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系統識別號 U0002-2202201112092100
中文論文名稱 財政預算變化對歐債危機發展之非線性影響 –以PIIGS為例
英文論文名稱 The Non-Linear Impact of Budget Variance on the Development of European Debt Crisis- Evidence from PIIGS
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 1
出版年 100
研究生中文姓名 葉亭伶
研究生英文姓名 Tien-Ling Yeh
學號 797530291
學位類別 碩士
語文別 中文
口試日期 2010-12-27
論文頁數 46頁
口試委員 指導教授-聶建中
指導教授-沈中華
委員-謝劍平
委員-張春雄
委員-莊孟翰
中文關鍵字 縱橫平滑移轉迴歸模型  財政赤字  歐債危機 
英文關鍵字 panel smooth transition regression model  financial deficits  european debt crisis 
學科別分類
中文摘要 本研究旨在探討財政預算變化對歐債危機發展之非線性影響,嘗試運用González, Teräsvirta and Dijk(2004, 2005)之縱橫平滑移轉迴歸模型,以財政問題嚴重,失業率高、經濟增長停滯不前的“PIIGS”五國為例,驗證財政預算變化對歐債危機是否存在平滑移轉效果,使得財政預算對歐債率的影響變化呈現非線性之關係,並進一步對歐債受控制變數之影響進行評估與衡量。
整體而言在財政赤字介於-8.0783至-0.5484之間,發現除了失業率對歐債率為負向影響關係,而GDP、通膨率、與德債利差對歐債率皆有重要積極的正向影響關係;當財政赤字小於-8.0783或是大於-0.5484時,表示財政赤字極大或是極小時,發現失業率和GDP對歐債率影響為正向關係,而通膨率和與德債利差對歐債率影響則為負向關係;另無論財政赤字大小,股價對歐債率則沒有顯著影響。
因此認為國家進行評估財政政策時,必須衡量稅收與GDP,及總體經濟變量(如:失業率、GDP、通膨率、與德債利差、股市等),不能僅想要降低財政赤字,或是盲目地向外舉債,而”PIIGS”五個國家是否削減開支、減少財政不平衡,是當前重要課題,投資人亦可參考本文結論,對歐洲債務危機後續發展找出一些端倪,擬定適當的投資策略。
英文摘要 This study employs the panel smooth transition regression model elaborated by Gonza'lez, Teräsvirta and Dijk (2004, 2005) to investigate the non-linear impact of budget variance on the development of European debt crisis. We use the five European debt crisis countries of PIIGS as the example since they are suffering serious financial problem, high unemployment and stagnant economic growth. The aim of this study is to test whether the smooth transition effect exists for the variance of the budget deficit. The finding of the nonlinear phenomenon can further be used to evaluate the impact of those control variables considered on the European debt crisis
We first find two threshold values of -8.0783 and -0.5484 for the budget deficit. The empirical findings further illustrate that when the budget deficit fall between the two thresholds, unemployment rate shows significant negative effect on the country debt ratio. However, all other control variables including GDP, inflation rate and debt spread show significant positive effects on the country debt ratio. On the other hand, when budget deficit is far less than -8.0783 or greater than -0.5484, we significant find that unemployment rate and GDP show positive effect and inflation rate and debt spread show negative effect on the country debt ratio. Another interest finding from this study is that the effect of stock price on the country debt ratio is insignificant throughout whole range of the budget deficit.
Our empirical results can be used for evaluating the fiscal policy and suggest that in order to remedy the European debt crisis nowadays or set up an appropriate investment strategy, a country’s policy makers or the international investors should pay more attention to the macroeconomic fundaments as the unemployment rate, GDP, inflation rate and the bond spreads rather than merely try to reduce the deficit or blindly increase the debt externally.
論文目次 目錄
頁次
第壹章 緒論..................................................................................................... 1
第一節 研究背景與動機......................................................................... 1
第二節 研究目的..................................................................................... 2
第三節 本文架構及研究流程................................................................. 3

第貳章 文獻探討 ........................................................................................... 5
第一節 國內文獻..................................................................................... 5
第二節 國外文獻..................................................................................... 10

第參章 研究方法........................................................................................... 13
第一節 縱橫單根檢定............................................................................. 13
第二節 縱橫平滑移轉迴歸模型............................................................. 16
第三節 縱橫平滑移轉迴歸模型之設定................................................. 21

第肆章 實證結果與分析............................................................................... 26
第一節 研究對象與變數設定................................................................. 26
第二節 各變數之基本統計分析............................................................. 27
第三節 縱橫單根檢定之實證結果......................................................... 29
第四節 縱橫平滑移轉迴歸模型之實證結果......................................... 31

第伍章 結論 ............................................................................................... 39
第一節 結論............................................................................................. 39
第二節 研究建議..................................................................................... 41
參考文獻 ……………………………………………………………….……. 42


表目錄
頁次
表 4-2-1 被解釋變數與移轉變數之橫斷面基本統計量......................................... 28
表 4-2-2 控制變數之橫斷面基本統計量................................................................. 28
表 4-3-1 各變數原始序列之單根檢定.................................................................... 29
表 4-3-2 各變數一階差分序列之單根檢定......................................................... 30
表 4-4-1 財政赤字對歐債率之同質性檢定............................................................. 32
表 4-4-2 財政赤字對歐債率之轉換門檻個數檢定................................................. 33
表 4-4-3 財政赤字對歐債率之模型估計結果......................................................... 34
表 4-4-4 財政赤字對歐債率模型中控制變數之影響............................................ 37


圖目錄
頁次
圖1-3-1 研究流程圖................................................................................................ 4
圖3-2-1 m = 1之轉換模型...................................................................................... 19
圖3-2-2 m = 2之轉換模型...................................................................................... 20
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