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    题名: 探討金融發展與經濟成長之因果關係--內生聯立方程式之應用
    作者: 徐偉哲
    贡献者: 黃台心
    徐偉哲
    关键词: 金融發展
    經濟成長
    一般化動差法(GMM)
    Lewbel計量模型
    日期: 2007
    上传时间: 2009-09-14 09:36:38 (UTC+8)
    摘要: 本文採用1980-2005年共94國的縱橫資料(Panel data)，探討金融發展與經濟成長的關係。有別於一般傳統採用單一迴歸模型的架構，本文改採聯立迴歸模型探討兩者之因果關係。
    本研究分別採用四個「金融發展指標」及三個「股市發展指標」，輔以與金融發展和經濟成長密切相關的外生控制變數，再分別與經濟成長指標建構聯立迴歸模型。此外，有關參數之估計與認定，以Lewbel (2007)的計量方法為立論依據，在殘差項具有異質共變異現象的限制條件下，利用一般化動差法(GMM)，同時估計聯立方程式的結構式參數。是故，本文根據不同之金融發展與股市發展變數的設定，總共建立七個聯立方程式模型，分別探討金融發展、股市發展與經濟成長之交互影響效果。實證結果彙整成以下兩點說明：
    一、 有關金融發展指標對經濟成長之綜合影響的實證結果顯示，惟有「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」對經濟成長具有正向的綜合影響，其他三項金融發展指標對經濟成長皆無顯著影響；另一方面，除了以「銀行部門對其本國之總放款額/GDP」做為金融發展指標的模型4為不顯著外，模型1至模型3皆顯示經濟成長分別對「存款貨幣機構在本國資產總額/(存款貨幣機構在本國資產總額＋央行本國資產總額)」、「全體金融機構流動負債/GDP」以及「全體金融機構對私部門放款總額/GDP」等三項金融發展指標存在正向綜合影響。
    二、 有關本研究股市發展指標對經濟成長之綜合影響效果的實證結果分歧。其中，「股市總成交金額/股市總市值 (股市週轉率)」對經濟成長有正向綜合影響；「上市公司股票總市值/GDP (股市資本率)」對經濟成長有負向綜合影響；而「股市總成交金額/GDP (股市總成交值比)」對經濟成長則無顯著之綜合影響；另一方面，考量經濟成長之當期項與落後期的綜合效果對股市發展的影響，本研究發現「經濟成長變數」的當期項與落後期對三個股市發展指標均無顯著的綜合影響。
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    描述: 碩士
    國立政治大學
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