跨國經濟成長分析：各種效應對成長固有趨勢之實證研究

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研究生：	賴宗志 Tsung-Chih Lai
論文名稱：	跨國經濟成長分析：各種效應對成長固有趨勢之實證研究 An Empirical Analysis of Various Effects on Intrinsic Trend of Economic Growth during 1970 - 2005
指導教授：	朱雲鵬 Yun-Peng Chu
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 經濟學系 Department of Economics
畢業學年度：	99
語文別：	英文
論文頁數：	61
中文關鍵詞：	經濟成長、金融危機、Empirical Mode Decomposition 、Hodrick-Prescott Filter 、石油危機、信用市場管制、外人直接投資、國際資本市場控管、匯率制度
外文關鍵詞：	Foreign Direct Investment, Financial Crisis, Oil Shock, Empirical Mode Decomposition, Economic Growth, Hodrick-Prescott Filter, Exchange Rate Regime, Credit Market Regulation, International Capital Market Control
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本文建構於Barro與Sala-i-Martin的跨國經濟成長計量模型，利用縱橫面資料的三階段最小平方法，加入時間固定效果與時間異質變異進行迴歸分析。在分析架構上，Barro與Sala-i-Martin以人均GDP成長率為被解釋變數，考慮兩類不同的解釋變數，分別為狀態變數的起初值（如實質資本、教育與健康程度），以及由政府或私部門影響之控制或環境變數（如政府支出、投資占GDP比值、通貨膨脹率、國際貿易開放度、貿易條件之改變、生育率、法治及民主程度）。除此之外，本文利用兩種濾波器─Hodrick-Prescott Filter與Empirical Mode Decomposition─過濾掉28個大型經濟體自1970到2005年經濟成長的短期循環成分。
由實證結果可發現，石油危機與金融危機不僅降低同時期的經濟成長，也對成長之長期趨勢帶來顯著負面影響。其他分析結果證實了外人直接投資（Foreign Direct Investment）與寬鬆的信用市場管制使得長期趨勢顯著提昇；然而過度自由的國際資本市場控制卻讓成長趨勢顯著下降。最後，從成長觀點來看，固定匯率制度與非固定匯率制度皆比雙軌匯率制更能帶動成長之正向效果。而實證結果也顯示採用不同的濾波器仍然可得到一致的結論。

This study presents a substantially revised version of Barro and Sala-i-Martin’s type of econometric estimations by using panel three-stage least squares method with period fixed effects and GLS period weights. Barro and Sala-i-Martin used an empirical framework that relates the real per capita growth rate to two kinds of variables: first, initial levels of state variables and second, control or environment variables, some of which are chosen by the governments and some by the private agents. This paper utilizes two filters – Hodrick-Prescott Filter and Empirical Mode Decomposition – to remove cyclical components on economic growth of 28 countries during 1970 - 2005.
The most prominent finding of this study is that the oil shocks and financial crises not only decline the contemporary growth but also lead to the diminishing effects on intrinsic trend of growth. Other empirical results support that FDI inflows and free credit market regulations cause the positive effects on trend of growth. While on the contrary, loose international capital controls decelerate growth speed. Finally, from the growth perspective, peg exchange rate and the non-fixed ones are more favorable than default dual market in which parallel market data is missing. The empirical results show the different choice of filtering method still reach the consistent conclusions.

1.	Introduction	1
2.	Literature Review	3
3.	Methodology	5
3.1.	Hodrick-Prescott Filter	5
3.2.	Empirical Mode Decomposition	7
3.3.	Cubic Spline	8
4.	Various Effects	11
4.1.	Basic Model	11
4.2.	Oil Shocks and Financial Crises	16
4.3.	International Capital Market Controls, Credit Market Regulations and FDI	17
4.4.	Exchange Rate Regimes	19
5.	Empirical Results	21
6.	Conclusions	25
7.	References	27
8.	Appendix	33
Table 1: Variables in Cross-Country Growth Regressions	33
Table 2: Countries Included in Barro’s Growth Sample	35
Table 3: The List of Right-Hand-Side Variables	36
Figure 1: GDP per Capita Growth Rate and the Trend Acquired from HP Filter (HP1: λ=100, HP2: λ=6.25)	37
Figure 2: GDP per Capita Growth Rate and the Trend Acquired from EMD Approach	38
Figure 3: GDP per Capita Growth Rate and the Trend Acquired from Both Filters (EMD2, HP2)	39
Figure 4: Inflation Rate and the Trend Acquired from HP Filter	40
Figure 5: Inflation Rate and the Trend Acquired from EMD Approach	41
Figure 6: Inflation Rate and the Trend Acquired from Both Filters	42
Figure 7: Investment Ratio and the Trend Acquired from HP Filter	43
Figure 8: Investment Ratio and the Trend Acquired from EMD Approach	44
Figure 9: Investment Ratio and the Trend Acquired from Both Filters	45
Figure 10: FDI Ratio and the Trend Acquired from HP Filter	46
Figure 11: FDI Ratio and the Trend Acquired from EMD Approach	47
Figure 12: FDI Ratio and the Trend Acquired from Both Filters	48
Graph 1: Oil Price ($ 2009)	49
Appendix 1: The List of Right-Hand-Side Variables with Instruments and Sources	50

                                

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