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題名：金融資產與儲蓄--臺灣的實證研究
書刊名：經濟論文
作者：林金龍 引用關係／吳中書／陳仕偉 引用關係
作者(外文)：Lin, Jin-lung／Wu, Chung-shu／Chen, Shyh-wei
出版日期：1999
卷期：27:1
頁次：頁81-102
主題關鍵詞：金融資產；儲蓄；財富效果；部分系統共整合；李嘉圖命題；Financial assets；Saving；Wealth effect；Partial cointegration；Richardian proposition
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(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:6
  • 點閱點閱:245
　　　　　本文採用考慮外生性的部分系統共整合模型探討臺灣金融資產與儲蓄之關聯性 。我們將具爭議性之公債餘額與其他資產相互區別，藉以探討Barro的李嘉圖命題（Rica dian proposition）在臺灣是否成立。此外，亦分析資產效果在民間部門儲蓄與總儲蓄間 是否具不同之關聯性。根據臺灣地區1976年第1季至1997年第2季間的資料，本文實證結果 發現股票與房地產以及公債等資產餘額對儲蓄之影響效果，可能因總儲蓄或民間部門儲蓄 而有所相異。此外，公債餘額對民間部門儲蓄具有相當顯著之負面關聯性，此發現不但顯 示Barro(1974)的論點在臺灣不適用，且為近年來臺灣民間儲蓄逐漸下滑提出一個可能的 解釋因素。
　　　　　This paper explores the relationship between the financial assets and the savings of Taiwan by means of the partial cointegration model. In particular, we separate government bonds from other financial assets to examine if Barro's Richardian proposition holds. We distinguish private savings from total savings as these two variables behave quite differently. Our empirical results conclude that financial assets all have a negative effect on real savings but stock, real estate and government bonds each has a different impact. Government bonds exert a negative effect on the private savings significantly, which implies that Barro's Richardian proposition does not sustain in Taiwan. The empirical results provide an important explanation to the rapid decline of private saving rates in recent years in Taiwan.
期刊論文
1.Doornik, J.、Hansen, H.(1994)。An Omnibus Test for Univariate and Multivariate Normality。Oxford Bulletin of Economics and Statistics，70(s1)，927-939。  new window
2.張素梅(19860600)。孩子數目及年齡對臺灣地區家庭儲蓄行為的影響。經濟論文叢刊，14，105-131。new window  延伸查詢new window
3.Phillips, Peter C. B.(1995)。Fully Modified Least Squares and Vector Autoregression。Econometrica，63(5)，1023-1079。  new window
4.Engle, Robert F.、Hendry, David F.、Richard, Jean F.(1983)。Exogeneity。Econometrica，51(2)，277-304。  new window
5.Pagan, A. R.(1984)。Econometric Issues in the Analysis of Regressions with Generated Regressors。International Economic Review，25，221-248。  new window
6.Johansen, S.(1992)。Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis。Journal of Econometrics，52，389-402。  new window
7.Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews，13(2)，205-229。  new window
8.Johansen, Soren、Juselius, Katarina(1992)。Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics，53(1-3)，211-244。  new window
9.Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics，60(2)，203-233。  new window
10.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。  new window
11.Phillips, Peter C. B.、Ouliaris, Sam(1990)。Asymptotic properties of residual based tests for cointegration。Econometrica，58(1)，165-193。  new window
12.Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics，54(3)，461-471。  new window
13.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
14.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
15.Barro, Robert J.(1974)。Are Government Bonds Net Wealth?。Journal of Political Economy，82(6)，1095-1117。  new window
16.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
17.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika，71(3)，599-607。  new window
18.Johansen, S.(1992)。Determination of the Cointegration Rank in the Presence of a Linear Trend。Oxford Bulletin of Economics and Statistics，54，383-397。  new window
19.Wickens, M. R.(1996)。Interpreting Cointegrating Vectors and Common Stochastic Trends。Journal of Econometrics，74(2)，255-271。  new window
20.Weber, W. E.(1975)。Interest Rates, Inflation, and Consumer Expenditure。The American Economic Review，65，843-857。  new window
21.Boskin, Michael J.(1978)。Taxation, Saving, and the Rate of Interest。Journal of Political Economy，86(2)，3-27。  new window
22.陳小苓(1978)。外資流入與國內儲蓄－臺灣之實証研究。財稅研究（財稅研究雜誌社），10(4)，61-67。new window  延伸查詢new window
23.Modiglaini, F.、Ando, A.(1963)。The 'Life-Cycle' Hypothesis of Savings: Aggregate Implications and Test。The American Economic Review，53，55-84。  new window
24.Evans, O.、Bovenberg, L. A.(1990)。National and Personal Saving in the United States。IMF Staff Papers，37，639-669。  new window
25.Schmidt-Hebbel, K.、Corbo, V.(1991)。Public Policies and Saving in Developing Countries。Journal of Development Economics，36，89-115。  new window
26.Fry, M. J.(1978)。The Permanent Income Hypothesis in Underdeveloped Economies: Additional Evidence。Journal of Development Economies，5，399-402。  new window
27.Fry, M. J.(1980)。Saving, Investment, Growth and the Cost of Financial Repression。World Development，8，317-327。  new window
28.Gupta, K. L.(1987)。Aggregate Savings, Financial Inter-mediation and Interest Rate。The Review of Economics and Statistics，69，303-311。  new window
29.Gylfason, T.(1981)。Interest Rates, and the Aggregate Consumption Function。The Review of Economics and Statistics，63，233-245。  new window
30.Hahn, J.(1994)。What Explanation Increase in Korea's Saving Rates。International Economic Journal，8，23-37。  new window
31.Taylor, D. L.、Juster, T. F.(1975)。Personal Savings in the Postwar World: Implication for the Theory of Household Behavior towards a Theory of Saving Behavior。The American Economic Review，65，203-210。  new window
32.Montgomery, E.(1986)。Where did all the Saving Go? A Look at the Recent Decline in the Saving Rate。Economic Inquiry，xxiv，681-697。  new window
33.Mukhopadhyay, A. K.(1994)。Are Haligonians Ricardian? A Survey of Households' Saving Response to the Government's Budget Deficits。Journal of Social-Economics，23，457-477。  new window
34.Ungern-Sternberg, T.(1981)。Inflation and Savings: International Evidence on Inflation-Induced Income Losses。The Economic Journal，91，961-976。  new window
35.Viard, A. D.(1993)。The Productivity Slowdown and the Savings Shortfall: A Challenge to the Permanent Income Hypothesis。Economic Inquiry，xxi，549-563。  new window
36.Weber, W. E.(1970)。The Effect of Interest Rates on Average Consumption。The American Economic Review，60，591-598。  new window
37.Hayashi, F.(1986)。Why Is Japan's Saving Rate So Apparently High?。NBER Macroeconomics Annual 1986，147-210。  new window
會議論文
1.吳中書(1989)。臺灣總體經濟年模型。沒有紀錄。  延伸查詢new window
2.Hall, S.(1998)。On the Practical Identification of Co-integrated Systems with Application to UK Wage and Price Settings。Rio de Janeiro, Brazil。  new window
研究報告
1.吳中書(1989)。臺灣交易貨幣與物價。0。  延伸查詢new window
學位論文
1.何南宏。臺灣省家計單位消費與儲蓄行為研究(碩士論文)。東海大學。  延伸查詢new window
2.陳信福(1992)。資本利得與家庭儲蓄行為之關係－臺灣的實證研究（1968-1991），0。  延伸查詢new window
3.蔡明宏(1994)。臺灣狹義貨幣需求之探討，0。  延伸查詢new window
4.黃瑜芬(1996)。臺灣儲蓄率下降成因之探討，0。  延伸查詢new window
5.陳文琪(1995)。儲蓄、利率、通貨膨漲－跨國性之探討，0。  延伸查詢new window
6.陳秀春(1995)。多變量時間序列長期均衡與短期動態關係之探討，0。  延伸查詢new window
圖書
1.Hansen, H.、Juselius, K.(1995)。CATs in RATs: Cointegration Analysis of Time Series。Evanston, IL：Worldwide Press。  new window
2.Johansen, S.(1995)。Likelihood-based inference in cointegrated vector autoregressive models。Oxford University Press。  new window
3.陳坤銘(1984)。官定利率、民間借貸與家庭儲蓄。官定利率、民間借貸與家庭儲蓄。沒有紀錄。  延伸查詢new window
4.Collins, S. M.(1989)。Debt, Policy, and Performance: An Introduction。Developing Country Debt and Economic Performance, Volume 3。沒有紀錄。  new window
5.Shinohara, M.(1983)。The Determinants of Post-War Savings Behavior in Japan。Determinants of National Saving and Wealth。New York, NY。  new window
 
 
 
 
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