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題名:金融發展與經濟成長:中國與亞太國家之實證分析
作者:蔡素伶
作者(外文):Su-ling Tsai
校院名稱:國立中山大學
系所名稱:中國與亞太區域研究所
指導教授:張存炳
翁嘉禧
學位類別:博士
出版日期:2014
主題關鍵詞:經濟成長小波相關性分析相位差分析金融發展3SLSEconomic GrowthFinancial DevelopmentThree-stage Least Squares (3SLS)Wavelet CoherencyPhase Difference
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本論文分別利用中國及亞太國家1978-2004 和1982-2010年之年資料為實證根據,並採用三種不同之計量方法來探討金融發展和經濟成長的關係。首先,我們以追蹤資料迴歸方程式進行觀測,以中國大陸31個省市為一整體組群和中國東部、中部、西部三區群組為討論對象,運用3SLS’s panel 和3SLS’s panel 三年rolling平均方法的模型分別衡量金融發展和經濟成長之線性關係。研究證明共同結果是從1978-2004年間,中國31省市群組分別在國內存款占GPP之成長率和國內貸款占GPP之成長率上,中國東部、中部兩區群組在國內存款占GPP之成長率上,存在金融發展對經濟成長有正面的影響,然而,中國西部群組在國內貸款占GPP之成長率上,存在金融發展對經濟成長有負面的影響。且再設立虛擬變數做穩定性檢定結果相同。
又由於 panel 3SLS的方法忽略了變數之間的動態關係,為解決上述問題,我們接續使用波頻相關性分析(A wavelet-based measure of comovement),模型中將不同時域和不同頻率維度納入考慮,再次檢驗中國三區在二者間的相關性分析。根據Rau (2010)的波頻相關性檢定的結果,發現從不同頻率維度來看,金融發展(國內存款占名目GPP和國內貸款占名目GPP)和經濟成長顯現正向共移的效果是長期較短期明顯;且自1989年起短期效應存在負相關,推估天安門事件的衝擊是其中原因;而從不同時域維度來看,中國金融改革在第1期和第4期中,金融發展兩指標所釋出的直接效果對經濟成長皆有正面的影響;且再加長樣本時間1978-2008重做頑強性檢定,我們發現國內貸款占名目GPP和經濟成長部分,除了中部以外,全國、東部、西部結果相同,特別是國內存款占名目GPP和經濟成長部分支持前結果證據具頑強性。
延續波頻分析架構,根據Aguiar-Conraria and Soares (2011)提供的波頻一致性分析法 (wavelet coherence analysis),我們再針對12個亞太國家在1982-2010年金融變數與經濟成長之間的關係,進行小波相關性和相位差分析(phase analysis),同時觀察變數間共移現象外,並瞭解其lead-lag之間的因果關係。實證發現全部12個國家之金融發展和經濟成長關係具有短期內(1-4年頻率) 存在正向顯著共移關係,且新加坡、南韓、馬來西亞、泰國、印尼、菲律賓、斐濟、薩摩亞、巴布爾新幾內亞等9個國家在其局部化期間是經濟成長領先金融發展因果;另6個國家之金融發展和經濟成長關係在長期內 (4-8年頻率) 具有正向顯著共移關係,且日本、新西蘭、澳大利亞、泰國、馬來西亞、薩摩亞等6個國家在其局部化期間是金融發展領先經濟成長的因果關係,貨幣中立性假說未被支持。且已發達國家在短期和長期效應上出現金融發展和經濟成長之互為因果關係較發展中國家明顯。本文首次以波頻分析和波頻相關性分析應用於中國和亞太12國金融發展與經濟成長間關係研究,並系統地考慮金融指標變數與經濟成長之間的共移性、相關性大小和不同時頻下長期和短期的相關動態路徑,為國內在此領域的實證研究做出新的貢獻。
This dissertation respectively uses 1978-2004 and 1982-2010 annual data of China and Asia-Pacific countries as the empirical basis and employs three different empirical models to explore the relationship between financial development and economic growth. First, we perform a panel regression and take 31 provinces , eastern, central, and western regions of China as the discussion subjects. We apply the 3SLS panel method and a 3-year rolling average of this method to examine the linear relationship between economic growth and financial development. During the 1978-2004 period the following findings that have positive influences on economic growth: (1) the panel of 31 provinces for the growth rate of ratio of domestic deposits to GPP and domestic loans to GPP; (2) the two panels of eastern and central regions in China for the growth rate of ratio of domestic deposits to GPP. Therefore, the financial development indicator of the growth rate of ratio of domestic loans to GPP in the western region has a negative influence on economic growth. Moreover, we conduct a robust test by setting up a dummy variable in 1989 and gain a same result.
Due to the 3SLS panel method, we ignore the dynamic correlation between variables. To solve the above problem, we adopt the Wavelet-based measure of comovement, incorporating different time and different frequency domains in the model and re-examine the correlative analysis of the three regions of China between the two variables. According to the Wavelet-based measure of comovement in Rua (2010), after inspecting our findings from different frequency domains, we note that the positive comovement effect between financial development (domestic deposits to GPP and domestic loans to GPP) and economic growth is more significant in the long run than in the short run. The evidence for a short-run effect showing a negative correlation since 1989 is likely due to the impact from the Tiananmen Square incident. Furthermore, inspecting our findings from different time domains, whether in the first or the fourth term of China’s financial reforms, the direct effects released from the two indices of financial development show positive influences on economic growth. Furthermore, as well by extending the sample time 1978-2008 to re-perform a robust test, we find that in domestic loans to nominal GPP and economic growth, the results of the nation, the east and west region are all the same, apart from the central region, especially the domestic deposits to nominal GPP and economic growth support that the former results hold robust evidences.
We next follow the framework of the Wavelet-based measure of comovement from the Wavelet coherency analysis in Aguiar-Conraria and Soares (2011) to examine the coherency and phase difference in the relationship between economic growth and financial variables in 12 Asia-Pacific countries from 1982 to 2010. We observe the comovement phenomenon among variables and the causality of a lead-lag relationship. The empirical results identify the existence of a significantly positive comovement in the short run (1-4 years’ frequency) in the growth-finance relationships for all 12 countries. For nine countries (Singapore, South Korea, Malaysia, Indonesia, Philippines, Thailand, and Fiji, Samoa, Papua New Guinea) in their localized periods the wavelet model shows causality in that economic growth leads financial development. In addition, in 6 out of the 12 countries, which is Japan, New Zealand, Australia, Thailand, Malaysia, Samoa, a growth-finance relationship is found to have a significantly positive comovement in the long run (5-8 years’ frequency). And these six countries in their localized periods that the wavelet model shows a causality relationship in that financial development leads economic growth, hence, the paper has verified that monetary neutrality are not supported. Finally, we note that the causality relationships go in both directions in the long run and short run and observed the difference-phase for developed countries is more significant than for developing countries. This is the first paper to apply the time-frequence wavelet-based measure of comovement and wavelet coherency analysis to study the relationship between financial development and economic growth in China and 12 Asia-Pacific countries. Moreover, it systematically considers the comovement, the extent of correlation, and the long-run and short-run dynamic correlative paths under different time-frequency domains between financial indicator variable and economic growth, offering new contributions to domestic empirical studies in this field.
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