國際資金移動、總體經濟變數與經濟成長的動態相關性：以台灣地區實證

本研究以台灣地區過去30年的季資料進行時間序列實證分析，探討國際資金移動對於台灣的經濟成長及總體經濟變數是否存在影響關係。我們將國際資金移動分為四大類，分別為外人直接投資(Foreign Direct Investment，FDI)、股權與基金投資、債務證券投資與衍生性商品投資，總體經濟變數則包含非農就業人口、出口額、國民可支配所得、台灣加權指數。因此本研究探討共9個變數之相關性，並採用1992年Q3至2021年Q3之各變數季資料，進行單根檢定、共整合檢定、向量誤差修正模型(VECM)、Granger因果關係檢定、衝擊反應函數及預測誤差變異數分解之分析。透過共整合檢定，我們發現各變數具有長期關係，且向量誤差修正模型分析結果顯示國際資金移動當中，只有外人直接投資與債務證券投資的資金流入對於經濟成長、出口額與非農就業人口有正向影響，且經濟成長率提高亦會帶動總體經濟變數之表現，這部分與Granger因果關係檢定得到之結果類似。另外，透過衝擊反應函數及預測誤差變異數分解分析，可以確認國際資金移動確實會帶給經濟成長率波動。

關鍵字

國際資金移動；經濟成長；總體經濟變數；向量誤差修正模型

並列摘要

This study conducts an empirical time-series analysis of the quarterly data in Taiwan over the past 30 years to explore whether the international capital movement has an impact on Taiwan's economic growth and macroeconomic variables. We divide international capital movement into four categories of variables, namely foreign direct investment (FDI), equity and fund investment, debt securities investment and derivative commodity investment. Additionally, the macroeconomic variables include non-agricultural employment, export volume, National Disposable Income and Taiwan Weighted Index. Therefore, this study explores the correlation of a total of nine variables, and uses the seasonal data of each variable from Q3 in 1992 to Q3 in 2021 to conduct unit root test, cointegration test, vector error correction model (VECM), Granger causality test, impulse response function and forecast error variance decomposition. Through the cointegration test, we find that each variable has a long-term relationship, and the results of the vector error correction model analysis show that in the international capital movement, only the capital inflow of foreign direct investment and debt securities investment has a positive effect on economic growth, exports and non-agricultural employment. In addition, the increase in economic growth rate will also drive the performance of macroeconomic variables, which is similar to the results obtained by the Granger causality test. Furthermore, through the analysis of impulse response function and forecast error variance decomposition, it can be confirmed that international capital movement will indeed bring fluctuations in economic growth rate.