民主轉型與儲蓄－投資相關係數：台灣的實證研究

Democratic Transition and the Saving-Investment Correlation: Evidence from Taiwan

林向愷(Kenneth S. Lin) ； 岳俊豪(Chun-Hao Yueh)

《經濟論文叢刊》 38卷4期 (2010/12) Pp. 461-500

https://doi.org/10.6277/ter.2010.384.2

摘要

本文將民主化與金融開放等變數導入DCC GARCH模型，探討台灣民主轉型對儲蓄與投資相關係數的影響。實證結果顯示：民主轉型對國民儲蓄率與國內投資率變異數有負向影響，金融開放對國民儲蓄率與國內投資率共變異數則有正向影響。台灣的實證現象雖能解答爲何已開發國家儲蓄與投資相關係數較開發中國家爲高，但金融開放影響儲蓄與投資共變異數的管道則有待進一步研究。

關鍵字

民主轉型 ； 金融開放 ； 儲蓄與投資相關係數 ； DCC GARCH-X模型

並列摘要

In this paper, we introduce a DCC GARCH-X model to study the impact of the democratic transition on the saving and investment correlation in Taiwan. We find that democratic transition lowers the correlation through decreasing variances of saving and investment, while financial openness raises it through increasing its covariance counterpart. Our empirical findings suggest that democratic transitions are crucial to explaining why the saving and investment correlation in developing countries is higher than that in developed countries.

並列關鍵字

democratic transition ； financial openness ； saving and investment correlation ； DCC GARCH-X model

參考文獻

林向愷、岳俊豪(2009)。政經結構變遷與景氣波動—台灣的實證研究。經濟論文。37(4)，411-456。

張淑華(1999)。戰後台灣景氣循環之特徵。台灣銀行季刊。50(2)，85-107。

Aghion, P.,Alesina, A.,Trebbi, F.(2007).Democracy, technology and growth.NBER working paper, no. 13180.(NBER working paper, no. 13180).,未出版.

Argimón, I.,Rold´an, J.(1994).Saving, investment and international capital mobility in EC countries.European Economic Review.38,59-67.

Bahmani-Oskooee, M.,Chakrabarti, A.(2005).Openness, size, and the saving-investment relationship.Economic Systems.29,283-293.