政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/141750
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51727408      Online Users : 437
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/141750


    Title: 財政管理法則對總體經濟與國家財政之影響：DSGE模型與實證迴歸分析
    The Effects of Fiscal Regulation Rules on Macroeconomy and Fiscal Performance: Lessons from DSGE Models and Empirical Regressions
    Authors: 石恩銘
    Shih, En-Ming
    Contributors: 陳國樑
    朱琇妍
    Chen, Joe
    Chu, Shiou-Yen
    石恩銘
    Shih, En-Ming
    Keywords: 財政紀律
    財政管理
    預算平衡
    未償債務
    Date: 2022
    Issue Date: 2022-09-02 15:28:17 (UTC+8)
    Abstract: 許多國家透過「財政管理法則」(fiscal regulation rules) 立法避免政府財政赤字過大，拖累整體經濟，此類法規主要經由政府「預算平衡規則」(balanced budget rules)、或設立「舉債上限」(debt limit) 而為。財政管理法則通常會設定一個具體的預算平衡數或未償債務餘額作為目標，要求政府的債務政策須以達成該目標為前提方可實施；唯在國家遭遇重大危機時，允許政府舉債可以暫時不受財政管理法則約束，直到危機結束後，再調整至原來的法定目標。

    由前述可知，財政管理法則是管理政府債務的政策依據，對於國家預算平衡與總體經濟政策有重要的影響。然而，在目前的總體經濟研究中，較少討論財政管理法則的經濟效果；在實證研究上，學界對於財政管理法則之有效性尚未有一致共識。因此，本研究試從不同的面向，對財政管理法則進行研究：第一部分以動態隨機一般均衡模型 (dynamic stochastic general equilibrium model，DSGE模型) 為理論架構，建構一個新凱因斯模型 (New Keynesian model)，分析預算平衡規則與債限規則對總體經濟與政府財政的影響；第二部分則是在原本的DSGE模型架構中加入貝氏估計，透過實際國家資料估計出模型參數值，以分析實施財政管理法則後，政府是否會更積極調整債務達成法定的財政目標；第三部分則是以186國自1990年至2015年的資料作為對象，建立一般最小平方法 (ordinary least squares，OLS)、二元固定效果模型 (two-way fixed effect model) 以及工具變數法 (instrumental variable)，分析預算平衡規則或債限規則之政策效果 (treatment effect)。

    在第二章的部分，透過DSGE模型的分析，本研究得出四個主要發現：第一，相較於實施債限規則，實施預算平衡規則會增強外生衝擊對總體經濟變數的影響，產出、勞動、資本以及投資會有更好表現；第二，一般而言，預算平衡規則與債限規則皆使個人當期消費減少，唯前者在趨勢上持續下降，但後者則傾向回升。另外，當消費稅稅率的外生衝擊發生時，預算平衡規則與債限規則下的當期消費皆會增加，但後續的變化趨勢則無明顯改變；第三，實施預算平衡規則最有助於提高主要預算平衡數 (primary balance)，並讓政府的未償債務餘額持續下降；而債限規則下的政府債務僅在一開始減少，後續反而增加，使得政府未來必須籌措更多的稅收進行償債；第四，不論係實施預算平衡規則或債限規則，在相同的技術衝擊下，產出等經濟變數的當期表現皆優於未實施財政管理法則，但在二種財政管理法則之間並無明顯差異。

    第三章的部分則以瑞士和波蘭作為研究對象進行貝氏估計，分析結果顯示：瑞士在實施預算平衡規則後，其政府會更傾向以主要預算平衡數比例缺口作為債務增加或減少的依據，當該比例偏離目標值時，政府會增加或減少比實施之前更多的債務，以弭平財政赤字或剩餘。此外，實施預算平衡規則後也會改變外生衝擊對瑞士經濟的影響，其中，政府支出衝擊、消費稅稅率衝擊以及薪資所得稅稅率衝擊的刺激效果減少，而技術衝擊、資本所得稅稅率衝擊與股利所得稅衝擊之效果增加；在波蘭的部分，實施債限規則以後，政府會傾向維持既有的債務水準，對於未償債務餘額比例缺口與產出缺口所作的債務調整，在實施規則之前與之後並無明顯變化。另外，債限規則也會改變模型內的各項參數，使得波蘭的消費稅稅率衝擊、薪資所得稅稅率衝擊、資本所得稅稅率衝擊以及技術衝擊之刺激效果減弱，而政府支出衝擊與股利所得稅稅率衝擊的刺激效果則會增加。

    第四章的部分則為實證迴歸分析，本研究以186個國家為主要研究對象，按IMF財政管理法則資料庫 (Fiscal Rules Dataset) 之分類，辨別實施預算平衡規則或債限規則的國家，將之設定為迴歸模型中的虛擬變數 (dummy variable)，分析預算平衡規則或債限規則對國家財政之影響，並比較二者之效果差異。透過實證分析發現：第一，同時採用預算平衡規則與債限規則最能有效改善政府財政表現，其次則為實施預算平衡規則；第二，預算平衡規則與債限規則的政策有效性可能來源自兩種規則同時採用的國家，一旦在迴歸分析中排除此類國家，兩種財政管理法則對政府財政表現皆呈現不顯著；最後，在工具變數法的模型中，同時實施兩種財政管理法則以及實施預算平衡規則仍然顯著有效，但政策效果呈現縮小，而債限規則的效果則不顯著。
    Reference: 汪震亞 (2014) 「歐債危機爆發後的歐洲經濟整合之發展」，《經濟研究》，14，208–235。

    黃俞寧 (2013) 「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，《中央銀行季刊》，35，3–34。

    陳旭昇與湯茹茵 (2012) 「動態隨機一般均衡 (DSGE) 模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望」，《經濟論文叢刊》，40，289–323。

    Abrams, B. and W. Dougan (1986), “The Effect of Constitutional Restraints on Governmental Spending,” Public Choice, 49, 101–116.

    Afonso, A., L. Agnello and D. Furceri (2010), “Fiscal Policy Responsiveness, Persistence, and Discretion,” Public Choice, 145, 503–530.

    Agnello, L., D. Furceri and M. Ricardo (2011), “Fiscal Policy Discretion, Private Spending, and Crisis Episodes,” Banque de France Working Paper, No. 354.

    Aiyagari, S. (1995), “Optimal Capital Income Taxation with Incomplete Markets, Borrowing Constraints, and Constant Discounting,” Journal of Political Economy, 103, 1158–1175.

    Aiyagari, S. and E. McGrattan (1998), “The Optimum Quantity of Debt,” Journal of Monetary Economics, 42, 447–469.

    Asatryan, Z., C. Castellón and T. Stratmann (2018), “Balanced Budget Rules and Fiscal Outcomes: Evidence from Historical Constitutions,” Journal of Public Economics, 167, 105–199.

    Autor, D. (2003), “Outsourcing at Will: The Contribution of Unjust Dismissal Doctrine to the Growth of Employment Outsourcing,” Journal of Labor Economics, 21, 1–42.

    Aydin, B. and E. Volkan (2011), “Incorporating Financial Stability in Inflation Targeting Frameworks,” IMF Working Paper, No. 11/24.

    Bae, J. (2011), “The Dynamics of Post–War US Inflation: The Limited Role of Time Inconsistency,” The Manchester School, 79, 333–348.

    Barbier-Gauchard, A., K. Baret and A. Minea (2021), “National Fiscal Rules and Fiscal Discipline in the European Union,” Applied Economics, 53, 2337–2359.

    Barro, R. and D. Gordon (1983), “A Positive Theory of Monetary Policy in a Natural Rate Model,” Journal of Political Economy, 91, 580–610.

    Batini, N., P. Levine and J. Pearlman (2009), “Monetary and Fiscal Rules in an Emerging Small Open Economy,” IMF Working paper, No. WPIEA2009022.

    Baxter, M. and R. King (1993), “Fiscal Policy in General Equilibrium,” American Economic Review, 1993, 83, 315–334.

    Bergman, U., M. Hutchison and S. Jensen (2016), “Promoting Sustainable Public Finances in the European Union: The Role of Fiscal Rules and Government Efficiency,” European Journal of Political Economy, 44, 1–19.

    Bianchi, C. and M. Menegatti (2012), “Rules versus Discretion in Fiscal Policy,” The Manchester School, 80, 603–629.

    Bi, H., W. Shen and S. Yang (2016), “Dynamics of Fiscal Financing in the United States,” Journal of Macroeconomics, 49, 119–130.

    Blanchard, O. and C. Kahn (1980), “The Solution of Linear Difference Models under Rational Expectations” Econometrica, 48, 1305–1311.

    Bornhorst, F., G. Dobrescu, A. Fedelino, J. Gottschalk, T. Nakata and C. Cottarelli (2011), When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances (Technical Notes and Manuals 11/02), Washington, D.C.: International Monetary Fund Fiscal Affairs Department Press.

    Brennan, G. and J. Buchanan (1980), The Power to Tax: Analytical Foundations of a Fiscal Constitution, Cambridge: Cambridge University Press.

    Buchanan, J. and R. Wagner (1977), Democracy in Deficit: The Political Legacy of Lord Keynes, New York: Academic Press.

    Budina, N., T. Kinda, A. Schaechter and A. Weber (2012), “Fiscal Rules at a Glance: Country Details from a New Dataset,” IMF Working Paper, No. 12/273.

    Calmfors, L. and H. Horn (1985), “Classical Unemployment, Accommodation Policies and the Adjustment of Real Wages,” The Scandinavian Journal of Economics, 87, 234–261.

    Canova, F. and E. Pappa (2006), “The Elusive Costs and the Immaterial Gains of Fiscal Constraints,” Journal of Public Economics, 90, 1391–1414.

    Calvo, G. (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12, 383–398.

    Can, U., Z. Can, M. Bocuoglu and M. Dogru (2021), “The Effectiveness of the Post-Covid-19 Recovery Policies: Evidence from a Simulated DSGE Model for Turkey,” Economic Analysis and Policy, 71, 694–708.

    Canzoneri, M., R. Cumby, B. Diba and D. López-Salido (2011), “The Role of Liquid Government Bonds in the Great Transformation of American Monetary Policy,” Journal of Economic Dynamics and Control, 35, 282–294.

    Caplan, B. (2001), “Has Leviathan Been Bound? A Theory of Imperfectly Constrained Government with Evidence from the States,” Southern Economic Journal, 67, 825–847.

    Caselli, F. and J. Reynaud (2020), “Do Fiscal Rules Cause Better Fiscal Balances? A New Instrumental Variable Strategy,” European Journal of Political Economy, 63, 1–16.

    Cavalcanti, M., L. Vereda, R. Doctors and F. Lima (2018), “The Macroeconomic Effects of Monetary Policy Shocks under Fiscal Rules Constrained by Public Debt Sustainability,” Economic Modelling, 71, 184–201.

    Chan, Y. (2020), “Are Macroeconomic Policies Better in Curbing Air Pollution than Environmental Policies? A DSGE Approach with Carbon-Dependent Fiscal and Monetary Policies,” Energy Policy, 141, Article 111454.

    Christiano L., M. Eichenbaum, and C. Evans (2005), “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, 113, 1–45.

    Costa Junior, C. (2016), Understanding DSGE, Wilmington: Vernon Press.

    Cúrdia, V. and M. Woodford (2010), “Credit Spreads and Monetary Policy,” Journal of Money, Credit and Banking, 42, 3–35.

    Dixit, A. and L. Lambertini (2003), “Interactions of Commitment and Discretion in Monetary and Fiscal Policies,” The American Economic Review, 93, 1522–1542.

    Djinkpo, M. (2020), “A DSGE Model for Fiscal Policy Analysis in The Gambia,” MPRA, https://mpra.ub.uni-muenchen.de/id/eprint/97874

    Drygalla, A., O. Holtemöller and K. Kiesel (2020), “The Effects of Fiscal Policy in an Estimated DSGE Model—The Case of the German Stimulus Packages during the Great Recession,” Macroeconomic Dynamics, 24, 1315–1345.

    Fatás, A. and L. Mihov (2003), “The Case for Restricting Fiscal Policy Discretion,” Quarterly Journal of Economics, 118, 1419–1447.

    Fatás, A. and L. Mihov (2006), “The Macroeconomic Effects of Fiscal Rules in the US States,” Journal of Public Economics, 90, 101–117.

    Fernández-Villaverde, J., S. Hurtado and G. Nuño (2019), “Financial Fritions and the Wealth Distribution,” NBER Working Paper, No. 26302.

    Fernández-Villaverde, J. and P. Guerrón-Quintana (2021), “Estimating DSGE Models: Recent Advances and Future Challenges,” Annual Review of Economics, 13, 229–252.

    Fischer, S. (1980), “Dynamic Inconsistency, Cooperation and the Benevolent Dissembling Government,” Journal of Economics Dynamics and Control, 2, 93–107.

    Foremny, D. (2014), “Sub-national Deficits in European Countries: The Impact of Fiscal Rules and Tax autonomy,” European Journal of Political Economy, 34, 86–110.

    Forni, L. and M. Pisani (2018), “Sovereign Restructuring vs Fiscal Adjustment in a Monetary Union: Macroeconomic Effects from Model Based Simulations,” Macroeconomic Dynamics, 22, 470–500.

    Gabaix, X. (2020), “A Behavioral New Keynesian Model,” American Economic Review, 110, 2271–2327.

    García, A., M. Arroyo, R. Mínguez and J. Uxo (2009), “Estimation of A Fiscal Policy Rule for EMU Countries (1984–2005),” Applied Economics, 41, 869–884.

    Ghosh, A., J. Kim, E. Mendoza, J. Ostry and M. Qureshi (2013), “Fiscal Fatigue, Fiscal Space and Debt Sustainability in Advanced Economies,” The Economic Journal, 123, 4–30.

    Halac, M. and P. Yared (2014), “Fiscal Rules and Discretion under Persistent Shocks,” Econometrica, 82, 1557–1614.

    Honkapohja, S. and K. Mitra (2020), “Price Level Targeting with Evolving Credibility,” Journal of Monetary Economics, 116, 88–103.

    Houndonougbo, A. and M. Mohsin (2016), “Macroeconomic Effects of Cost Equivalent Business Fiscal Incentives,” Economic Modelling, 56, 59–65.

    Ireland, P. (2014), “The Macroeconomic Effects of Interest on Reserves,” Macroeconomic Dynamics, 18, 1271–1312.

    Jensen, H. (1992), “Time Inconsistency Problems and Commitments of Monetary and Fiscal Policies,” Joumal of Economics, 56, 247–266.

    Jesus, D., C. Besarria and S. Maia (2020), “The Macroeconomic Effects of Monetary Policy Shocks under Fiscal Constrained: An Analysis Using a DSGE Model,” Journal of Economic Studies, 47, 805–825.

    Kaplan, G., B. Moll, and G. Violante (2018), “Monetary Policy According to HANK,” American Economic Review, 108, 697–743.

    Kliemy, M. and A. Kriwoluzky (2014), “Toward a Taylor Rule for Fiscal Policy,” Review of Economic Dynamics, 17, 294–302.

    Kumar, M. and T. Ter–Minassian (2007), Promoting Fiscal Discipline, Washington, D. C.: International Monetary Fund Press.

    Kuncoro, H. (2015), “Does the Credible Fiscal Policy Support the Prices Stabilization?” Review of Economic Perspective, 15, 137–156.

    Kydland, F. and E. Prescott (1977), “Rules Rather than Discretion: The Inconsistency of Optimal Plans,” Journal of Political Economy, 85, 473–492.

    Kydland, F. and E. Prescott (1982), “Time to Build Aggregate Fluctuation,” Econometrica, 50, 1345–1370.

    Laffargue, J. (2004), “A Sufficient Condition for the Existence and the Uniqueness of a Solution in Macroeconomic Models with Perfect Foresight” Journal of Economic Dynamics and Control, 28, 1955–1975.

    Leeper, E., M. Plante and N. Traum (2010), “Dynamics of Fiscal Financing in the United States,” Journal of Econometrics, 156, 304–321.

    Leith, C. and S. Wren-Lewis (2013), “Fiscal Sustainability in a New Keynesian Model,” Journal of Money, Credit and Banking, 45, 1477–1516.

    Li, Y.–D. (2021), “Business Cycle Fluctuations in Taiwan–A Bayesian DSGE Analysis,” Journal of Macroeconomics, 70, 1–20.

    Lledó, V., S. Yoon, X. Fang, S. Mbaye and Y. Kim (2017), “Fiscal Rules at a Glance,” IMF Working Paper, NO. 12/273.
    Lloyd, R. and J. Mcgarrity (1993), “A Probit Analysis of the Senate Vote on Gramm–Rudman,” Public Choice, 85, 81–91.

    Maltritz, D. and S. Wüste (2015), “Determinants of Budget Deficits in Europe: The Role and Relations of Fiscal Rules, Fiscal Councils, Creative Accounting and the Euro,” Economic Modelling, 48, 222–236.

    Marlow, M. and W. Orzechowski (1988), “Controlling Leviathan through Tax Reduction,” Public Choice, 58, 237–245.

    Mueller, D. (2014), “Constraining Leviathan,” Constitutional Political Economy, 25, 88–102.

    Pan, X., H. Xu, M. Li, T. Zong, C. Lee and Y. Lu (2020), “Environmental Expenditure Spillovers: Evidence from an Estimated Multi-area DSGE Model,” Energy Economics, 86, 1–15.

    Peltzman, S. (1992), “Voters as Fiscal Conservatives,” Quarterly Journal of Economics, 107, 327–361.

    Pfeifer, J. (2021). A Guide to Specifying Observation Equations for the Estimation of DSGE Models. Unpublished manuscript, 1–81.

    Rabanal, P. (2007), “Does Inflation Increase after a Monetary Policy Tightening? Answers Based on an Estimated DSGE Model,” Journal of Economic Dynamics and Control, 31, 906–937.

    Reuter, W. (2019), “When and Why Do Countries Break Their National Fiscal Rules?” European Journal of Political Economy, 57, 125–141.

    Rogoff, K. (1985), “The Optimal Degree of Commitment to an Intermediate Monetary Target,” Quarterly Journal of Economics, 100, 1169–1189.

    Salvi, M., C. Schaltegger and L. Schmid (2020), “Fiscal Rules Cause Lower Debt: Evidence from Switzerland’s Federal Debt Containment Rule,” International Review for Social Sciences, 73, 605–642.

    Schaechter, A., T. Kinda, N. Budina and A. Weber (2012), “Fiscal Rules in Response to the Crisis—Toward the “Next-Generation” Rules. A New Dataset,” IMF Working Paper, No.12/187.

    Schalck, C. (2012), “Investigating Heterogeneity in European Fiscal Behaviours,” Research in Economics, 66, 383–390.

    Šehović, D. (2015), “Analysis of Fiscal Rules in the European Monetary Union,” Journal of Central Banking Theory and Practice, 4, 19–33.

    Smets, F. and R. Wouters (2003), “An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,” Journal of the European Economic Association, 1, 1123-1175.

    Sims, E. (2016), Graduate Macro Theory II: Notes on Medium Scale DSGE Models, University of Notre Dame, Spring 2016.

    Staiger, D. and J. Stock (1997): “Instrumental Variables Regression with Weak Instruments,” Econometrica, 65, 557–586.

    Takyi, P. and R. Leon–Gonzalez (2020), “Macroeconomic Impact of Fiscal Policy in Ghana: Analysis of an Estimated DSGE Model with Financial Exclusion,” Economic Analysis and Policy, 67, 239–260.

    Tamegawa, K. (2012), “Two-Region DSGE Analysis of Regionally Targeted Fiscal Policy,” The Review of Regional Studies, 42, 249–263.

    Tanner, E. (2004), “Fiscal Rules and Countercyclical Policy: Frank Ramsey Meets Gramm–Rudman–Hollings,” Journal of Policy Modeling, 26, 719–731.

    Von Hagen, J. (1991), “A Note on the Empirical Effectiveness of Formal Fiscal Restraints,” Journal of Public Economics, 44, 199–210.

    Von Hagen, J. and G. Wolff (2006), “What Do Deficits Tell Us about Debt? Empirical Evidence on Creative Accounting with Fiscal Rules in the EU,” Journal of Banking & Finance, 30, 3259–3279.

    Wang, S. (2021), “Fiscal Stimulus in a High–Debt Economy? A DSGE Analysis,” Economic Modelling, 98, 118–135.

    Zietz, J. (2006), “Log-Linearizing around the Steady State: A Guide with Examples,” Available at SSRN: https://ssrn.com/abstract=951753

    Zubairy, S. (2014), “On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model,” International Economic Review, 55, 169–195.
    Description: 博士
    國立政治大學
    財政學系
    106255502
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106255502
    Data Type: thesis
    DOI: 10.6814/NCCU202201149
    Appears in Collections:[Department of Public Finance] Theses

    Files in This Item:

    File Description SizeFormat
    550201.pdf9204KbAdobe PDF224View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback