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研究生:岳俊豪
研究生(外文):Chun-Hao Yueh
論文名稱:政經結構變遷與景氣循環-台灣的實證研究
論文名稱(外文):Democratization, Globalization and Business Cycles: Evidence from Taiwan
指導教授:林向愷林向愷引用關係蕭文宗蕭文宗引用關係
指導教授(外文):Kenneth S. Lin
學位類別:博士
校院名稱:國立臺北大學
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
畢業學年度:98
語文別:中文
論文頁數:102
中文關鍵詞:民主化全球化景氣循環GARCH模型
外文關鍵詞:DemocratizationGlobalizationBusiness CyclesGARCH model
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本論文是以景氣循環研究與台灣政經結構變遷為主軸的三篇相關文章。首先,論文的第二章發展一套探討景氣波動是否存在跨時異質現象的統計檢定方法,並發現1987年後台灣主要總體經濟變數景氣波動變異程度明顯下降,而民間投資與每人平均工時於2000年後再度上升。該章再利用EGARCH-X模型以了解1987年後,民主化、全球化以及產業結構變遷對上述景氣波動變異程度的影響,估計結果顯示民主化是導致台灣景氣波動變異程度下降最關鍵的因素,但2000年後台灣資金外流無法解釋民間投資與每人平均工時景氣波動變異程度持續變大的現象。
論文的第三章探討台灣儲蓄與投資相關性之跨時異質性,以及1987年後民主化、貿易自由化以及金融國際化對儲蓄與投資關係的影響。為此,該章發展一套兩階段的處理方法,首先將儲蓄與投資波動幅度中的跨時異質性剔除,再探討影響儲蓄與投資相關性之因素。透過雙變量DCC GARCH-X模型估計結果,在第一階段發現民主化具有抑制景氣波動的效果,而2000年後儲蓄與投資相關性顯著上升係因儲蓄與投資的波動程度受民主化影響而下降。第二階段估計結果則顯示,已剔除波動異質性的儲蓄與投資仍為正向相關且相關係數具跨時異質性,其中金融開放程度對儲蓄與投資相關性有顯著的正向影響。
論文的第四章在探討台灣國民所得帳中主要總體變數以及勞動市場相關變數長期成長趨勢與短期景氣波動的認定是否受到政經結構變遷的影響。該章以成長理論強調的線性時間趨勢加上政經結構因素如民主化、全球化等,做為總體變數去除長期趨勢的方法,並與景氣循環研究常用的HP filter相比較。實證結果顯示,去除掉包含政經結構因素的長期趨勢後,所歸納之台灣景氣循環典型現象相較於HP filter更能呈現如Danthine and Girardin(1989)與Blackburn and Ravn(1992)等學者所強調之景氣循環「時間獨立」性質。
This dissertation consists of three related articles which contribute to the business cycles and institutional changes in Taiwan. The first essay in Chapter 2 investigates the time-varying volatility of business cycles in Taiwan from an institutional perspective. Test results reveal that the volatility has substantially declined for most macroeconomic variables since 1987, and private investment and hours worked per capita rose again after 2000. Then, we use an EGARCH-X model to identify the empirical link between democratization, globalization, and other structural changes and time-varying properties of volatility, and find that democratization is the most significant contributing factor.
The second essay in Chapter 3 investigates the time-varying correlation of national saving and domestic investment, and the link between the major institutional changes since 1987 in Taiwan. We use a two-step estimation to account for time-varying volatility in saving and investment first, and investigate the correlation property after that. By the multivariate DCC GARCH-X model, we find that democratization is the most contributing factor to suppress saving and investment volatility, which also results the rising correlation after 2000. In the second stage, we find that financial openness has a significant positive impact on the correlation of saving and investment.
The third essay in Chapter 4 clarifies whether the long-run trend and short-run cycle identification is related to institutional changes in Taiwan. Given that the most popular Hodrick-Prescott (HP) filter could distort some important stylized facts of business cycles, this essay explicitly incorporates factors such as democratization and globalization in the trend-removing procedure. The resulting empirical regularities of business cycles are more time-invariant than those using HP filter. Hence, by properly taking into account the possible effects of these institutional factors on growth, our approach provides a better integration of new growth theory and business cycles.
目 錄
第一章 導 論 1
第二章 政經結構變遷與景氣波動:台灣的實證研究 3
1.前言 3
2.台灣景氣波動的跨時異質性 9
2.1時間趨勢的處理 10
2.2台灣景氣波動的典型現象 11
2.3景氣波動跨時異質性檢定 14
3.計量模型設定與估計 18
3.1計量模型設定 19
3.2景氣波動存在跨時異質性現象 23
3.3政經結構是景氣波動跨時異質性重要的決定因素 26
3.4民主化為影響景氣波動跨時異質性的重要因素 32
3.5 2000年後資金外移與景氣波動變異程度的變化 35
3.6台灣景氣波動典型現象存在跨時異質性 38
4.結論 40
附錄:資料來源與說明 40
參考文獻 42
第三章 政經結構變遷與儲蓄投資關係:台灣的實證研究 47
1.前言 47
2.台灣資料與初步分析 51
3.計量模型設定與估計結果 56
3.1計量模型設定 56
3.2第一階段:儲蓄與投資變異數跨時異質性 60
3.3第二階段儲蓄與投資共變異數跨時異質性 66
4.結論 68
附錄:資料來源與說明 69
參考文獻 70
第四章 政經結構變遷與時間趨勢及景氣循環:台灣的實證研究75
1.前言 75
2.民主化、全球化與產業結構變遷對總體經濟的影響 78
3.政經結構變遷與景氣循環特徵跨時異質性 81
3.1時間趨勢處理 81
3.2考慮政經結構變遷的時間趨勢設定結果 83
3.3 HP filter所得之台灣景氣波動存在跨時異質性 88
3.4景氣循環典型現象跨時異質性檢定 93
4.結論 97
參考文獻 98
第五章 結 論 101
第二章參考文獻
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林萬億 (2007), 「社會志-社會福利篇」, 蕭新煌(主編), 《台灣全志》卷九, 國史館台灣文獻館。
徐士勛、管中閔 (2001), 「九零年代台灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用」, 《人文及社會科學集刊》, 13, 515-540。
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Ambler, S., E. Cardia and C. Zimmermann (2004), “International Business Cycles: What Are the Facts?” Journal of Monetary Economics, 51, 257-276.
Backus, D. and P. Kehoe (1992), “International Evidence on the Historical Properties of Business Cycles,” American Economic Review, 82, 864-888.
Backus, D. and M. Crucini (2000), “Oil Prices and the Terms of Trade,” Journal of International Economics, 50, 185-213.
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Danthine, J. and J. Donaldson (1993), “Methodological and Empirical Issues in Real Business Cycle Theory,” European Economic Review, 37, 1-35.
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Horvath, M. (2000), “Sectoral Shocks and Aggregate Fluctuations,” Journal of Monetary Economics, 45, 69-106.
Hummels, D., J. Ishii and K. Yi (2001), “The Nature and Growth of Vertical Specialization in World Trade,” Journal of International Economics, 54, 75-96.
Kim, K. and Y. Choi (1997), “Business Cycles in Korea: Is There Any Stylized Feature?” Journal of Economic Studies, 24, 275-293.
Kim, H., A. Kose and M. Plummer (2003), “Dynamics of Business Cycles in Asia: Differences and Similarities,” Review of Development Economics, 7, 462-477.
Kose, A., E. Prasad and M. Terrones (2003a), “Financial Integration and Macroeconomic Volatility,” IMF Working Paper, No. 50.
Kose, A., E. Prasad and M. Terrones (2003b), “Volatility and Comovement in a Globalized World Economy: An Empirical Exploration,” IMF Working Paper, No. 246.
Kydland, F. and E. Prescott (1982), “Time to Build and Aggregate Fluctuations,” Econometrica, 50, 1345-1371.
Kydland, F. and E. Prescott (1990), “Business Cycles: Real Facts and a Monetary Myth,” Federal Reserve Bank of Minneapolis Quarterly Review, 14, 3-18.
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Newey, W. and K. West (1987), “Hypothesis Testing with Efficient Method of Moments Estimation,” International Economic Review, 28, 777-787.
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Obstfeld, M. (2004), “Globalization, Macroeconomic Performance, and the Exchange Rates of Emerging Economies,” NBER Working Paper, No. 10849.
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Rodrik, D. (1999), “Democracies Pay Higher Wages,” Quarterly Journal of Economics, 114, 707-738.
Rodrik, D. (2000), “Participatory Politics, Social Cooperation, and Economic Stability,” American Economic Review, 90, 140-144.
Sah, R. (1991), “Fallibility in Human Organizations and Political Systems,” Journal of Economic Perspectives, 5, 67-88.
Stock, J. and M. Watson (2005), “Understanding Changes in International Business Cycle Dynamics,” Journal of European Economic Association, 3, 968-1006.
Weber, S. (1997), “The End of the Business Cycle?” Foreign Affairs, 76, 65-82.
White, H. (1982), “Maximum Likelihood Estimation of Misspecified Models,” Econometrica, 50, 1-25.

第三章參考文獻
林向愷、岳俊豪 (2009), 「政經結構變遷與景氣波動-台灣的實證研究」, 《經濟論文》, 37, 411-456。
王凱立、陳美玲 (2002), 「美國和台灣股票期現貨市場之動態關聯:一般化多變量GARCH模型的應用」, 《經濟論文》, 30, 363-407。
王高文、毛維凌 (2004), 「單一方程式共整合-GARCH模型:台灣股市之實證研究」, 《經濟論文叢刊》, 32, 1-24。
張淑華 (1999),「戰後台灣景氣循環之特徵」, 《台灣銀行季刊》, 50, 85-107。
Aghion, P., A. Alesina, and F. Trebbi (2007), “Democracy, Technology and Growth,” NBER Working Paper, No. 13180.
Backus, D. and M. Crucini (2000), “Oil Prices and the Terms of Trade,” Journal of International Economics, 50, 185-213.
Baxter, M. and J. Crucini (1993), “Explaining Saving-Investment Correlations,” American Economic Review, 83, 416-436.
Bollerslev, T. (1990), “Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model,” Review of Economics and Statistics, 72, 498-505.
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Kim, K. and Y. Choi (1997), “Business Cycles in Korea: Is There Any Stylized Feature?” Journal of Economic Studies, 24, 275-293.
Kim, H., A. Kose and M. Plummer (2003), “Dynamics of Business Cycles in Asia: Differences and Similarities,” Review of Development Economics, 7, 462-477.
Kose, A., E. Prasad and M. Terrones (2003a), “Financial Integration and Macroeconomic Volatility,” IMF Working Paper, No. 50.
Kose, A., E. Prasad and M. Terrones (2003b), “Volatility and Comovement in a Globalized World Economy: An Empirical Exploration,” IMF Working Paper, No. 246.
Lane, P. (2001), “Do International Investment Income Flows Smooth Income?” Weltwirtschaftliches Archiv, 137, 714-736.
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Obstfeld, M. (2004), “Globalization, Macroeconomic Performance, and the Exchange Rates of Emerging Economies,” NBER Working Paper, No. 10849.
Prasad, E., K. Rogoff, S. Wei and A. Kose (2004), “Financial Globalization, Growth and Volatility in Developing Countries,” NBER Working Paper, No. 10942.
Pritchett, L. (1997), “Economic Growth: Hills, Plains, Mountains, Plateaus and Cliffs,” unpublished paper, World Bank.
Quinn. D. and J. Woolley (2001), “Democracy and National Economic Performance: The Preference for Stability,” American Journal of Political Science, 45, 634-657.
Rodrik, D. (1997), “Democracy and Economic Performance,” Prepared for a conference on Democratization and Economic Reform in South Africa, Cape Town, Jan. 1998.
Rodrik, D. (1999), “Democracies Pay Higher Wages,” Quarterly Journal of Economics, 114, 707-738.
Rodrik, D. (2000), “Participatory Politics, Social Cooperation, and Economic Stability,” American Economic Review, 90, 140-144.
Sah, R. (1991), “Fallibility in Human Organizations and Political Systems,” Journal of Economic Perspectives, 5, 67-88.
Singh, T. (2007), “Intertemporal Optimizing Models of Trade and Current Account Balance: A Survey,” Journal of Economic Surveys, 21, 25-64.
Stock, J. and M. Watson (2005), “Understanding Changes in International Business Cycle Dynamics,” Journal of European Economic Association, 3, 968-1006.
Tsear, L. (1991), “Savings, Investment and International Capital Flows,” Journal of International Economics, 31, 55-78.
Weber, S. (1997), “The End of the Business Cycle?” Foreign Affairs, 76, 65-82.
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第四章參考文獻
李秀雲 (2005), 「貿易條件與開放經濟失業率之單根-兼論台灣自然率之估計」, 《經濟論文》, 33, 35-66。
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Ambler, S., E. Cardia and C. Zimmermann(2004), “International Business Cycles: What Are the Facts?” Journal of Monetary Economics, 51, 257-276.
Backus, D. and P. Kehoe(1992), “International Evidence on the Historical Properties of Business Cycles,” American Economic Review, 82, 864-888.
Backus, D., P. Kehoe and F. Kydland(1992), “International Real Business Cycles,” Journal of Political Economy, 101,745-775.
Blackburn, K. and M. Ravn(1992), “Business Cycles in the United Kingdom: Facts and Fictions,” Economica, 59, 383-401.
Christiano, L. and M. Eichenbaum(1992), “Current Real–Business–Cycle Theories and Aggregate Labor–Market Fluctuations,” American Economic Review, 82, 430-450.
Danthine, J. and M. Girardin(1989), “Business Cycles in Switzerland: A Comparative Study,” European Economic Review, 33, 31-50.
Heathcote, J. and F. Perri(2002), “Financial Autarky and International Business Cycles,” Journal of Monetary Economics, 49, 621-632.
Kim, K. and Y. Choi(1997), “Business Cycles in Korea: Is there any Stylized Feature?” Journal of Economic Studies, 24, 275-293.
Kose, A., E. Prasad and M. Terrones(2003a), “Financial Integration and Macroeconomic Volatility,” IMF Working Paper, No. 50.
Kose, A., E. Prasad and M. Terrones(2003b), “Volatility and Comovement in a Globalized World Economy: An Empirical Exploration,” IMF Working Paper, No. 246.
Kydland, F. and E. Prescott(1982), “Time to Build and Aggregate Fluctuations,” Econometrica, 50, 1345-1371.
Kydland, F. and E. Prescott(1990), “Business Cycles: Real Facts and a Monetary Myth,” Federal Reserve Bank of Minneapolis Quarterly Review, 14, 3-18.
Lane, P.(2001), “Do International Investment Income Flows Smooth Income?” Weltwirtschaftliches Archiv, 137, 714-736.
Lucas, R.(1977), “Understanding Business Cycles,” in K. Brunner and A. Meltzer eds., Stabilization of the Domestic and International Economy, 7-29, Carnegie- Rochester Conference Series 5, Amsterdam: North-Holland.
Nerlove, M., D. Grether and J. Carvalho (1979), Analysis of Economic Time Series: A Synthesis. New York: Academic Press.
Newey, W. and K. West(1987), “Hypothesis Testing with Efficient Method of Moments Estimation,” International Economic Review, 28, 777-787.
Obstfeld, M. and K. Rogoff(1998), Foundations of International Macroeconomics, The MIT Press.
Obstfeld, M.(2004), “Globalization, Macroeconomic Performance, and the Exchange Rates of Emerging Economies,” NBER Working Paper, No. 10849.
Prasad, E., K. Rogoff, S. Wei and A. Kose(2004), “Financial Globalizaiton, Growth and Volatility in Developing Countries,” NBER Working Paper, No. 10942.
Prichett, L.(1997), “Economic Growth: Hills, Plains, Mountains, Plateaus and Cliffs,” unpublished paper, World Bank.
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11. 王凱立、陳美玲 (2002), 「美國和台灣股票期現貨市場之動態關聯:一般化多變量GARCH模型的應用」, 《經濟論文》, 30, 363-407。
12. 王凱立、陳美玲 (2002), 「美國和台灣股票期現貨市場之動態關聯:一般化多變量GARCH模型的應用」, 《經濟論文》, 30, 363-407。
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