由儲蓄率與投資率的相關性檢定資本流動性-以台灣與日本為例

Feldstein and Horioka（1980）提出依儲蓄率和投資率相關性來檢驗資本移動的程度，然而F-H的實證結果卻顛覆了世人對大國具有高資本流動性的既有觀感，亦即儲蓄率與投資率的相關程度很低，也因而引發繼起學者對此議題的相關探究。本文以台灣和日本為研究對象，研究期間為逐漸鬆綁資本管制後的1973年至2002年，依此年儲蓄率與投資率為樣本，進行單根檢定、共整合檢定與向量誤差修正模型，以探究台灣與日本資本移動性情形是否與其政策目標方向一致。研究結果發現，台灣不拒絕無長期共整合關係的虛無假設。政府自70、80年代以來逐步放寬資本管制，改善了資本流動性，使得國內投資的不足可藉由外國儲蓄來融通。依F-H實證裡獲得0.88的相關係數而言，台灣之相關係數較其接近於零，呼應了政府順應國際金融市場開放的目標。迥異於台灣的實證分析，日本不僅拒絕儲蓄率與投資率間無長期關係的假設，更檢定出兩者間相關性的係數值很高，隱含了資本不具流動性，和其政府逐漸放鬆的資本管制目標互相牴觸。此外，更較F-H實證顯示出的0.88接近於一，亦即其儲蓄與投資的相關性不薄弱。此結果可歸因於大國體系的影響，因為這類國家較有意願及能力採取政策來抵銷鉅額的對外不平衡。

關鍵字

資本流動性；投資率；儲蓄率

並列摘要

Feldstein and Horioka（1980）suggested that the relationship between saving rate and investment rate could be used to evaluate the capital mobility. However, the result of F-H condition is opposite to the traditional concept, which leading countries in the world have high capital mobility. Therefore, many researches on the issue of F-H puzzle are carried out by scholars. This essay is based on F-H condition in Japan and Taiwan during 1973 to 2002 while the restriction was less. We take saving rate and investment rate as variables to run VECM, Unit Root Test, and Cointegration Test to analyze whether the empirical results are correspondence to the goals of the government in Taiwan and Japan. According to our empirical research, the hypothesis, there is no cointegration relationship between saving rates and investment rates in the long run in Taiwan, can not be rejected. Taiwanese government has reduced the limitation on capital movements since 1970s. As a result, the shortage of domestic investment could be improved by foreign savings. In other words, the capital in Taiwan is mobile. We find the coefficient value of saving rate and investment rate of Taiwan is closer to zero than F-H implicated, which also responds to government's policies to reduce the limitation on capital control. In Japan, on the contrary, saving rate and investment rate are related in the long run. Although Japanese government is open to capital investment, the result of the test is even more puzzled than that of F-H. It implies the inconsistence with their policies. These results could attribute to the fact that industrial countries are usually more willing and capable of making policy to balance the unbalance between economic condition and their targets. As long as there is a gap between the economic status quo and government expectations, Japanese government will interfere in the capital market by policies.

並列關鍵字

saving-investment ； F-H puzzle ； capital mobility

參考文獻

林江峰，（2001）”WTO/GATS金融服務貿易自由化規範之研究－以日韓金融體系自由化為例”，國立台大法學論叢，第30卷第2期，頁123-176。

邱毅，（1998）”兩岸國營企業經貿合作的契機與模式”，經濟前瞻，雙月刊第56期，台北，中華經濟研究院，頁128-135。

張淑華，蔡忠佑，（2003）”金融發展與經濟成長之因果關係－日本、韓國、台灣之實證研究”，國立中央大學台灣經濟發展研究中心學術研討論文。

Argimon, I. and J. M. Roldan, (1994) “Saving, Investment and International Capital Mobility in EC Countries,” European Economic Review, vol.38(1), pp.59-67.

Bayoumi, T., (1990) “Saving-Investment Correlations: Immobility Capital, Government Policy, or Endogenous Behavior?” IMF Staff Papers, vol.37(2), pp.360-387.

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由儲蓄率與投資率的相關性檢定資本流動性-以台灣與日本為例

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