:::

詳目顯示

回上一頁
題名:小型開放經濟體系總體經濟政策之研究
作者:李麗華
校院名稱:國立政治大學
系所名稱:金融研究所
指導教授:霍德明
朱浩民
學位類別:博士
出版日期:2011
主題關鍵詞: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
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:8
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。
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。new window
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.
Blanchard, O. and R. Perotti (2002), “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output,” Quarterly Journal of Economics, 117(4), 1329-1368.
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.
Canova, F. and E. Pappa (2007), “Price Differentials in Monetary Unions: the Role of Fiscal Shocks,” Economic Journal, 117, 713–737.
Christiano, L. J. and M. Eichenbaum (1992),“Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations,”American Economic Review, 82(3), 430-50.
Edelberg, W., M. Eichenbaum, and J. D. M. Fisher (1999),“Understanding the Effects of a Shock to Government Purchases,”Review of Economic Dynamics, 2(1), 166-206.
Fatás, A., and I. Mihov (2001),“The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence,”CEPR Discussion Paper, No.2760.
Fry, R. and A. Pagan (2007), “Some Issues in Using Sign Restrictions for Identifying Structural VARs,” NCER Working Paper Series, No. 14.
Galí, J., J. D. López-Salido, and J. Vallés (2007),“Understanding the Effects of Government Spending on Consumption,”Journal of the European Economic Association, 5(1), 227-270.
Giavazzi, F., T. Jappelli, and M. Pagano (1990), “Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries,” in O. Blanchard and S. Fisher,(ed.), NBER Macroeconomics Annual, 75–110, Cambridge: MIT Press.
Grilli, V., and N. Roubini (1995), “Liquidity and Exchange Rate: Puzzling Evidence from the G-7 Countries,” Unpublished paper, New York University.
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.
Leeper, E. and D. B. Gordon (1992), “In Search of the Liquidity Effect,” Journal of Monetary Economics, 29, 341-369.
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.
Rubio-Ramirez, F. Juan, D. Waggoner, and T. Zha (2005), “Markov-Switching Structural Vector Autoregressions: Theory and Application,” Federal Reserve Bank of Atlanta Working Paper, No. 2005-27.
Sims, C. (1992), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy,” European Economic Review, 36, 975-1000.
Sims, C. A. and T. Zha, (1998), “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949-968.
Sims, C. A. and T. Zha (1999), “Error Bands for Impulse Responses,” Econometrica, 67(5), 1113-1155.
Sutherland, A. (1997),“Fiscal Crises and Aggregate Demand: Can High Public Debt Reverse the Effect of Fiscal Policy? ” Journal of Public Economics, 65(2), 147-162.
Uhlig, H. (1994), “What Macroeconomists Should Know About Unit Roots? ” Econometric Theoy, 10, 645-671.
Uhlig, H. (2005), “What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,” Journal of Monetary Economics, 52(2), 381-419.

 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top