近年來，金融槓桿影響實體經濟是受人注目的熱議話題，也逐漸成為經濟政策的工具，雖已有些許相關理論發展但實證分析卻仍付諸闕如。有鑒於此，本研究運用向量自我迴歸模型分析美國金融部門之槓桿成長率對景氣循環的影響，並進一步通過運用全球向量自我迴歸模型探討美國金融槓桿對經濟的衝擊是否會外溢，從而影響其它國家。本研究主要發現金融槓桿成長率上升會對美國景氣循環約於二年後造成負向影響，也會對世界其它主要經濟體產生持續一段期間的負向衝擊。本研究的結果支持美國金融槓桿的確在景氣循環中扮演重要角色。

This study aims to investigate the impact of leverage on business cycle in the U.S.A. using the vector autoregressive model and more broadly to examine its spillover effects on 33 countries, mainly including OECD countries, using the global vector autoregressive model. The main findings indicate that the leverage growth has negative impact on business cycle in the U.S.A. and the negative impact spreads into most OECD countries. The evidence suggests that the leverage growth shocks play an important role as the driving force behind business cycle.

1.	Introduction	1
2.	Literature Review	4
3.	Data and Methodology	7
3.1	Data	7
3.2	Methodology	9
3.2.1	VAR methodology	9
3.2.2	CF-filter methodology	9
3.2.3	GVAR model	10
4.	The impact of financial leverage on the U.S.A business cycle	12
4.1	VAR Estimation	12
4.1.1	Unit root test	12
4.1.2	Granger test	12
4.1.3	Impulse response results	13
4.1.4	Forecast	15
4.2	Other financial variables	16
4.2.1	Credit and business cycle	17
4.2.2	Long-term rate and business cycle	18
4.2.3	Summary	19
4.3	Does leverage via corporate profits influence business cycle?	20
5.	How does leverage shock propagate internationally?	25
5.1	Weak exogeneity test	25
5.2	Contemporaneous effects	27
5.3	Impulse response results	30
5.4	Forecast error variance decomposition	32
6.	Discussion	34
6.1	Sample length	34
6.2	Bayesian VAR	34
7.	Conclusion	36
References	38
Appendix	39

Table 4 1 Unit root test of leverage	12
Table 4 2 Granger test for leverage growth and GDP cyclical	13
Table 4 3 Variance decomposition of growth rate of leverage and GDP cyclical	14
Table 4 4 Forecast error	16
Table 4 5 Unit root test for credit	17
Table 4 6 Granger causality test for credit growth and business cycle	18
Table 4 7 Unit root test for credit and long-term rate	19
Table 4 8 Granger causality test for long-term rate growth and business cycle	19
Table 4 9 Unit root test of corporate profits	21
Table 4 10 Granger test for real profit growth and GDP cyclical	21
Table 4 11 Variance decompositions of corporate profits growth and GDP cyclical	22
Table 5 1 F-statistics for testing the weak exogeneity of the country-specific foreign variables and oil price	26
Table 5 2 Contemporaneous Effects of Foreign Variables on Domestic Counterparts	28
Table 5 3 Forecast error variance decomposition	33
Table A 1 List of variable	39
Table A 2 List of GVAR countries	39

Figure 1 1 Growth in total financial assets and real GDP per capita (1980Q1 as base)	1
Figure 1 2 Leverage and per capita GDP growth (2009 constant price)	3
Figure 3 1 Growth in broker dealers and commercial bank assets relative to household assets	8
Figure 3 2 Growth rate of security broker dealers and commercial bank total assets	8
Figure 4 1 Response of GDP cyclical part to leverage growth	14
Figure 4 2 Forecast of business cycle (leverage)	16
Figure 4 3 Response of real GDP per capita cyclical to credit growth	17
Figure 4 4 Response of real GDP per capita cyclical to long-term rate growth	19
Figure 4 5 Corporate profits and real GDP per capita	20
Figure 4 6 Response of GDP cyclical to corporate profits growth	22
Figure 4 7 Response of corporate profits growth to leverage growth	24
Figure 5 1 Impulse response of high income countries to leverage growth shock	31
Figure 5 2 Impulse response of upper-middle income countries to leverage growth shock	31
Figure 5 3 Impulse response of lower-middle income countries to leverage growth shock	31
Figure 6 1 Response of real GDP per capita cyclical to growth of leverage (1980Q1-2007Q2)	34
Figure 6 2 Response of real GDP per capita cyclical to leverage growth (BVAR)	35

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