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研究生:何宜靜
研究生(外文):HO,YI-CHING
論文名稱:新興市場的金融發展與經濟成長之探討–東南亞四國之實證
論文名稱(外文):Financial Development and Economic Growth in Emerging Markets-Evidence from Four Southeast Asian Countries
指導教授:何艷宏何艷宏引用關係黃瓊如黃瓊如引用關係
指導教授(外文):HO,YUAN-HONGHUANG, CHIUNG-JU
口試委員:何艷宏黃瓊如羅勝議
口試委員(外文):HO,YUAN-HONGHUANG, CHIUNG-JULO, SHENG-YI
口試日期:2020-05-27
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財稅學系
學門:商業及管理學門
學類:財政學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:57
中文關鍵詞:金融發展經濟成長追蹤資料向量誤差修正模型追蹤資料向量誤差修正模型下的Granger因果關係檢定
外文關鍵詞:Financial DevelopmentEconomic GrowthPVECMGranger causality test in PVECM
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本研究以1996年至2017年為研究期間,探討金融發展與經濟成長的關聯性,了解兩者的關係。實證國家的選取是依2019年11月發布的MSCI新興市場指數研究中涵蓋的東南亞新興市場,依序為: 印尼、馬來西亞、菲律賓、泰國。本研究之變數為經濟成長、金融發展、外國直接投資、經濟自由度,其中,金融發展採用IMF(2016)發布的金融發展指數,總結了金融機構和金融市場在深度、獲取和效率方面的狀況,可以克服以單一指標作為金融發展指標的缺點,目前鮮少研究採用該指數。本研究依追蹤資料單根檢定及追蹤資料共整合檢定之結果,採用追蹤資料向量誤差修正模型(Panel Vector Error Correction Model, PVECM)進行分析,最後再以追蹤資料向量誤差修正模型下的 Granger因果關係檢定再次確認變數間是否存在因果關係。
根據PVECM結果,在印尼、馬來西亞、菲律賓、泰國,短期時,前一期金融發展變動對本期經濟成長變動有顯著負向的影響,前一期金融發展變動會單向影響到本期經濟成長變動。此外,前一期經濟自由度變動對本期經濟成長變動有顯著正向的影響。長期而言,誤差修正項會顯著影響經濟成長,表示當經濟成長與其他變數脫離長期均衡關係時,會受其他與經濟成長共整合的相關變數,如金融發展、外國直接投資、經濟自由度的影響,誤差修正項為正,表示若經濟成長的變動過低,會正向調整至長期均衡。另外,根據PVECM下的 Granger因果關係檢定結果顯示,金融發展對經濟成長具有單向因果關係,從經濟自由度到經濟成長亦具有單向因果關係。本研究也提出以下建議: 一、短期時國家法制尚未完備,金融機構和金融市場更開放反而會對經濟成長造成負向影響,建議國家應盡快設置相關法規。二、建議可針對金融體系進行改革,雖然初期因為拋棄舊有制度,會有很大的阻力,但長期而言,從誤差修正項來看,在歷經改革後將會更好。三、建議政府不應過度干涉國家的經濟自由,因為政府干涉水平越低,經濟自由度越高,也會擁有較高的經濟成長速度且更繁榮。

This study explores the relationship between financial development and economic growth during the study period from 1996 to 2017. The empirical countries are selected based on emerging markets in Southeast Asia covered in the MSCI Emerging Markets Index Research released in November 2019, in order: Indonesia, Malaysia, Philippines, Thailand. The variables in this study are economic growth, financial development, foreign direct investment, economic freedom. Among them, financial development uses the financial development index released by IMF (2016), which summarizes the status of financial institutions and financial markets in terms of depth, access, and efficiency. It can overcome the shortcomings of using a single indicator as an indicator of financial development, and few studies have adopted this index. This study is based on the results of the Panel unit root test and Panel cointegration test, it was analyzed using PVECM and finally reconfirmed the existence of causality between variables by Granger causality test in PVECM.
According to the results of PVECM, in Indonesia, Malaysia, the Philippines, and Thailand, in the short term, the changes in financial development in the previous period had a significant negative impact on the changes in economic growth in the current period, and the changes in financial development in the previous period would have a one-way impact on the changes in economic growth in the current period. In addition, the change of economic freedom in the previous period had a significant positive impact on the change of economic growth in the current period. In the long run, error correction will significantly affect economic growth. When economic growth is separated from other variables in the long-term equilibrium relationship, it is affected by other variables related to economic growth integration, such as financial development, foreign direct investment, and economic freedom. The error correction is positive, indicating that if the change in economic growth is too low, it will be adjusted upward to long-term equilibrium. In addition, according to the results of Granger causality in PVECM, financial development has one-way causality for economic growth, and also has a one-way causal relationship from economic freedom to economic growth. This study also made recommendations: First, in the short term, the national legal system is not complete. Financial institutions and financial markets more open will have a negative impact on economic growth. It is recommended that the state should set up relevant laws and regulations as soon as possible. Second, it is suggested that the financial system can be reformed. Although there will be great resistance at the beginning because of the abandonment of the old system, in the long run, from the perspective of error correction, it will be better after the reform. Third, the government should not interfere excessively with the country's economic freedom, because of the lower the level of government interference, the higher the degree of economic freedom, and the higher the economic growth rate and the more prosperous.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 5
第三節 研究架構 7
第二章 文獻探討 8
第一節 金融發展影響經濟成長 8
第二節 經濟成長影響金融發展 13
第三節 金融發展與經濟成長呈現雙向因果關係 16
第四節 金融發展與經濟成長無顯著影響或無因果關係 19
第三章 研究方法 21
第一節 變數資料說明與敘述性統計 21
第二節 研究方法與模型 27
第四章 實證結果與分析 36
第一節 追蹤資料單根檢定實證結果 36
第二節 追蹤資料共整合檢定實證結果 38
第三節 追蹤資料向量誤差修正模型實證結果 39
第四節 追蹤資料向量誤差修正模型下的Granger因果關係檢定實證結果 42
第五章 結論 43
第一節 研究結論 43
第二節 研究限制與未來研究方向 45
參考文獻 46


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