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研究生:楊協峰
研究生(外文):Xie-Feng Yang
論文名稱:OECD國家債務永續性之實證研究-分量單根檢定之應用
論文名稱(外文):An empirical analysis of public debt sustainability in the OECD countries:Evidence from the quantile unit root test
指導教授:李政峰李政峰引用關係
指導教授(外文):Cheng-Feng Lee
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:企業管理系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:50
中文關鍵詞:財政永續性跨期預算限制分量單根檢定
外文關鍵詞:Fiscal sustainabilityIntertemporal budget constraintQuantile unit root test
相關次數:
  • 被引用被引用:5
  • 點閱點閱:264
  • 評分評分:
  • 下載下載:7
  • 收藏至我的研究室書目清單書目收藏:0
受到2008年金融海嘯的影響,各國政府大量舉債以刺激經濟,而擴張性財政政策的代價卻是政府債務的快速累積。過往的文獻通常在線性架構下探討國家財政永續性,這些研究的一個共同基本假設是經濟的時間序列具有對稱動態行為與常態分配假設,而近期的研究則在非線性架構下探討國家財政永續性,但這些非線性模型是在條件平均下去進行估計,無法估計數列在不同條件分量下的行為,因此本研究應用Koenker and Xiao (2004)的分量單根檢定方法,採用OECD等10個國家在1977-2010年間的年度資料,來檢驗政府債務的永續性。
實證結果發現,各國政府的債務不僅具有均數復歸行為,且呈現不對稱的動態調整行為。在低分量下,面對負面衝擊,政府債務呈現均數復歸行為,表示政府財政政策具有財政永續性。相反地,在高分量下,面對正面衝擊,則顯示明顯的單根行為,表示政府財政政策不具有財政永續性。此結果可供財政當局參考,當債務所得比達到一定門檻(某一分量)時,財政當局應有危機意識,審慎地檢視當前的財政政策,以達到財政長期之均衡。
The aftermath of 2008 financial crisis forces governments all over the world to stimulate the economy by large loans. However, such expansion fiscal policy results in a rapid accumulation of public debt. Past literature generally investigates the issue of fiscal sustainability by using linear framework where a basic and common assumption is that economic time series is characterized by symmetric dynamic behavior and normal distribution; however recent studies of fiscal sustainability emphasize the importance of non-linear behavior. To this end, this thesis reexamines the behavior of public debt in selected OECD countries, spanning from 1977 to 2010, with the new quantile unit root test of Koenker and Xiao (2004).
Our empirical evidence shows that the public debt of governments not only exhibits mean reversion but also an asymmetric dynamic adjustment behavior. In details, at the lower quantiles, a mean reversion behavior is found as the negative shock hits the public debt series, indicating the sustainability of the government’s fiscal policy. On the contrary, unit-root behavior is found at the upper quantiles when the positive shock hit the series, showing the tendency of the lack of sustainability in the governmental fiscal policy. We also provide some important implications to the financial authority that if the government debt-to-GDP ratio reaches a certain threshold level, the government should be alert and examines the current fiscal policy with great caution to reach a long-run financial equilibrium.
目錄
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的及範圍 5
第三節 研究架構 7
第二章 文獻回顧 8
第一節 財政永續性 8
第二節 國外財政永續性實證方法 9
第三章 研究方法 14
第一節 財政永續模型 14
第二節 恆定性與非恆定性 16
第三節 單根檢定 17
第四節 分量單根檢定 20
第四章 實證結果分析 23
第一節 資料概述 23
第二節 分量迴歸結果 29
第五章 結論 36
參考文獻 38
中文部分 38
英文部分 38
中文部分
李政峰,2011,「失業率的不對稱行為:共變量分量單根檢定的證據」,行政院國家科學委員會執行中計畫,計畫編號100-2410-H-151-018。
陳旭昇,2009,《時間序列分析:總體經濟與財務金融之應用》,台北市:東華書局。
蘇建榮,2005,「我國政府財政永續性之實證分析」,台北大學第九屆經濟發展學術研討會。
英文部分
Afonso, A. and Rault, C. (2010), “What do we really know about fiscal sustainability in the EU?A panel data diagnostic,” Review of World Economics,145(4), 731-755.
Arestis, P., Cipollini, A., Fattouh, B., (2004), “Threshold effects in the U.S. budget deficit,” Economic Inquiry, 42(2), 214-222.
Barro, R.J. (1986), “U.S. deficits since World War I,” Scandinavian Journal of Economics, 88(1), 195-222.
Bertola, G. and A. Drazen (1993), “Trigger points and budget culs: Explaining the effects of fiscal austerity,” American Economic Review, 83(1), 11-26.
Buiter, W. H. (1985), “A guide to public sector debt and deficits,” Economic Policy:A European Forum, 11(1), 13-79.
Cuddington, J. T. (1996), “Analysing the sustainability of fiscal deficits in developing countries,” Georgetown University working paper 97/01.
Davig, T. (2005), “Periodically expanding discounted public debt: A threat to fiscal policy sustainability?,” Journal of Applied Econometrics, 20 (7), 829-840.
Dickey, D.A. and Fuller W.A. (1979), “Distribution of the estimators for autoregressive time series with a unit root,” Journal of American Statistical Association, 74,427-431.
Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and error-correction: Representation, estimation and testing,” Econometrica, 55,251-276.
Garcia, M. and Rigobon, R. (2004), “A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data,” NBER Working Paper 10336.
Granger, C. W. J. and Newbold, P. (1974), “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
Hakkio, C. S. and R. Mark (1991), “Is the budget deficit ‘too large’?,” Economic Inquiry , 29(3) , 429-445.
Hamilton, J. D. and M. A. Flavin (1986), “On the limitations of government borrowing: A framework for empirical testing,” American Economic Review, 76(4), 808-819.
Koenker, R. and Bassett, G. (1978), “Regression quantiles,” Econometrica,46,33-49.
Koenker, R. and Z. Xiao (2004), “Unit root quantile autoregression inference,” Journal of the American Statistical Society, 99(467), 775-787.
Lima, L. R., Gaglianone, W.P., Sampaio, R. M.B. (2008), “Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach,” Journal of Development Economic, 86, 313-335.
Quintos, Carmela E. (1995), “Sustainability of the deficit process with structural shifts,” Journal of Business & Economic Statistics, 13, 409-417.
Said, S. E. and Dickey, D.A. (1984), “Testing for unit roots in autoregressive-moving average of unknown order,” Biometrika, 71(3), 599-607.
Sarno, L. (2001), “The behavior of US public debt: A nonlinear perspective,” Economics Letters, 74(1), 119-125.
Trehan, B. and C. E. Walsh (1988), “Common trends, the government’s budget constraint, and revenue smoothing,” Journal of Economic Dynamics and Control, 12, 425-444.
Tsong, C. C. and Lee, C. F., (2011), “Asymmetric inflation dynamics: Evidence from quantile regression analysis,” Journal of Macroeconomics, 33(4), 668-680.
Wilcox, D. W. (1989), “The sustainability of government deficits: Implications of the present value borrowing constraint,” Journal of Money, Credit and Banking, 21(3), 291-306.
Zee, H. H. (1988), “The sustainability and optimality of government debt,” IMF Staff Papers, 35(4), 658-685.
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