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    题名: 小型開放經濟體系總體經濟政策之研究
    Estimating the Effects of Fiscal Policy in a Small Open Economy: The Case of Taiwan
    作者: 李麗華
    贡献者: 霍德明
    朱浩民
    李麗華
    关键词: 符號限制法
    財政政策衝擊
    結構向量自我回歸模型
    小型開放經濟體系
    日期: 2010
    上传时间: 2013-06-03 17:52:36 (UTC+8)
    摘要: 本文建立小型開放經濟體系的VAR模型，利用符號限制法（Sign Restrictions）認定財政政策衝擊，評估台灣財政政策的總體經濟效果。符號限制法係利用對衝擊反應函數做符號限制的方式認定財政衝擊，對關心的變數如：實質GDP、民間消費、民間投資、貿易收支等變數對財政政策衝擊的反應則不設限制，讓資料來回答。本研究參酌Mountford and Uhlig（2009）及Ho and Yeh（2010）的方式認定總合供給衝擊、總合需求衝擊、貨幣政策衝擊、政府支出衝擊以及政府收入衝擊。研究結果發現，政府支出衝擊對民間投資短期會產生排擠效果，中長期（二十季）則有提振的效果。政府支出衝擊引發短期名目利率上漲，國外資金流入，實質有效匯率上升，貿易收支因而下跌。政府支出衝擊對於實質GDP一開始有正向效果，但排擠效果短期會使實質GDP下跌，一旦政府支出帶動中長期民間投資後，對實質GDP有正向效果，但並不顯著。
    政府收入衝擊短期對實質GDP、民間消費、民間投資有正向效果，中長期的效果為負。若以政府支出衝擊細項來看，政府消費支出衝擊對實質GDP有顯著提振的效果，政府投資支出衝擊對於實質GDP的助益十分有限。
    參考文獻: 林向愷，賴惠子(2009)，「預算體制與政府跨期預算行為—台灣的實證研究」，《經濟論文》，37(2)，207-252。
    黃琝琇 (2007)，「台灣財政政策之有效性—遞迴法之應用」，《財稅研究》，37，159-182。
    Aiyagari, R., L. Christiano, and M. Eichenbaum (1990), “Output, Employment and Interest Rate Effects of Government Consumption?” Journal of Monetary Economics, 30(1), 73-86.
    Baxter, M. and R. G. King (1993), “Fiscal Policy in General Equilibrium,” American Economic Review, 83(3), 315-333.
    Berument, H. (2007),“Measuring Monetary Policy for a Small Open Economy: Turkey,” Journal of Macroeconomics, 29, 411-430.
    Blanchard, O. (1990), “Comment, on Giavazzi and Pagano (1990),” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 111-116, Cambridge: MIT Press.
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    Burnside, C., M. Eichenbaum, and J. Fisher (2004), “Fiscal Shocks and Their Consequences,” Journal of Economic Theory, 115(1), 89-117.
    Canova, F. and G. De Nicol´o (2002), “Monetary Disturbances Matter for Business Fluctuations in the G7,” Journal of Monetary Economics, 49, 1131–1159.
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    Ho, T.-k. and K.-c. Yeh (2010), “Measuring Monetary Policy in a Small Open Economy with Managed Exchange Rates: the Case of Taiwan,” Southern Economic Journal, 76(3),811-826.
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    Monacelli, T. and R. Perotti (2006), “Fiscal Policy, the Trade Balance and the Real Exchange Rate: Implications for International Risk Sharing,” Mimeo, IGIER.
    Mountford, A. (2005), “Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy,” Oxford Bulletin of Economics & Statistics, 67(5), 597-621.
    Mountford, A. and H. Uhlig (2009), “What are the Effects of Fiscal Policy Shocks? ” Journal of Applied Econometrics, 24(6), 960-992.
    Paustian, M. (2007), “Assessing Sign Restrictions,” The B.E. Journal of Macroeconomics Topics, 7 (1), Article 23.
    Perotti, R. (2005), “Estimating the Effects of Fiscal Policy in OECD Countries,” CEPR Discussion Paper, No.4842.
    Ramey, V. A. and M. D. Shapiro (1998), “Costly Capital Reallocation and the Effects of Government Spending,” Carnegie-Rochester Conference Series on Public Policy, 48, 145-194.
    Ravn, M. O., S. Schmitt-Grohé, and M. Uribe (2007), “Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate,” NBER Working Papers, No.13328.
    Romer, C. D. and D. H. Romer (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,” in O. Blanchard and S. Fischer, (ed.), NBER Macroeconomics Annual, 121-170, Cambridge: MIT Press.
    Romer, C. D., and D. H. Romer (2007), “The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks,” NBER Working Papers, No.13264.
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    描述: 博士
    國立政治大學
    金融研究所
    93352507
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0933525071
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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