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研究生:李武峰
研究生(外文):Wu-Fong Lee
論文名稱:台、日、韓之跨國長期經常帳關聯
論文名稱(外文):Long-run International Relationship of Current Accounts amongst Taiwan, Japan and Korea
指導教授:翁銘章翁銘章引用關係
指導教授(外文):Ming-Jang Weng
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:67
中文關鍵詞:消費平滑經常帳現值估計模型向量自我迴歸
外文關鍵詞:consumption smoothingcurrent accountpresent-value modelVAR
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本文乃是以消費平滑的跨期替代觀點,在考慮跨國經濟的互動影響下,利用經常帳現值估計方法來探討經常帳預估模型。
有鑑於傳統的跨期經常帳模型,其共同的特徵皆是以單一國家個別 VAR 估計方法來驗證理論模型的適當性。然而在自由貿易的趨勢下,隨著全球經濟整合程度的提高,國與國間的經濟動態互動密切,故不免令我們質疑上述模型的合適性。
本研究雖亦為一基本跨期經常帳理論模型之應用,但於實證方法上與傳統作法有別。本研究跳脫傳統僅考慮單一國家經濟變數間互相影響的 VAR 估計方法,改採納入考慮跨國互動影響的 VAR 模型實證方法,補足了推估國與國間之相關性探討,更善用了所有訊息來預測本國經常帳的發展趨勢,因而以此所得之實證推論或可彌補單一國家統計估計中往往無法有效支持跨期經常帳理論模型之推論的結果。在本研究中,同時以台灣、日本與韓國之總體經濟變數作交叉估計,主要是因為三國之地理位置相近,且經貿往來密切,具有相當的依存度,故本文以此來探討區域內國與國間、以及個別國家內的國民現金流量與經常帳變數間之因果關係,並以此推論國際間總體經濟政策搭配或協商是否有其必要。
根據本文實證結果發現,在消費平滑的觀點下,考慮跨國互動影響的 VAR 估計確實有助於預測台灣、日本及韓國的實際經常帳走向。尤其是日本,其經常帳高達 98.5%需由國外預期未來國民現金流量之變動量的折現值加總來預估,而由國內預期未來國民現金流量之變動量的折現值加總來預估的部分僅占 1.5%,若只考慮到單一國家個別估計,則會產生極大的誤差,故在考慮跨國影響之 VAR 估計方法所得之預測經常帳明顯比傳統 VAR估計方法所得之預測經常帳較有解釋力。所以各國經常帳餘額受其他國家經濟表現影響密切,隱喻著各國政府更應注重其他國家的經濟發展走勢,且更應注重國與國之間的貿易關係與總體經濟政策的訂定。

This paper is based on the viewpoint of the intertemporal substitution of the consumption smoothing. Under considering the interaction of the international economy, we employ the present value method of the current account to predict and investigate the current accounts amongst Taiwan, Japan and Korea.
In view of the traditional intertemporal current account model, and whose common characteristics that are based on the single country's economic variables themselves as the model forecasting, it lacks of considering the interaction amongst countries. However, in the tendency of economic liberation and with the increasing degree of regional economic integration, except for those closed-economy countries or nations that lack of international trades, the international interactions are intimate, and their economic dynamics should correlate with each other. Therefore, we modify the traditional single-country VAR estimation of the present value models to a cross-country VAR estimation to capture not only the inter-national but those intra-national relationships also.
In this paper, we use the empirical data of Taiwan, Japan and Korea over the past two decades to investigate the Granger causalities between national cash flows and current accounts within each country, and amongst countries as well, to see if international macroeconomic policy negotiation/cooperation in the region is necessary or not.
According to our empirical findings and under consumption-smoothing point of view, the cross-country VAR estimation of the current accounts do outperform the traditional single-country VAR models in forecasting the actual current accounts for Taiwan, Japan and Korea. Especially for the case of Japan, the sum of foreign expected future changes of national cash flow explains 98.5% of dynamic behavior of Japan's current account, and leaves only 1.5% of explanation for the sake of its domestic expected future changes of national cash flow. Similar conclusions can also be applied to Taiwan and Korea. It implies that one's current account is not affected by her own economic performance only, but others as well, and even more. This allows us to infer that one should also take into account the other countries' economic developments when making her macroeconomic and international trade policies.

1 緒論
1.1 前言
1.2 研究動機與目的
1.3 本文架構
2 文獻回顧
3 理論模型與實證方法
3.1 理論模型
3.1.1 未排除消費偏向效果之跨期經常帳模型
3.1.2 排除消費偏向效果之跨期經常帳平衡模型
3.1.3 估計理論經常帳
3.1.4 傳統理論模型的延申
3.2實證方法
3.2.1 單根檢定
3.2.2 共積檢定
3.2.3 向量自我迴歸模型
3.2.4 Granger 因果關係檢定
3.2.5 Wald 檢定
4 實證結果與分析
4.1 實證資料選取及處理
4.1.1 實證資料來源及選取
4.1.2 實證資料期間
4.1.3 實證資料處理
4.1.4 世界利率的選定
4.2 實證結果
4.2.1 單根檢定結果
4.2.2 消費偏向效果之估計與檢驗
4.2.3 經常帳現值估計模型
VAR 模型最適落後期數的選取
Granger 因果關係檢定
跨國模型 k 權數之選定
Wald 檢定
4.2.4 國際資本移動程度
5 結論
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