跳到主要內容

臺灣博碩士論文加值系統

(54.224.117.125) 您好!臺灣時間:2022/01/28 19:19
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:蕭惠如
研究生(外文):Huei-Ru Shiau
論文名稱:日本與美國近來的經常帳關聯
論文名稱(外文):Recent Developments of Intertemporal Current in the US and Japan
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:2001
畢業學年度:90
語文別:中文
論文頁數:64
中文關鍵詞:經常帳
外文關鍵詞:current account
相關次數:
  • 被引用被引用:3
  • 點閱點閱:244
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本文主要用跨期經常帳模型,探討美、日兩國自1980到1999年以來,其經濟成長與經常帳表現的反向關係。
因有鑒於傳統乃以單一國家的VAR為模型檢測的方法;然而,眾所皆知,對於世界經濟整合程度愈高及貿易關係愈形頻繁的國家,其經常帳表現及總體經濟政策應會相互影響才是。
故本文的經常帳現值模型乃試圖用FM-VAR方法取代傳統單一國家VAR方法,將美日兩國的經濟變數做聯合,以探討其經濟表現的反向關係。
根據本文實證發現,相較於單一國家個別估計,考慮跨國互動影響的聯合估計確實有助於預測美國的實際經常帳走向。但對於日本,不論是採用單一國家個別估計或是考慮跨國影響的聯合估計,其皆沒有良好的解釋力與預測力,其可能是經常帳現值估計模型並不適用於日本的經濟分析所致。故我們得知,對於理性代表性個人而言,因單一國家個別估計的方法並未納入其全部應有的訊息組合,故本文聯合估計的方法在消費平滑經常帳的實證預測上較單一國家個別估計為佳。
甚且,此簡單的兩國經常帳現值模型及其實證方法尚可應用至有密切關聯的N個國家間之經常帳現值的估計,例如可用於探討七大工業國家、歐洲區域經濟(Euro region economics)及經濟合作暨發展組織(OECD)等跨國經濟間的互動影響關係。

The main purpose of this paper is to explore the inverse relationship of the economic growth and the current account between the US and Japanese since 1980 to 1999 by utilizing the intertemporal model of the current account.
Traditional methodologies use a single-country VAR framework in testing the model, As to our knowledge, the more integrated world economy and trade partnership, the more easily a country’s current account is affected by those of the others and their macroeconomic policies as well.
This paper, therefore, tries to pool the US and Japanese data in Fully Modified(FM)VAR rather than performing conventional single-country VAR of the present-value model to explore this negative correlation.
The empirical findings suggest that after fully incorporating the information both at home and in the rest of world, the joint estimation does provide a statistically more appropriate prediction of the dynamic behavior of the US current account than the usual single-country approach. However, for the case of Japanese current account, the joint estimation does not make any improvement to the poor prediction of actual current account in the single-country estimation. Maybe it is because of the inadequacy of modeling present-value theory for the Japanese economy. As for the case of Japanese current account, the joint estimation does not make any improvement to the poor prediction of actual current account in the single-country estimation. It may because of the inadequacy of modeling present-value theory for the Japanese economy.
The methodology of joint VAR estimation developed in this paper does improve the fitness of empirical forecasts of current account on the consumption-smoothing component of current account relative to the use of single-country approach which lacks a full incorporation of all information available to the rational agents.
The simple present-value model of this two-country world framework and its procedural econometric treatments can then be easily and plausibly extended to an N-country version of the present-value model, when examining closely related countries, e.g., the G7 countries, Euro region economies, the OECD countries, …etc.

目 錄
1 緒論 1
1.1 研究動機與目的 1
1.2 本文架構 4
2 文獻回顧 5
3 理論模型 12
3.1 跨期經常帳理論模型 12
3.2 經常帳餘額現值估計模型 16
3.3 理論經常帳餘額之估計 17
3.4 傳統估計方法之延伸 21
4 研究方法與實證資料 27
4.1 研究方法 27
4.1.1 單根檢定 27
4.1.2 共積檢定 31
4.1.3 完全修正向量自我迴歸模型 35
4.1.4 Granger因果關係檢定 38
4.1.5 Wald檢定 39
4.2 實證資料選取及處理 40
4.2.1 實證資料來源及選取 40
4.2.2 實證資料期間 43
4.2.3 實證資料處理 43
4.2.4 世界利率的選定 44
5 實證結果與分析 45
5.1 單根檢定結果 45
5.2 消費偏向效果之估計與檢驗 45
5.3 經常帳現值估計模型 48
5.3.1 FM-VAR模型最適落後期數的選取 48
5.3.2 Granger因果關係檢定 50
5.3.3 Wald檢定 52
5.4 國際資本是否自由移動 52
6 結論 55
參考文獻 60
表 目 錄
5.1 單根檢定 1
5.2 消費偏向效果(θ)的估計與檢驗 47
5.3 FM-VAR(p)模型中最適落後期數,p,的選取 49
5.4 FM-VAR迴歸模型對日、美兩國個別及聯合估計實證結果 51
圖 目 錄
1.1 日本實質國民生產毛額與經常帳之消長 2
1.2 美國實質國民生產毛額與經常帳之消長 3
5.1 日本與美國實際與預測經常帳走勢圖 54

參 考 文 獻
【1】吳迪蕾, 跨期經常帳平衡與東亞通貨危機之研究, 私立逢甲大學經濟學研究所碩士論文, 1999.
【2】陳昭君, 遠期外匯市場效率性檢定-完全修正估計法之運用, 國立暨南國際大學經濟學研究所碩士論文, 1997.
【3】梁志民, 汪義育, “總體數列因果關係之非恆定計量研究-完全修正向量自迴歸實證方法,” 台灣經濟學會年會論文集, 1995, vol.12月, pp.195-220.
【4】Agenor, P.R., C. Bismut, P. Cashin and C.J. McDermott, “Consumption Smoothing and the Current Account: Evidence for France, 1970-1996,” Journal of International Money and Finance, 1999, vol.18, pp.1-12.
【5】Ahmed, S., “Temporary and Permanent Government Spending in An Open Economy: Some Evidence for the United Kingdom,” Journal of Monetary Economics, 1986, vol.17, pp.197-224.
【6】Ahmed, S., “Government Spending, the Balance of Trade and The Terms of Trade in British History,” Journal of Monetary Economics, 1987, vol.20, pp.195-220.
【7】Bergin Paul R. and Steven M. Sheffrin, “Interest Rates, Exchange Rates and Present Value Models of the Current Account,” The Economic Journal, 2000, vol.110, pp.535-558.
【8】Buiter, W.H., “Time Preference and International Lending and Borrowing in an Overlapping Generations Model,” Journal of Political Economy, 1981, vol.89, pp.769-797.
【9】Campbell, J., “Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis,” Econometrica, 1987, vol.6, pp.1249-1273.
【10】Campbell, J. and R. Shiller, “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 1987, vol.95(5), pp.1062-1088.
【11】Cashin, P. and C.J. McDermott, “Are Australia's Current Account Deficits Excessive?,” The Economic Record, 1987,vol.74, pp.346-361.
【12】Dickey, D.A. and W.A. Fuller, Distribution of First Order Autoregressive Estimator, American Statistical Association, 1976.
【13】Dickey, D.A. and W.A. Fuller, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical ASSOCIATION, 1979, vol.74, pp.427-431.
【14】Dickey, D.A. and W.A. Fuller, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 1981, vol.49, pp.1057-1072.
【15】Eagle, Robert F. and C.W.J. Granger, “Co-intergration and Error Correction:Representation, Estimation, and Testing,” Econometrica, 1987, vol.55, pp.251-276.
【16】Feldstein, M. and C. Horioka, “Domestic Saving and International Capital Flows,” The Economic Journal, 1980, vol.90, pp.314-329.
【17】Ghosh, A., “International Capital Mobility and Optimal Current Account Behavior: An Empirical Investigation, ”Princeton University Working Paper, 1990.
【18】Ghosh, A., “International Capital Mobility Amongst the Major Industrialized Countries: Too Little or Too Much?,” The Economic Journal, 1995a, vol.105, pp.107-128.
【19】Ghosh, A., “Intertemporal Tax-Smoothing and the Government Budget Surplus: Canada and the United States,” Journal of Money, Credit and Banking, 1995b, vol.27:4, pp.1033-1045.
【20】Ghosh, A. and J. Ostry, “The Current Account in Developing Countries: A Perspective from the Consumption-Smoothing Approach,” World Bank Economic Review, 1995, vol.9, pp.305-333.
【21】Hansen, B.E., “Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence,” Journal of Political Economy, 1978, vol.86, pp.971-987.
【22】Hansen, B.E., “Tests for Parameter Instability in Regressions with I(1) Processes,” Journal of Business and Economic Statistics, 1992, vol.10, pp.321-335.
【23】Huang, Chao-His and Kenneth S. Lin, “Deficits, Government Expenditures and Tax Smoothing in the United States: 1929-1988,” Journal of Monetary Economics, 1993, vol.31, pp.317-339.
【24】Johansen, S., “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 1988, vol.12, pp.231-254.
【25】Karfakis, Costas, “Testing the Intertemporal Model of the Current Account: Some Evidence from Greece, ” Applied Economics Letters, 1996, VOL.3(12), PP.759-762.
【26】Obstfeld, M., “Aggregate Spending and the Terms of Trade: Is There a Laursen-Metzler Effect ?,” Quarterly Journal of Economics, 1982, vol.97, pp.251-270.
【27】Obstfeld, M. and K. Rogoff, “The Intertemporal Approach to the Current Account,” in Grossman and Rogoff ed., Handbook of International Economics, North-Holland, 1995, vol.3, pp.1731-1799.
【28】Obstfeld, M. and K. Rogoff, Foundations of International Macroeconomics, Cambridge, MA:MIT Press, 1996.
【29】Otto, G., “Testing a Present-Value Model of the Current Account:Evidence from US and Canadian Time Series,” Journal of International Money and Finance,1992, vol.11, pp.414-430.
【30】Phillips, P.C.B., “Fully Modified Least Squares and Vector Autoregression,” Econometrica, 1995, vol.63, pp.1023-1078.
【31】Phillips, P.C.B. and B.E. Hansen, “Statistical Inference in Instrumental Variables Regression with I(1) Processes,” Review of Economic Studies, 1990, vol.57, pp.99-125.
【32】Phillips, P.C.B. and M. Loretan, “Estimation Long-run Economic Equilibria,” Review of Economic Studies, 1991, vol.58, pp.407-436.
【33】Phillips, P.C.B. and P. Perron, “Testing for a Unit Root in Time Series Regression,” Biometrika, 1988, vol.75, pp.335-346.
【34】Sachs, J.D., “The Current Account and Macroeconomic Adjustment in the 1970s,” Brookings Papers on Economic Activity, 1981, vol.1, pp.201-268.
【35】Sachs, J.D., “The Current Account in the Macroeconomic Adjustment Process,” Scandinavian Journal of Economics, 1982, vol.84, pp.147-159.
【36】Sheffrin, S.M. and W.T. Woo, “Present Value Tests of an Intertemporal Model of the Current Account,” Journal of International Economics, 1990a, vol.29, pp.237-253.
【37】Sheffrin, S.M. and W. T. Woo, “Testing an Optimizing Model of the Current Account via the Consumption Function,” Journal of International Money and Finance, 1990b, vol.9, pp.220-233.
【38】Shibata, Akihisa and Mototsugu Shintani, “Capital Mobility in the World Economy: an alternative test,” Journal of International Money and Finance, 1998, vol.17, pp.741-756.
【39】Sims, C.A., “Macroeconomics and Reality,” Econometrica, 1980, vol.48, pp.1-48.
【40】Svensson, L.E.O. and A. Razin, “The Terms of Trade and the Current Account: The Harberger-Laursen-Metzler Effect,” Journal of Political Economy, 1983, vol.91, pp.97-125.
【41】Yan, Ho-Don, “Puzzles from Current Account Imbalances: a comparison between Japan and the United States,” Mimeo, 2000.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top