臺灣博碩士論文加值系統

1973 年布列敦森林體系制度瓦解後，Canova and Marriana及Baxter的研究指出在80 年代末期工業國家之間景氣循環的波動趨勢十分相似；但近年來的研究工業國家之間的景氣波動相關性逐漸下降，本文試圖找出影響景氣循環同步化的因素--即所謂的傳導機制(transmission mechanism.)。經濟學家通常以財貨市場、金融市場或是貨幣政策的緊密程度予以替代。但在進行實證分析時，若僅考慮經濟面的變數來解釋兩國之間景氣循環波動的趨勢，似乎不夠完備。針對這樣的情形，我們應加入非經濟變數的替代因子，來解釋彼此之間產出的循環波動，或許可以彌補其現實世界無法以經濟變數解釋之處，因此本文由政治面的角度去尋找新的解釋變數，將政治景氣循環理論(Political Business Cycle,PBC)與上述的傳導機制作連結，期望能從兩個不同面向的觀點，來了解G7七大工業國各國間景氣循環的依存關係(Business cycle correlations ,BCCs)。
我們進一步分析此研究背後的經濟意涵，可以總結出五點結論：

(一)、雙邊貿易密切程度，對於1980 年至2002 年G7 各國間BCCs 的波動變化具有正面的助益。由於貿易密切程度具有內生化性質，所以要探討財貨市場與BCCs 的相關性時，必須要考慮距離、語言、邊界等外生因素。換言之，兩國是否有相同的語言、邊界以及相對距離的遠近，都是影響兩國貿易總量的重要變數。
(二)、兩國金融市場的整合度雖然可以提高兩國間BCCs 的相關性，但統計效果卻不夠顯著。關於這個實證結果，Imbs (2004)的研究中對此結果提出了合理的解釋，其指出金融市場在全球化的需求之下具有高度整合，使資本在兩國間能自由移動，以迅速因應國外的衝擊，在Mundell (1973)國際風險分擔(international risk sharing)的概念下，國家間會持有相異的投資組合以保障所得，如此情況使國家間的經濟體質互異，造成所謂專業化(specialization)的情況，最後導致彼此景氣循環的依存關係下降。換句話說，國際的專業分工將會降低金融市場整合程度對於BCCs 的正面助益效果。
(三)、兩國貿易密切程度與生產專業化的關係，本文實證結果呈現負相關，表示當兩國貿易往來越頻繁，將會使兩國的產業結構越相似，也就是兩國生產結構的差異程度越低；Imbs (2004)認為這是由於我們所用的雙邊貿易緊密程度指標會受兩國大小規模影響，若用Clark and van Wincoop (2001)的雙邊貿易密切程度指標 ，僅受兩國間是否有存在貿易障礙影響，估計結果將能得到正向相關。
(四)、若兩國金融市場的整合程度越高，將會因此提高國際風險分散程度，也就是使兩國間分工程度提高，實證結果兩國金融市場整合程度與生產結構的差異程度間顯著呈現負向關係。
(五)、本研究在工業生產指數季資料為產出替代變數的模型中，政黨變數與BCCs之間的估計結果呈現不顯著，由於政黨對總體經濟的影響應該是全面性，如果用工業生產指數作為替代變數去估計兩國BCCs，似乎不足代表整個經濟狀況，因此效果也不夠顯著；在使用以GDP季資料做為替代變數的估計結果十分顯著，這意味政治因素是造成兩國間景氣循環同步性的重要傳導之一，若忽略了政治變數對BCCs 的貢獻，將會發生所謂的遺漏變數偏誤，導致整個估計變得沒有效率。將政黨變數納入模型中，也表示若要維護一個經濟組織內各成員國的共同利益，則各國就必須由理念相同的政黨執政，才能達成組織設立的實質效果。

而根據IMF 統計資料顯示，工業國家之間的BCCs正面臨下滑的趨勢，因此，若要改善G7 各國之間BCCs 的依存關係，除了須先加強彼此的經貿合作外，同時讓各國的執政黨達成貨幣政策整合的共識，才能有實質面的效果產生。而這樣的例子，我們或許能從歐洲貨幣同盟的整合過程中，找到探討景氣循環相關性的最佳實證。

Since Bretton Woods System break down in year 1973. Many economists found that there are more similar business cycle between industrial countries. Recently, Doyle and Faust(2002) proposed the correlation of business cycle between two countries becomes weaker.

Therefore in this search, we try to carry out two different aspect factor that effects the countries’ business cycle correlation. The factor is so-called “transmission mechanism.”
Generally specking, Many empirical analysis have pointed out the temporary factors to the business cycle mainly come from the transferred factors of economic aspect.
What is “Transmission Mechanisms?” Economists often try to substitute it in
good markets, financial markets, and the coordination of monetary policies. However,
in this duration of the empirical analysis, using only these proxy variables to explain
BCCs between two countries seems too limited. According to this situation, we
believe if the BCCs can be explained by using proxy factors of non-economic variable, the result can be utilized by making up the defect.
We attempt to find new factors in political approach and combine with the “Transmission Mechanisms” that we have introduced earlier.

To analyze further economic implication in our research, five conclusions have
been summarized below:
Firstly, increasing bilateral trade has significantly provided positive effect to
BCCs among G7 countries from 1980 to 2002. Because bilateral trade intensity index is endogenous , we use exogenous variable as instrumental variable to estimate “Trade”. Secondly, we use Panel method to expand its matrix. Finally, we improve the empirical estimators of insignificant statistics before. So, when we talk about
the relations between BCCs and good and service markets, we must consider these
exogenous factors. Eventually, we will receive more detailed results.
Secondly, although to trade in financial markets can increase the BCCs between
two countries, the statistic report is insignificant . About this
empirical result, we can obtain reasonable explanations from the researches (for
instance: Imbs, 2004 or Kose et al, 2003), they point out that financial markets are
bound excessively by globalization. Therefore, this will aggravatingly make each
country to focus on its specialization. Finally, this situation will make the BCCs
getting collapsed among these countries. This also explains that the specialization
among these countries will reduce the positive effect from the BBCs to financial
markets.
Thirdly, in the research, the statistics effect of the trade intensity index and specialization are significant negative. It means that when good in transaction will result in more specialization. Two countries have similar industrial structure.Imbs(2004) consider the problem is the index we use to measure bilateral trade intensity. This index was effected from two countries’ size . If use Clark and van Wincoop’s trade intensity index to measure the effect, we can find that significant specialization by comparative advantage effect.
Fourth, there are high level financial integration between two countries, because international risk sharing result in two countries have different industrial structure.
Lastly, in the research, the statistics effect of the party variables and business
cycle of correlations are very significant. This also indicates the political factor will
play an important role for many sources of the fluctuation tread of BCCs. In other
words, when we discuss the issue of BCCs if miss the contribution of political factors
to the BCCs. Then, this might cause the omitted variable biased, and finally cause
the whole computation become inefficient. In addition, we can have further discussion
by an input of a factor: to conserve the joint benefit of all the member countries in an
economic organization, these countries need to be ruled by the same ideal political
party. Otherwise, the institute will never reach its essential result.
Combining all the conclusions we have shown above, we can find out the BCCs
among G7 countries from 1980-2002. Besides the influence of the “Transmission
Mechanisms,” the result will be varied by the political factors. In conclusion, we need
to consider the contribution of the political party variables to the BCCs when talking
about this issue, therefore; the original theoretical model can be more persuasive.
According to a statistics of IMF, the BCCs among those industrial countries are
falling little by little in recent years. Therefore, consolidating trade cooperation is
essential for what we believe to improve the BCCs among G7. At the same time, pass
through a strong integrate monetary policy can move forward all the incumbent
parties from all the countries to agree among themselves, and even reach more
substantial effect. From the example like this, we might find evidence from BCCs
issues by discussing the integration process in European Monetary Union.

第一章緒論……………………………………………………….1
第一節研究動機……………………………………………………………1
第二節研究目的…………………………………………………………….2
第二章文獻回顧………………………………………………….4
第一節經濟景氣循環的文獻回顧………………………………………….4
第二節政治景氣循環的文獻回顧…………………………………………..9
第三章模型設定與實證研究方法………………………………13
第一節模型概述……………………………………………………………..13
第二節資料處理與傳導機制………………………………………… …….16
第三節實證計量方法………………………………………………….. …...23
第四章實證結果之分析………………………………………….37
第一節資料來源及研究變數之選取……………………………………….37
第二節工業國家的實證結果……………………………………………….38
第五章結論…………………………………………………….…50
附錄………………………………………………………………………… 53
參考文獻……………………………………………………………………66

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