-term dynamic procedure of the variables by using the error correction model.
This study concludes all the major national and international political and economic issues from 1995 to 2001. By comparing these issues with the graph of the real fluctuation of the economic growth rate, we find the falling economic growth can be explained by the uncertainty lag one year. The empirical results indicate, in the long run, that the short-term real interest rate is negatively related to the economic growth rate, which is consistent with the results of previous literatures. In the short run, risk premium is negatively related to economic growth which conforms to the theory and with risk premium variable, it greatly helps explain the fluctuation of economic growth rate with an average contribution rate of 32.55%.
Keywords：uncertainty, risk premium, economic growth rate, error correction model

論文題目---------------------------------------------- Ⅰ
論文口試委員審定書------------------------------------ Ⅱ
授權書------------------------------------------------ Ⅲ
簽署人須知-------------------------------------------- Ⅳ
誌謝-------------------------------------------------- Ⅴ
中文摘要---------------------------------------------- Ⅵ
英文摘要---------------------------------------------- Ⅶ
目錄-------------------------------------------------- Ⅷ
圖目錄------------------------------------------------ Ⅹ
表目錄------------------------------------------------ XI
第壹章 緒論------------------------------------------ 1
第一節 研究背景與動機---------------------------- 1
第二節 研究目的---------------------------------- 2
第三節 研究步驟---------------------------------- 4
第四節 研究限制---------------------------------- 4
第貳章 文獻回顧-------------------------------------- 6
第参章 理論模型-------------------------------------- 11
第一節 理論根據---------------------------------- 11
第二節 理論模型---------------------------------- 12
第肆章 實證模型-------------------------------------- 16
第一節 GDP變動率模型----------------------------- 16
第二節 長短期利差的估計-------------------------- 17
第三節 風險溢價的估計---------------------------- 19
第伍章 研究方法-------------------------------------- 23
第一節 定態與非定態------------------------------ 23
第二節 單根檢定---------------------------------- 24
第三節 共整合檢定-------------------------------- 26
第四節 誤差修正模型------------------------------ 31
第陸章 實證結果與分析-------------------------------- 33
第一節 資料處理---------------------------------- 33
第二節 單根檢定---------------------------------- 38
第三節 共整合分析-------------------------------- 43
第四節 誤差修正模型------------------------------ 45
第五節 風險溢價之貢獻度探討---------------------- 48
第柒章 結論與建議------------------------------------ 55
第一節 結論-------------------------------------- 55
第二節 建議-------------------------------------- 56
參考文獻---------------------------------------------- 58

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