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研究生:張重文
研究生(外文):Chung-Wen Chang
論文名稱:工業化國家跨期經常帳與貨幣存量之研究
論文名稱(外文):Money and Intertemporal Current Accounts among Industrialize Countries
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:英文
論文頁數:98
中文關鍵詞:經常帳貨幣存量向量自我迴歸消費偏向效果
外文關鍵詞:current accountmoney stockVARconsumption-tilting effect
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論文名稱: 工業化國家跨期經常帳與貨幣存量之研究 頁數: 98
校(院)所組別: 國立暨南國際大學管理學院經濟學研究所
畢業時間及提要別: 九十一學年度第二學期碩士論文提要
研究生: 張重文 指導教授: 翁銘章 博士
論文提要內容:
“未雨綢繆”為Campbell於1987年所發表文章中的一個著名的理論,指出消費的多寡取決於對未來經濟前景的理性預期,話雖如此,但在一個高度發展的國家裡,個人消費行為時常受到各種原因所影響,例如:時間偏好率、利率、通貨膨脹…等,因而一個理性的消費者應該將全部因素納入自己的消費考量中,在此同時,消費決策亦會彼此牽連而影響到經常帳及匯率。
基於消費平滑與恆常所得假說的觀點,我們依循Ghosh(1995a)的方法程序來估計一國的經常帳,並且將“貨幣”此一重要總體經濟因素納入跨期經常帳的研究方法中,用來解釋理論與實際經常帳之間的離異,藉以發掘該因素的重要性。
本文研究中囊括了五個主要的工業化國家來分析,並加入“貨幣” 作為探究其經常帳表現的重要性要素之一,這五個國家分別是:日本、加拿大、德國、美國及英國。根據所獲得的實證結果,不僅是如傳統文獻所強調的國民現金流量(national cash flow,本國國民產出減去投資及政府支出)而且在本文新加入的貨幣存量也都反映出它們對決定經常帳路徑的影響力,甚而,貨幣存量在我們的延伸方法裡亦扮演著解釋傳統方法所無法解釋的一個決定性角色。
總括而言,此五大工業化國家的經常帳,在面對國民現金流量及貨幣存量的變動時,的確能夠扮演一個平滑消費的緩衝器。
Title of Thesis:Money and Intertemporal Current Accounts among Industrialize Countries
Total pages: 98
Name of Institute:Graduate Institute of Economics, National Chi-Nan University, Taiwan
Graduate Date: June, 2002 Degree Conferred: Master
Name of Student: Chung-Wen Chang Advisor: Dr. Ming-Jang Weng
Abstract:
“Save for a rainy day”, a well known theory proposed in Campbell (1987), indicates that the current consumption depends on the rational prospect of future economy. Nevertheless, within a highly developed economy, individual''s consumption is often affected by various factors, for instance, the rate of time preference, interest rates and inflation, …etc. Therefore, a rational representative consumer should take all possible information available to them into consideration in making decisions regarding optimal consumption; meanwhile, this will in turn affects current accounts and domestic credit as well.
Based on the viewpoints of consumption-smoothing and permanent income hypothesis, we modify Ghosh (1995a)''s methodology to incorporate one of important macroeconomic variables, “money” into the intertemporal approach to the current account to explore its influence in explaining the difference between theoretical and actual current accounts.
In this study, five major industrialized countries are investigated adding money as one of key elements: Japan, Canada, Germany, the US and UK. According to the empirical findings, not only the national cash flow (output minus investment and government expenditure) as stated in the literatures but money stock reflect their influence in determinating the dynamic behavior of current account aslo. Therefore, money does play a crucial role in our extensive method in explaining what traditional method can not explain.
As a whole, the current accounts of these five major industrialized countries indeed acts as a buffer to smooth consumption in facing fluctuations of shocks to national cash flow and money stock.
Contents
1 Introduction 1
1.1 Preliminary ……………………………………………….…… 1
1.2 The Motivation and Purpose ………………………………….. 8
1.3 Structure ………………………………………………………. 11
2 Literature Review 14
3 Theoretical Model And Econometric Method 27
3.1 The Present-value Model of the Current Account …………….. 28
3.2 The Extension of Present-value Model of the Current Account . 38
3.3 Econometric Method ………………………………………….. 44
3.3.1 Unit Root Test …………………………………………….. 44
3.3.2 Cointegration Test ………………………………………… 47
3.3.3 Vector Autoregression Model …………………………….. 49
3.3.4 Granger Causality Test ……………………………………. 51
3.3.5 Wald Test ………………………………………………….. 53
4 Empirical Evidence 61
4.1 Empirical Specification ………………………………………... 61
4.1.1 Data Source ………………………………………………... 61
4.1.2 Sample Period …………………………………………….. 62
4.1.3 Data Treatments …………………………………………… 62
4.1.4 Choice of World Interest Rate and Inflation Rate ………… 62
4.1.5 Variable ……………………………………………………. 63
4.2 Results ………………………………………………………….. 64
4.2.1 Unit Root and Cointegration Test …………………………. 64
4.2.2 Present-value Estimation ………………………………….. 66
5 Conclusion 86
References 94
List of Tables
4.1 Test for Unit Roots ……………………………………………… 73
4.2 Estimation for Consumption-tilting Effects (θ, θ1) ……………... 74
4.3 The Model Choice ……………………………………………… 75
4.4 Determination of Optimal Lag ………………………………….. 75
4.5 Japan’s VAR Results ……………………………………………. 76
4.6 Canada’s VAR Results ………………………………………….. 76
4.7 US’s VAR Results ………………………………………………. 77
4.8 UK’s VAR Results ……………………………………………… 77
4.9 Germany’s VAR Results ………………………………………... 78
4.10 Germany1’s VAR Results ………………………………………... 78
4.11 The Monetary Effect …………………………………………….. 79
4.12 Wald Test, etc. …………………………………………………… 79
List of Figures
1.1 Relationship GDP and current account for Japan ………………... 4
1.2 Relationship GDP and current account for the US ………………. 4
1.3 Relationship GDP and current account for Canada ……………… 5
1.4 Relationship GDP and current account for Germany ……………. 6
1.5 Relationship GDP and current account for the UK ……………… 7
1.6 Relationship money stock and current account for Japan ……….. 9
1.7 Relationship money stock and current account for the US ………. 9
1.8 Relationship money stock and current account for Canada …….. 10
1.9 Relationship money stock and current account for Germany …... 12
1.10 Relationship money stock and current account for the UK ……... 12
3.1 Relationship GDP and current account with money adjusted for Japan …………………………………………………………….. 56
3.2 Relationship money stock and current account with money adjusted for Japan …………………………………………………………. 56
3.3 Relationship money stock and current account with money adjusted for Canada ……………………………………………………….. 57
3.4 Relationship money stock and current account with money adjusted for Canada ……………………………………………………….. 57
3.5 Relationship GDP and current account with money adjusted for the US ……………………………………………………………….. 58
3.6 Relationship money stock and current account with money adjusted for the US ………………………………………………………... 58
3.7 Relationship GDP and current account with money adjusted for the UK ……………………………………………………………….. 59
3.8 Relationship money stock and current account with money adjusted for the UK ……………………………………………………….. 59
3.9 Relationship GDP and current account with money adjusted for Germany ………………………………………………………… 60
3.10 Relationship money stock and current account with money adjusted for Germany …………………………………………………….. 60
4.1 Japan: actual and predicted current accounts using traditional and new approaches ………………………………………………….. 80
4.2 Canada: actual and predicted current accounts using traditional and new approaches ………………………………………………….. 81
4.3 US: actual and predicted current accounts using traditional and new approaches ………………………………………………………. 82
4.4 UK: actual and predicted current accounts using traditional and new approaches ………………………………………………………. 83
4.5 Germany: actual and predicted current accounts using traditional and new approaches …………………………………………………. 84
4.6 Germany: actual and predicted current accounts using traditional and new approaches ………………………………………………….. 85
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