臺灣博碩士論文加值系統

本文研究使用台灣1968-2004年之年資料，驗證台灣地區金融發展與經濟成長間的長期關係，並探討其因果關係。文中變數選取金融機構對民營企業放款與投資佔GDP之比來當作金融發展指標，經濟發展指標則選取人均實質生產毛額來替代，另外再加上貨幣供給額變數。文中模型是使VAR模型與VECM模型來估計兩者間的長期關係與因果關係，實證結果顯示金融發展在短期上對於經濟成長的影響不顯著，但是長期而言仍有正面的影響。在因果關係方面，本文採用Masih and Masih（1998）提出的方法，聯合解釋變數落後項與誤差修正項來檢定金融發展與經濟成長間的因果關係，結果顯示，金融發展與經濟成長間只存在單向的因果關係。

By using the annual data of Taiwan from 1968-2004 to examine the long-term relation between financial development and economic growth and examine Granger causuality. We use“the ratio of Loan and Investment of Major Financial Institutions-Claims on Private Enterprises and Others to GDP” as a proxy variable for Financial Development Index,“Gross Domestic Product”to substitute for Economic Growth Index, and add another variable, M1B. We do this by using vector autoregressive(VAR) model and vector error correction model(VECM) to examine the nature of statistical causuality between financial development and economic growth, and examine the long-term relationship. Our results indicate that financial development didn’t have significance effect on economic growth in the short term. However, it had positive effect on economic growth over a long period of time. Furthermore, we consolidate the lag terms of explanatory variables and the cointegration term by using Masih and Masih(1998) method to examine the causuality between financial development and economic growth. Our results indicate that finance development exists an one-way cause and effect relation with the economic growth only.

目錄

第一章 緒論 1
第一節 前言 1
第二節 研究動機與目的 2
第三節 本文架構 3

第二章 文獻回顧 4
第一節 理論文獻 4
第二節 實證文獻 7

第三章 實證流程與相關實證方法 11
第一節 單根檢定 13
第二節 共整合向量之估計與檢定 16
第三節 無線性趨勢檢定 21
第四節 向量誤差修正模型 22
第五節 Granger因果關係 23

第四章 實證結果與分析 27
第一節 資料來源與處理 27
第二節 單根檢定結果 28
第三節 向量自我迴歸模型檢定 29
第四節 共整合向量數目與無線性趨勢檢定 31
第五節 因果關係檢定 32

第五章 結論與未來研究方向 34
第一節 結論 34
第二節 未來研究方向 35

附錄圖表 36
附錄一（表次） 36
附錄二（圖次） 43

參考文獻 45

表次（附錄一）

資料來源與處理
表4-1-1：變數定義與資料來源一覽表 27

單根檢定
表4-2-1：原始序列單根檢定（ADF檢定表） 36
表4-2-2：原始序列單根檢定（PP檢定表） 36
表4-2-3：一階差分值單根檢定（ADF檢定表） 37
表4-2-4：一階差分值單根檢定（PP檢定表） 37

VAR模型最適落後期數選取
表4-3-1：最適落後期數選取表 38
表4-3-2：VAR最適落後期數檢定表 30

共整合向量數目與無線性趨勢檢定
表4-4-1：共整合檢定表 39
表4-4-2：無線性趨勢檢定表 39
表4-4-3：共整合模型表 40

因果關係檢定
表4-5-1：因果關係檢定表 42

圖次（附錄二）

圖3-1-1：實證流程圖 12
圖4-1-1：各變數原始值序列圖 43
圖4-1-2：各變數一階差分值序列圖 44

參考文獻

中文部分
何俊德 (1999)，＜金融自由化與經濟成長—台灣實證研究＞，中正大學國際經濟學研究所碩士論文。
范芝萍 (2000)，＜政府規模、外貿、投資與經濟成長的因果關係—台灣之實證研究＞，台北大學經濟學研究所碩士論文。
蔡麗蟬 (1996)，＜金融發展與經濟成長—台灣實證研究＞，淡江大學金融研究所碩士論文。
謝德宗 (1992)，＜金融發展與經濟成長關係之探討（上）＞，《台北市銀月刊》，第23卷第四期，頁2-20。
謝德宗 (1992)，＜金融發展與經濟成長關係之探討（下）＞，《台北市銀月刊》，第23卷第五期，頁39-61。

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