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研究生:王秋郁
論文名稱:資本移動、外部失衡與貨幣聯盟危機
論文名稱(外文):Capital Mobility, External Imbalance, and European Monetary Union Crisis
指導教授:顏厚棟顏厚棟引用關係
口試委員:劉宗欣吳紀瑩
口試日期:2013-07-29
學位類別:碩士
校院名稱:逢甲大學
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
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:180
中文關鍵詞:經常帳資本移動歐元區加成向量自我迴歸模型ARDL
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2008年美國之次貸危機引發了全球金融風爆,自2002年成立之貨幣聯盟亦受困於主權債務危機(Sovereign-debt crisis)、銀行危機(Bank crisis)和國際收支帳危機(Balance of Payments) 三大問題之中,危及歐元之存廢。造成歐元與歐盟危機之原因眾多,本研究擬從歐元內部經常帳失衡以及融通方式之不一致現象來分析危機之原因。全文共分三大部分:首先,分析核心(德國、法國、荷蘭)、外圍(希臘、愛爾蘭、葡萄牙、西班牙)、與新興市場(捷克共和國、匈牙利、波蘭)等三類國家經常帳出現不一致之現象,並利用Penn World Table資料檢視各國實質匯率的變動說明造成經常帳惡化之原因,我們發現外圍國家和新興國家競爭力明顯降低,惡化其經常帳。其次,分析如何透過國際資本移動來融通經常帳,並以存量資料檢視三大指數:金融開放指數、債權-股權比例指數與Grubel–Lloyd指數分析核心國家、外圍國家與新興國家經常帳融通方式、金融開放程度與各國資產組合的變動差異。第三部分以時間序列資料 (Time series) 探討1990至2007年間各國淨(與毛)資本流入和經常帳(與投資和儲蓄)之間的因果關係。我們發現主導核心和外圍國家之資本移動與經常帳因果關係者為跨期經常帳假說,根據此假說經常帳影響資本移動,亦即資本移動是為了融通經常帳,主要原因是歐洲聯盟成立後的成長收斂效應;而主導新興國家之資本移動與經常帳因果關係者為金融全球化下之資產組合現象和加入歐盟後樂觀的預期效果,因此新興國家中往往可以發現,資本移動促使經常帳失衡,亦即出現資本移動影響經常帳之因果關係。
目錄
第一章 緒論 1
第一節 歐元區危機 1
一 外部因素-金融海嘯衝擊 4
二 內部因素-參差不齊的發展 7
第二節 經常帳失衡與歐洲貨幣聯盟危機 8
第二章 歐盟外部失衡與不對稱發展 12
第一節 不對稱的經常帳 14
一 歐元區 14
二 核心國家-德國、法國、荷蘭 15
三 外圍國家-希臘、愛爾蘭、葡萄牙、西班牙 16
四 新興國家-捷克共和國、匈牙利、波蘭 17
第二節 不對稱的形成原因 19
一 實質匯率失調 (Exchange rate misalignment) 19
二 結構性失調-儲蓄與投資 (Saving and Investment) 24
第三章 資本移動與國外資產 34
第一節 歐洲地區的資本移動 35
一 歐元區 36
二 核心國家-德國、法國、荷蘭 37
三 外圍國家-希臘、愛爾蘭、葡萄牙、西班牙 38
四 新興國家-捷克共和國、匈牙利、波蘭 39
第二節 資本移動分析 40
一 原因 41
二 組成 41
第三節 資本移動分析 43
一 資本淨移動分析 44
二 毛資本流入分析 53
第四節 金融開放程度:存量分析 63
一 金融發展指數 (Degree of Financial Openness;FO index) 63
二 債權-股權比例指數 (Debt-Equity Ratio Index;DE index) 65
三 Grubel–Lloyd指數 (Grubel–Lloyd Index;GL index) 69
第四章 資本移動與經常帳之因果關係 73
第一節 資本移動與經常帳因果關係假說 74
第二節 計量方法 76
一 單根檢定 76
二 加成向量自我迴歸 78
三 自我遞延迴歸模型 79
第三節 實證結果分析(淨資本流入) 81
一 加成向量自我迴歸模型 82
二 自我遞延迴歸模型 83
第四節 實證結果與分析(毛資本流入) 86
一 加成向量自我迴歸模型 86
二 自我遞延迴歸模型 87
第五章 結論 89
參考文獻 92
附錄A歐盟與歐元區發展 98
一 最適通貨區 99
附錄B泛歐自動即時總額清算系統 (Trans-European Automated Real-time Gross Settlement System) 105
一 什麼是TARGET2? 105
二 TARGET2的失衡 106
三 TARGET餘額意義? 107
四 失衡原因、過程與後果 109
附錄C圖附錄 110
附錄D統計結果 113
附錄E計量結果 129
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