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。

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.

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

一、國內文獻
王承宗，1999，「俄羅斯財政困境與金融問題」，美歐季刊，第十三卷第二期，225-227。
李秋錦，2007，「1990年代後德國經濟表現與改革」，經建會經濟研究處，第七期，199-234。
李秀霞，2010，「次貸風暴對美國及我國總體經濟暨金融市場之影響」，大葉大學管理學研究所碩士論文。
何姿嬋，2008，「美國次級房貸危機」，中央大學經濟學研究所碩士論文。
吳親恩，2007，「所得分配惡化對公共支出增加的影響」，東吳政治學報，第二十五卷第一期，73-114。
林向愷、賴惠子，2009，「預算體制與政府跨期財政行為--臺灣的實證研究」，經濟論文，第三十七卷第二期，207-252。
施志明，2007，「次級房貸事件對美、德、中、英四國股市及總體經濟變數的影響」，成功大學經營管理研究所碩士論文。
郎偉芳，1984，「政府收支對總體經濟的乘數效果」，東吳大學經濟研究所碩士論文。
郎偉芳，2010，「2008年全球金融危機形成及主要國家因應措施之探討」，財稅研究，第四十二卷第二期，246-276。
徐慶兆，2003，「不同經濟基礎下總體經濟變數與股市之關聯性研究」，淡江大學財務金融研究所碩士論文。
徐仁輝，2010，「預算赤字與財政政策」，財稅研究，第四十二卷第三期，33-45。
陳伯羽，1998，「運用總體經濟指標評估通貨危機」，東吳大學國際貿易研究所碩士論文。
陳捷人，2001，「總體經濟指標之綜合預測」，東吳大學國際貿易研究所碩士論文。
郭麗敏，2006，「單一國家債券型基金與總體經濟變數之關聯探討－以台灣與美國為例」，大葉大學國際企業管理研究所碩士論文。
許培毅，2008，「次貸風暴後台、美單一國家股票型基金與總體經濟變數之動態關聯探討」，大葉大學國際企業管理研究所碩士論文。
曹天馨，2008，「利差交易與次級房貸」，台北大學經濟學研究所碩士論文。
湯騏逢，2008，「次貸金融危機對美國、歐洲與新興市場債券指數報酬的衝擊、波動外溢及蔓延效果之分析」，銘傳大學財務金融研究所碩士論文。
黃得豐，2010，「歐債危機對我國與亞洲國家經濟之影響」，國家政策研究基金會(遠景基金會)。
黃明聖，2010，「希臘2010年財政危機之研究」，財稅研究，第四十二卷第三期，46-60。
劉晶樺，2007，「信用評等機制與次級房貸危機」，中央大學財務金融研究所碩士論文。
蔡宗羲，2005，「九○年代以來日本之財政赤字、財政政策之運作與評估之研究」，華   
    岡社科學報，第十九期，1-29。
蔡鎤銘、鄭鳴，2009，「金融海嘯與金融脆弱性--兼論開放經濟下金融機構的脆弱性」
    中小企業發展季刊，第十二期，1-26。

二、國外文獻
Andrews, D. W. K. and Ploberger, W., (1994), “Optimal Tests when S Nuisance Parameter is Present Only under the Alternative,” Econometrica, 62,1383–414.
Binswanger, M., (2000), “Stock market booms and real economic activity: Is this time different？”International Review of Economics and Finance, 9( 4), 387-415.
Cheung, Y. W. and Ng, L. K., (1998), “International evidence on the stock market and aggregate economic activity,” Journal of Empirical Finance, 5( 3), 281-296.
Davis, R. B., (1977), “Hypothesis testing when a nuisance parameter is present only under the alternative,” Biometrika, 64, 247-254.
Davis, R. B., (1987), “Hypothesis testing when a nuisance parameter is present only under the alternative,” Biometrika, 74, 33-43.
Domian, D. L. and Louton, D. A.,(1997),“A threshold autoregressive analysis of stock returns and real economic activity,”International Review of Economics and Finance, 6(2), 167-179.
Gonza'les, A., Terasvirta, T. and Dijk, D. V., (2004), “Panel Smooth Transition Regression Model and An Application to Investment under Credit Constraints,” working papers
Gonza'les, A., T. Terasvirta and Dijk, D. V., (2005), “Panel Smooth Transition Regression Models,” working papers
Granger, C. W. J. and Terasvirta, T., (1993), “Modelling Nonlinear Eeconomic Relationships,” Oxford University Press
Hamzah, A. H., Rozali, M. B. and Tahir I. M., (2010), “Empirical Investigation on the Performance of the Malaysian Real Estate Investment Trusts in Pre-crisis, during Crisis and Post-crisis Period,” International Journal of Economics and Finance, 2(2), 62-69.
Hansen, B. E., (1996), “Inference when A Nuisance Parameter is not Identified under the Null Hypothesis,” Econometrica, 64, 413-30.
Hansen, B. E., (1999), “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference,” Journal of Econometrics, 93, 345-68.
Hansen, Lars Peter and Sargent, Thomas J., (1983), “Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time,” International Economic Review, 1983, 24(1), 1-20.
Hart, N., (2009), “Symposium: The Global Financial Crisis: Discretionary Fiscal Policy and Budget Deficits: An 'Orthodox' Critique of Current Policy Debate, ” Economic and Labour Relations Review, 19(2), 39-58.
Im, K. S., Pesaran, M. H. and Shin, Y., (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.
Jansen, E. S. and Teräsvirta, T., (1996), “Testing Parameter Constancy and Super Exogeneity in Econometric Equations,” Oxford Bulletin of Economics and Statistics, 58, 735-763.
Jongwanich, J., (2010),“Capital Mobility in Developing Asia: How Does It Respond to the Financial Crises?”, ASEAN Economic Bulletin, 27(1), 27-54.
Lang W. W., and Jagtiani J. A., (2010), “The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance,” Atlantic Economic Journal, 38(2) , 123-144.
Laopodis, N. T. and Sawhney, B. L., (2002), “Dynamic interactions between Main Street and Wall Street,” The Quarterly Review of Economics and Finance, 42(4), 803-815.
Levin, A., Lin, C. F. and Chu, C., (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.
Lewis, V., Kay K. D., Kelso, C. and Larson, J., (2010),“Was the 2008 Financial Crisis Caused by a Lack of Corporate Ethics?” Global Journal of Business Research, 4(2), 77-84.
Lin, K. S. and Lai, H. Z., (2009), “Budgetary Institutions and Fiscal Sustainability: Evidence from Taiwan,”Academia Economic Papers, 37(2) , 207-252.
Luukkonen, R., Saikkonen, P. and Terasvirta, T., (1988), “Testing Linearity Against　Smooth Transition Autoregressive Models,” Biometrika, 75, 491–99.
Maddala, G. S. and Wu, S., (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631-52.
Maysami, R. C. and Koh, T. S., (2000), “A vector error correction model of the Singapore stock market,” International Review of Economics and Finance, 9, (1), 79-96.
Mukhtar, T. and Zakaria, M., (2008), “Budget Deficits and Interest Rates: An Empirical Analysis for Pakistan,” Journal of Economic Cooperation among Islamic Countries, 29( 2), 1-13.
Pesaran, M. Hashem, Shin, Yongcheol and Smith, Richard J., (2001), “Bounds testing approaches to the analysis of level relationships,” Journal of Applied Econometrics, 16(3), 289-326
Ostrup, F., Oxelheim, L. and Wihlborg, C., (2009), “Origins and Resolution of Financial Crises: Lessons from the Current and Northern European Crises,” Asian Economic Papers, 8(3), 178-220.
Pettersson-Lidbom, P., (2010), “Dynamic Commitment and the Soft Budget Constraint: An Empirical Test,” American Economic Journal: Economic Policy, 2( 3), 154-179.
Saleh, A. S., Harvie, C. and Charles, (2005),“The Budget Deficit and Economic 
Performance: A Survey,” Singapore Economic Review, 50(2), 211-243.
Spilberg, P. and Alexander, L., (2003), “The California Budget Crisis: Factors Leading to the Current Budget Deficit and a Discussion of Certain Proposed Solutions,” National Tax Journal, 56(3), 555-566.
Terasvirta, T., (1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, 89, 208–18.
Terasvirta, T., (1998), “Modelling Economic Relationships with Smooth Transition Regressions,” in Handbook of applied economic statistics, ed. by A. Ullah, and D. E. A. Giles, 507–52，New York: Marcel Dekker.
Toda, H.Y. and Yamamoto, T., (1995), “Statistical inferences in vector autoregressions with possibly integrated processes,” Journal of Econometrics, 66, 225-50
Ucal, M., and Alici, A., (2010), “Is Fiscal Policy Sustainable in Turkey?” Emerging Markets Finance and Trade, 46, 89-93.
Wilkinson, J., Spong, K. and Christensson, J., (2010), “Financial Stability Reports: How Useful during a Financial Crisis?” Federal Reserve Bank of Kansas City Economic Review, 95(1), 41-70.
Yemane, W. R., (2008), “Budget Deficits, Money and Inflation: The Case of Ethiopia,”  
    Journal of Developing Areas, 42(1), 183-199.