跳到主要內容

臺灣博碩士論文加值系統

(18.204.48.64) 您好!臺灣時間:2021/08/03 12:29
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:黃敬淋
研究生(外文):HUANG JING LIN
論文名稱:經濟政策不確定、外債與財政永續性 之非線性關係
論文名稱(外文):The non-linear relationship between economic policy uncertainty, foreign debt and fiscal sustainability
指導教授:簡美瑟簡美瑟引用關係
指導教授(外文):CHIEN,MEI-SE
口試委員:簡美瑟張嘉倩許義忠
口試委員(外文):CHIEN,MEI-SEZHANG,JIA-QIANHSU,YI-CHUNG
口試日期:2021-06-04
學位類別:碩士
校院名稱:國立高雄科技大學
系所名稱:金融資訊系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2021
畢業學年度:109
語文別:中文
論文頁數:53
中文關鍵詞:財政永續性經濟政策不確定性一般動差法追踨資料門檻迴歸
外文關鍵詞:fiscal sustainabilityeconomic policy uncertaintyGMMpanel threshold regression
相關次數:
  • 被引用被引用:0
  • 點閱點閱:20
  • 評分評分:
  • 下載下載:3
  • 收藏至我的研究室書目清單書目收藏:0
本文主要探討國際債務與經濟政策不確定性對財政永續性的影響。本文於Park & Sung (2020)模型中納入經濟政策不確定指數,並以一般動差法(GMM)與追踨資料門檻迴歸估計2001年至2018年間38國的樣本資料。實證結果歸納如下:第一、前一期政府負債比對財政盈餘比的影響效果顯著為正,顯示財政政策具有永續性,但追踨資料門檻迴歸結果顯示此係數於較高區間不顯著。第二、國際債務比與政府負債比交乘項係數為負,顯示兩負債比之交乘效果上升會使財政惡化,但此惡化效果只有當政府負債比為較低區間時才顯著。第三、歐元區國家之利率上升會減少財政盈餘,非歐元區國家利率上升對財政盈餘影響效果不定。第四、較高之各國經濟政策不確定指數,其會使歐元區國家之財政盈餘比顯著提高但於非歐元區國家則會顯著下跌。
This aim of this paper is to explore the impact of international debt and economic policy uncertainty on fiscal sustainability. Based on the model of Park & Sung (2020) with the Economic Policy Uncertainty Index, GMM and panel threshold regression are applied. The sample data covers 38 countries from 2001 to 2018, and the empirical results are summarized as follows: First, the effect of government debt-to-GDP ratio of the previous period on government primary surplus-to-GDP ratio is significantly positive, which confirms the existence of fiscal sustainability. However, the results of panel threshold regression show that this effect becomes significant at the high stage of government debt-to-GDP ratio. Second, the interaction’s coefficient between the international debt-to-GDP ratio and government debt-to-GDP ratio is negative, indicating that higher interaction between the two debt ratios will worsen fiscal surplus, but the worsening effect is only significant when the government debt-to-GDP ratio at lower stage. Third, rising interest rates in the Euro area countries will reduce fiscal surplus, but the effect of interest rates on fiscal surplus in non-Euro area countries is uncertain. Finally, higher economic policy uncertainty will rise the fiscal surplus in the Euro area countries but causes opposite effect in non-Euro area countries.
摘要 ........................................................................................................................I
Abstract ................................................................................................................Ⅱ
目錄 ......................................................................................................................Ⅲ
圖表目錄 ..............................................................................................................Ⅳ
第一章、緒論 ........................................................................................................1
第二章、文獻回顧 ................................................................................................4
第三章、模型與研究法 ........................................................................................9
第四章、實證結果 ..............................................................................................14
第一節 實證資料與敘述統計量 ................................................................14
第二節 Panel Unit Root分析結果 ..............................................................27
第三節 一般動差法估計結果 ....................................................................28
第四節 追踨資料門檻迴歸實證分析 ........................................................34
第五章、結論與建議 ..........................................................................................43
參考文獻................................................................................................................45

1.Afonso, A., & Jalles, J. (2012). Revisiting Fiscal Sustainability: Panel Cointegration and Structural Breaks in OECD Countries. ECB Working Paper No. 1465, 40(5).
2.Ahmed, S., & Rogers, J. (1995). Government budget deficits and trade deficits Are present value constraints satisfied in long-term data? Journal of Monetary Economics, 36(2), 351-374.
3.Antonakakis, N., Chatziantoniou, I., Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120(1), 87-92.
4.Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 227-297.
5.Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29-51.
6.Arouri, M., Estay, C., Rault, C., Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141.
7.Baker, S., Bloom, N., Davis, S. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
8.Bajo-Rubio, O., Díaz-Roldán, C., Esteve, V. (2009). Deficit sustainability and inflation in EMU: An analysis from the fiscal theory of the price level. European Journal of Political Economy, 25(4), 525-539.
9.Betty, C., & Shiamptanis, C. (2013). Pushing the limit? Fiscal policy in the European Monetary Union. Journal of Economic Dynamics and Control, 37(11), 2307-2321.
10.Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685.
11.Bohn, H. (2007). Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint? Journal of Monetary Economics, 54(7), 1837-1847.
12.Camarero, M., Barrio, C. T., Tamarit, C. (2015). An analysis of the trade balance for OECD countries using periodic integration and cointegration. Empirical Economics, 49, 389-402.
13.Daniel, B., & Shiamptanis, C. (2013). Pushing the limit? Fiscal policy in the European Monetary Union. Journal of Economic Dynamics and Control, 37(11), 2307-2321.
14.Fincke, B., & Greiner, A. (2012). How to assess debt sustainability? Some theory and empirical evidence for selected euro area countries. Applied Economics, 44, 3717-3724.
15.Ghosh, A., Ostry, J., Qureshi, M. (2013). Fiscal space and sovereign risk pricing in a currency union. Journal of International Money and Finance, 34, 131-163.
16.Hakkio, C., & Rush, M. (1991). Is the budget deficit “too large?”. Economic Inquiry, 29(3), 429-445.
17.Hamilton, J., & Flavin, M. (1986). On the limitations of government borrowing: a framework for empirical testing. American Economic Review, 76(4), 808-819.
18.Hansen, B. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics, 93(2), 345-368.
19.Joets, M., Mignon, V., & Razafindrabe, T. (2016). Does the volatility of commodity prices reflect macroeconomic uncertainty? Energy Economics, 68, 313-326.
20.Jones, P. & Olson, E. (2013). The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model. Economics Letters, 118(1), 33-37.
21.Jong-Hee, K., Ki-Young, P., & Taeyoon. S. (2012). Does fiscal policy help those who need it most? Evidence from the US and the Eurozon. Global Economic Review, 41(1), 33–54.
22.Kang, W., & Ratti, R. (2014). Economic policy uncertainty and firm-level investment. Journal of Macroeconomics, 39, 42-53.
23.Kyung-woo, L., Jong-Hee, K., & Sung, T. (2018). A test of fiscal sustainability in the EU countries. International Tax and Public Finance, 25 (5), 1170–1196.
24.Lee, Y., Rhee, C., & Sung, T. (2006). Fiscal policy in Korea: Before and after the financial crisis. International Tax and Public Finance, 13(4), 509–531.
25.Liu, L., & Zhang, T. (2015). Economic policy uncertainty and stock market volatility. Finance Research Letters, 15, 99-105.
26.Mackiewicz-Łyziak, J., & Łyziak, T. (2019). A new test for fiscal sustainability with endogenous sovereign bond yields: Evidence for EU economies. Economic Modelling, 82, 136-151.
27.Park, D., & Sung, T. (2020). Foreign debt, global liquidity, and fiscal sustainability. Japan and the World Economy, 54, 101008.
28.Pastor, L., & Veronesi, P. (2012). Uncertainty about government policy and stock prices. The Journal of Finance, 67(4), 1219-1264.
29.Pastor, L., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520-545.
30.Reinhart, C., & Sbrancia, B. (2011). Financial repression redux. Finance and Development, June, 22-26.
31.Shambaugh, J. (2012). The Euro’s Three Crises. Brookings papers on economic activity, 2012(1), 157.
32.Theofilakou, N., & Stournaras, Y. (2012). Government solvency and financial markets: Dynamic panel estimates for the European Monetary Union. Economics Letters, 115(1), 130-133.
33.Tran, N. (2018). Debt threshold for fiscal sustainability assessment in emerging economies. Journal of Policy Modeling, 40(2), 375-394.
34.Trehan, B., & Walsh, C. (1988). Common trends, the government's budget constraint, and revenue smoothing. Journal of Economic Dynamics and Control, 12(2-3), 425-444.
35.Van Robays, I. (2016). Macroeconomic Uncertainty and Oil Price Volatility. Oxford Bulletin of Economics and Statistics, 78(5), 671-693.
36.Watugala, S. (2015). Economic Uncertainty and Commodity Futures Volatility. Office of Financial Research Working Paper No. 15-14, 54.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
無相關點閱論文