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研究生:楊惠文
研究生(外文):Huei-Wen, Yang
論文名稱:人力資本對經濟成長率的影響---小波理論之應用
論文名稱(外文):The Impact of Human Capital on the Economic Growth:the Application of Wavelet Theorem
指導教授:陳文典陳文典引用關係
指導教授(外文):Wen-Den, Chen
口試委員:陳文典廖培賢姚名鴻
口試委員(外文):Wen-Den, ChenPeir-Shyan, LiawMing-Hung, Yao
口試日期:2012-06-06
學位類別:碩士
校院名稱:東海大學
系所名稱:經濟系
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
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:59
中文關鍵詞:內生成長模型經濟成長人力資本小波理論單根檢定向量自我迴歸共整合Granger因果關係
外文關鍵詞:Endogenous growth modelEconomic growthHuman capitalWavelet theoremUnit rootVector autoregressionCointegratedGranger causality
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既存總體經濟有關儲蓄率對經濟成長率的實證研究,大多顯示一個國家儲蓄率的高低可反映出該國經濟發展的實力,而儲蓄不但是一國投資資金的主要來源,更是一國資本得以累積與經濟得以持續成長的主要驅動力量,西元1993年的諾貝爾經濟獎得主Lucas(1988)、Romer(1986)與Mankiw et al.(1992)提出教育、研究與發展(R&D) 、在職訓練(on the job training)與邊作邊學(learning by doing)等皆有利於人力資本(Human Capital)的累積,也有助於知識經濟擴展與經濟成長;本文擬以Mankiw et al.(1992)的內生成長模型(Endogenous Growth Model)為基礎,同時引進人力資本進行實證分析,藉以探索人力資本、儲蓄率以及經濟成長率是否有雙向之影響效果。
本研究採用小波轉換分析(Wavelet Transform Analysis)進行實證分析,小波轉換分析是透過伸縮與平移對序列進行多重解析分析(Multi-resolution Analysis),並且利用時間與頻率局部的變換找尋數列的頻譜關係,故本文透過Donoho and Johnstone (1994)所發展出的小波收縮(wavelet shrinkage)找尋數列之分解,將季資料利用離散小波轉換(Discrete Wavelet Transform,DWT)以拆解後,重組回(reconstruction)原始長度之數值,並將拆解後的資料進行單根檢定(Unit Root Test),檢測其資料是否具有穩定性,將具有穩定性的資料進行Granger因果關係檢定(Granger Causality Test);將不具有穩定之資料利用共整合(Cointegrated)檢定其相關性。
In the literature, the level of the saving rate usually reflects the strength of the country’s development. In the empirical studies, the saving rate could be used as a component to influence the economical growth. Moreover the saving rate is not only the main source of a country’s investment funds but also a kind of accumulated assets and the main driving power of the economy continuous growing. Lucas (1988) who is a economical Nobelist in 1993, Romer (1986) and Mankiw et al. (1992) addressed the education, R&D, on the job training, and learning by doing and so on, these are conducive to the accumulation of human capital, and also contribute to the expansion of knowledge-based economy and economic growth. In this thesis, we used Mankiw et al. (1992) endogenous growth model as a foundation, and introduced to human capital for the empirical analysis, and to explore whether the human capital, savings rate and economic growth have the two-way influence effects.
In this research, we used wavelet transform analysis to analyze Taiwan macroeconomic data. Wavelet transform analysis has the flexibility and multi-resolution properties, and it can change the located time and scaling to find out the series spectrum. We used wavelet shrinkage which Donoho and Johnstone (1994) developed to clip our series, and used discrete wavelet transform to decompose the seasonal data. Finally, we construct this decomposed data and utilize the unit root to check the data whether it is stationary or not, and then take the stationary data to check the relation with Granger causality test, and take the non-stationary data to check the relation with co-integrated.
第一章 緒論 1
1.1 研究動機與目的 1
1.2 本文架構 2
第二章 文獻回顧 4
2.1 內生成長理論文獻回顧 4
2.2 實證理論文獻回顧 5
2.3 小波轉換分析文獻回顧 6
第三章 理論模型與研究方法 10
3.1 理論模型 10
3.2 小波轉換分析 12
3.3 單根檢定 21
3.4 向量自我迴歸 22
3.5 共整合檢定與向量誤差修正模型 23
3.6 Granger因果關係檢定 24
3.7 衝擊反應函數分析 25
第四章 實證結果與分析 27
4.1 資料來源與處理 27
4.2 小波轉換分析 28
4.3 單根檢定 32
4.4 向量自我迴歸檢定 34
4.5 共整合檢定與向量誤差修正模型 35
4.6 Granger因果關係檢定 38
4.7 衝擊反應函數分析 42
第五章 結論與建議 47
5.2 建議 48
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