本文將會探討原始赤字(Primary Deficit)和或有負債(Debt Shocks)與其他總體經濟變數的關係:通膨率、實質有效匯率、實質GDP 成長率及實質利率。從過去的債務可持續性分析中發現原始赤字和或有負債對債務比例是重要的影響因素,因此本研究利用這兩個變數作為解釋國家債務動態的指標。本文使用追蹤向量自我迴歸(panel Vector Autoregression)找出原始赤字和或有負債對四個總體變數的短期關係,又透過因果關係檢定分析變數之間的長期因果關係。根據本文實證結果發現在短期通膨率對原始赤字有正向影響,對或有負債有負向 影響。實質有效匯率對原始赤字有正向影響,對或有負債有正與負的影響。實質GDP成長率對原始赤字有負向影響,對或有負債有正與負的影響。實質利率對原始赤字和或有負債都有負向影響。原始赤字與或有負債有負向關係。從因果關係檢定的結果發現在長期下,原始赤字領先實質有效匯率。通膨率、實質利率和或有負債領先原始赤字。實質GDP 成長率與原始赤字互相領先。通膨率和實質有效匯率領先或有負債。實質GDP成長率和實質利率個別與或有負債互相領先。
This thesis explores within the dynamics of government debts, macroeconomic factors that might indicate relationships to primary deficits and debt shocks of European Union countries, which many suffer from extreme debt crisis. In many debt sustainability analysis studies, the key factors of influencing the debt ratio are primary deficits and debt shocks, which are not included in public debts, thus these variables are chosen as the main focus to represent the debt conditions of the European Union. This paper uses panel VAR to combine 18 EU countries as one entity to represent the EU and examine the relationship of the primary deficit and debt shocks with other macroeconomic variables, such as the inflation rate, the real effective exchange rate, the real GDP growth rate, and the real interest rate. The Granger Causality Test is performed to assess the variables’ long-term causality, since the panel VAR results can only provide results for the short run. The results show that in the short run, the inflation rate has positive and negative impacts on primary deficits and debt shocks. The real effective exchange has positive and mixed effects on deficits and debt shocks. The real GDP growth rate produces negative and mixed impacts on deficits and debt shocks. The real interest rate is negatively correlated with both variables. Finally, there exists a positive relationship between primary deficits and debt shocks. In the long run, the primary deficit granger causes the real effective exchange rate. The inflation rate, real interest rate, and debt shocks granger cause the primary deficit. There exists a two-way causality between the primary deficit and the real GDP growth rate. As for the debt shocks, it is granger caused by the inflation rate and the real effective exchange rate. Finally, debt shocks have a two-way causality between the real GDP growth rate and the real interest rate.