金融發展與經濟成長的關係會消失嗎？－門檻迴歸模型之應用

Is the Relation between Financial Development and Economic Growth Robust? An Application of Threshold Regression Model

李建強(Chien-Chiang Lee) ； 洪福聲(Fu-Sheng Hung) ； 黃柏農(Bwo-Nung Huang)

《經濟研究》 41卷1期 (2005/01) Pp. 45-74

摘要

本文修正Odedokun(1996)金融發展對經濟成長影響的模型，除考慮銀行發展變數外，更加入股市發展的變數，藉以區分此兩種不同金融發展變數對台灣經濟成長的影響。不同於過去文獻以線性模型的設定方式，本文採用門檻迴歸(threshold regression)模型來捕捉銀行發展及股市發展程度的改變對經濟成長的非線性影響。實證結果發現，金融發展變數具有外生性，以股市成交值比為門檻變數時，銀行發展及股市發展與經濟成長之間存在門檻效果，因此過去文獻支持金融發展可以促進經濟成長的結論，只有在金融發展程度較低的狀態下才成立；但在金融發展程度較高的狀態，金融發展與經濟成長的關係會消失。此外，由股市發展與銀行發展的互動關係中我們發現，在股市發展程度較低的狀態下，持續發展銀行可顯著促進經濟成長；但在股市發展程度較高的狀態下，持續發展銀行對經濟成長的影響並不顯著，此一結果顯示當股市發展到達某一門檻水準之後，銀行及股市兩者之間將呈現排擠的關係。

關鍵字

銀行發展 ； 股市發展 ； 經濟成長 ； 門檻迴歸模型

並列摘要

In this paper, we revise the Odedokun (1996) model, which describes that banking development has a significant impact on the economic growth. In addition to the banking development variables, we also consider the stock market variables. We distinguish such two kinds of financial development variables causing the different impact on economic growth of Taiwan. Different from previous studies, we adopt the threshold regression model and dissect the impacts of the developments of banking sector and stock market on economic growth. The empirical evidences explore that the financial development variables exist exogeneity. Taking the ratio of stock market trading as the threshold variable, we also find the threshold effect exists in the banking, stock market development and the economic growth. Thus, the financial development could promote economic growth only in the condition of lower level of financial development. But in the higher development state, the relation between the financial development and economic growth would fade away. Aside from this, we find that developed banking sector can significantly promote the economic growth when the stock market is in a lower developed state; however the relationship disappears when the stock market is highly developed. These results show that in a highly developed stock market, the impacts of banking sector and stock market on the economic growth are not compatible.

並列關鍵字

Banking Development ； Stock Market Development ； Economic Growth ； Threshold Regression Model

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