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研究生:馬子喨
研究生(外文):Ma za
論文名稱:金融發展與經濟成長的關係探討-門檻迴歸模型之應用
論文名稱(外文):The Relationship of Financial Development and Economic Growth-Application of the Threshold Regression
指導教授:黃柏農黃柏農引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:國際經濟所
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:2005
畢業學年度:93
語文別:中文
論文頁數:89
中文關鍵詞:因果關係遞迴殘差模型體制.
外文關鍵詞:Granger causalityarranged regressive modelregime.
相關次數:
  • 被引用被引用:4
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  • 下載下載:116
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不同於以往文獻僅使用線性模型來探討金融發展與經濟成展之間的因果關係。本研究更進一步以Tsay(1998)遞迴迴歸模型來檢定是否金融發展與經濟成長之間存在非線性關係,並以此分為不同體制,分析不同體制下因果關係的差異。經由實證發現,在高銀行發展程度時,銀行發展領導經濟成長的國家中,大多數是對經濟成長造成負向的影響,而在低銀行發展程度時,則是在一半顯著國家中得到正相關的結果。由上可知,在不同銀行發展程度下銀行發展與經濟成長之間的關係是不同的。
目 次
第一章 緒論
第一節 研究動機與目的
第二節 研究限制
第三節 研究架構
第二章 文獻回顧
第一節 金融發展與經濟成長的線性研究
第二節 金融發展與經濟成長的非線性研究
第三章 資料說明與研究方法
第一節 資料來源
第二節 資料處理
第三節 研究方法
第四章 實證結果
第一節 金融發展與經濟成長的線性關係
第二節 金融發展與經濟成長的非線性關係(門檻迴歸模型)
第五章 結論與未來研究方向
參考文獻

表 目 次

【表一】 國家說明
【表二】 變數說明
【表三】 含lbank之VAR因果關係檢定
【表四】 含lva之VAR因果關係檢定
【表五】 含lmv之VAR因果關係檢定
【表六】 含lbank&lva之VAR因果關係檢定
【表七】 含lbank&lmv之VAR因果關係檢定
【表八】 門檻變數之單根檢定
【表九】 非線性檢定
【表十】 高銀行發展程度之因果關係檢定
【表十一】 低銀行發展程度之因果關係檢定
附錄一(各種迴歸模型的表格)
附錄二(單根結果表)
附錄三(ACF圖)
附錄四(模型5的結果)
一、中文部分
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。
陵隆M劉完淳(2002),"金融發展在經濟成長中的角色-台灣與韓國的實證研究," 財團法人國家政策研究基金會之國改研究報告2002年編號13。
張淑華和蔡忠佑(2003),"金融發展與經濟成長之因果關係-日本、台灣與韓國之實證研究," 學術研討論文(RCTED Working Paper Series)No.2003-0032。
黃柏榕(2004),"股市、銀行與經濟成長的關係探討-門檻迴歸模型之運用," 國立中正大學國際經濟研究所碩士論文。
二、英文部分
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Bhide, A.(1993)," The Hidden Costs of Stock Market Liquidity," Journal of Financial Economics, 34, 1-51.
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Levine, R. and Zervos, S.(1998)," Stock Markets, Banks, and Economic Growth," American Economic Review, 88, 537-558.
Lucas, R.(1988)," On The Mechanics of Economic Development," Journal Monetary Economics, 22, 3-42.
McKinnon, R. I.(1973)," Money and Capital in Economic Development," Washington: Brookings Institution.
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Shan, J., Morris, A. G., and Sun, F.(2001)," Financial Development and Economic Growth: An Egg-and-Chicken Problem?" Review of International Economics, 9, 443-454.
Shan, J. and Morris, A. G.(2002)," Does Financial Development ‘Lead’ Economic Growth?" International Review of Applied Economics, 16, 153-168.
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