臺灣博碩士論文加值系統

本文旨在檢視十五個歐盟主要會員國財政赤字維持性的問題，本文與過去文獻不同之處，當我們採用傳統的單根檢定方法時，大多數會因為樣本數較少，常有統計檢定力不足的現象。為了克服此問題，我們採用追蹤資料單根檢定，其特性為能夠改善小樣本資料限制的問題與提高統計檢定力。此外我們考慮財政赤字維持性的調整過程可能會呈現非線性的現象，進一步採用幾種非線性單根檢定方法進行檢定，以避免線性單根檢定因為忽略非線性特色而可能導致錯誤的結論。實證結果顯示，傳統的單根檢定傾向得到無法拒絕單根的虛無假設、或是無法得到一致的結論。其次，追蹤資料單根檢定結果顯示，比利時、芬蘭、希臘、義大利、荷蘭、葡萄牙、西班牙和瑞典這八個國家檢定結果為恆定數列。ESTAR非線性的單根檢定結果則顯示，除了荷蘭之外，其餘十四個國家的財政赤字維持性亦得到支持 ESTAR 型態的非線性恆定數列之結果。根據檢定結果，15 個歐盟主要會員國皆滿足長期財政維持性條件，隱含政府的財政赤字發生倒帳風險的機率並不高。

This thesis examines the budget deficits sustainability of 15 OECD countries. The features of this dissertation are as follows. First, we adopt a battery of panel unit root test to tackle of the low power problem of the traditional unit root tests. Second, we employ exponential smooth transition (ESTAR) unit root tests to detect the sustainability of budget deficit since the literature show that the adjustment of budget deficits could be nonlinear. Empirical results show that, first, traditional unit root tests tend to accept the null hypothesis of a unit root or do not get consistent conclusion. Second, panel unit roots indicate that the budget deficits of Belgium, Finland, Greece, Italy, Netherlands, Portugal, Spain, and Sweden are stationary. Finally, ESTAR-type nonlinear unit root test results indicate that fourteen OECD countries’ budget deficits are nonlinear stationary and in favor of sustainability, implying that the default risk of budget default is not high.

目錄
論文摘要 I
Abstract II
誌謝辭 II
目錄 IV
表目錄 VII
圖目錄 VIII

1 前言 1
2 歐洲十五個國家經濟背景說明 4
2.1 奧地利 4
2.2 比利時 4
2.3 丹麥 5
2.4 芬蘭 5
2.5 法國 5
2.6 德國 5
2.7 希臘 6
2.8 愛爾蘭 7
2.9 義大利 7
2.10 盧森堡 8
2.11 荷蘭 8
2.12 葡萄牙 8
2.13 西班牙 9
2.14 瑞典 11
2.15 英國 11
3 理論模型介紹 13
4 實證方法 16
4.1 線性單根檢定 16
4.1.1 Augmented Dickey-Fuller單根檢定法 16
4.1.2 Kwiatkowski, Phillips, Schmidt and Shin 單根檢定法 17
4.1.3 Elliot, Rothenberg and Stock單根檢定法 17
4.1.4 Ng and Perron單根檢定法 18
4.2 PANEL單根檢定 18
4.2.1 Levin, Lin and Chu單根檢定法 19
4.2.2 Breitung單根檢定法 20
4.2.3 Hadri 單根檢定法 21
4.2.4 IPS Penal單根檢定法 21
4.2.5 Fisher-ADF 和Fisher-PP Panel 單根檢定法 22
4.2.6 SURADF 單根檢定法 23
4.3 非線性單根檢定 23
4.3.1 ESTAR 非線性單根檢定法 23
5 資料說明與實證結果 26
5.1 資料來源與基本統計量 26
5.2 線性單根檢定結果 27
5.3 PANEL單根檢定結果 27
5.3.1 Levin, Lin and Chu單根檢定法 27
5.3.2 Breitung單根檢定法 28
5.3.3 Hadri 單根檢定法 28
5.3.4 IPS Penal單根檢定法 28
5.3.5 Fisher-ADF Panel單根檢定法 29
5.3.6 Fisher-PP Panel單根檢定法 29
5.3.7 SURADF 單根檢定法 29
5.4 ESTAR非線性單根檢定結果 30
5.5 與過去文獻比較 31
6 結論與建議 32
參考文獻 33



表目錄
1 財政赤字文獻整理 37
2 歐盟主要15個會員國之政府赤字占GDP的比例之基本統計量 41
3 歐盟主要15個會員國之財政赤字占GDP的比例之單根檢定 42
4 歐盟主要15個會員國之財政赤字占GDP的比例之Panel單根檢定 43
5 歐盟主要15個會員國之財政赤字占GDP的比例之SURADF單根檢定法 44
6 歐盟主要15個會員國之財政赤字占GDP的比例之ESTAR非線性單根檢定結果 45
7 綜合檢定結果 46
 
圖目錄
1 奧地利財政赤字占GDP的比率之時間趨勢圖 48
2 比利時財政赤字占GDP的比率之時間趨勢圖 48
3 丹麥財政赤字占GDP的比率之時間趨勢圖 49
4 芬蘭財政赤字占GDP的比率之時間趨勢圖 49
5 法國財政赤字占GDP的比率之時間趨勢圖 50
6 德國財政赤字占GDP的比率之時間趨勢圖 50
7 希臘財政赤字占GDP的比率之時間趨勢圖 51
8 愛爾蘭財政赤字占GDP的比率之時間趨勢圖 51
9 義大利財政赤字占GDP的比率之時間趨勢圖 52
10 盧森堡財政赤字占GDP的比率之時間趨勢圖 52
11 荷蘭財政赤字占GDP的比率之時間趨勢圖 53
12 葡萄牙財政赤字占GDP的比率之時間趨勢圖 53
13 西班牙財政赤字占GDP的比率之時間趨勢圖 54
14 瑞典財政赤字占GDP的比率之時間趨勢圖 54
15 英國財政赤字占GDP的比率之時間趨勢圖 55

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