影響台灣民間消費總體經濟變數的探討

Macroeconomic Determinants of Private Consumption in Taiwan

陳啟超(Chi-Chao Chen)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.02427

摘要

本文主要目的在探討民間消費與總體變數之間的關係；民間消費是我國GDP的主要構成項目，但其近年來的成長幅度明顯減少，此是否與我國總體經濟環境的改變有關？似乎值得相關決策當局予以關注。本文即針對總體變數與民間消費的互動關係進行實證分析，瞭解彼此間的領先落後關係為何，以及影響台灣民間消費的總體變數因素為何。
研究架構上，先對民間消費與各種總體變數進行因果關係檢定，並以VAR模型驗證各種的互動關係，然後再將民間消費與其他總體變數做迴歸分析。本研究利用單跟檢定、相關性分析、Granger因果關係檢定、向量自我迴歸模型(VAR)等計量方法建立實證模型。
綜合本文實證結果可以歸納出下列結論：
一、 總體變數與民間消費的互動關係
(1) 在台灣的重要總體經濟變數中，與民間消費存在雙向因果關係者包括GDP、出口、M1B、M2、CPI及失業率。此外，民間消費與股價指數存在單向因果關係，亦即股價指數領先民間消費。
(2) 在民間消費與各種總體經濟變數間的領先落後關係中，以M2為變數的VAR模型結果，民間消費單向領先GDP、CPI及失業率；出口及M2單向領先民間消費；至於民間消費與實質利率及匯率間無明顯因果關係；而民間消費與股價指數兩者間呈雙向因果關係。以M1B為變數的VAR模型結果，民間消費單向領先GDP、股價指數及匯率；出口及實質利率單向領先民間消費；而民間消費與M1B及失業率兩者間呈雙向因果關係；至於民間消費與CPI間無明顯因果關係。結果發現以M1B與M2分別做總體變數間的領先落後分析，民間消費與其他變數領先落後關係不盡相同，惟兩者做出相同的結果是民間消費單向領先GDP。
二、 影響民間消費的總體變數因素
(1) 民間消費受GDP、股價指數、M1B、M2、實質利率、CPI以及季節性因素第一季與第三季等變數顯著正向影響。其中，GDP增加與股價指數上漲將會促使民間消費隨之增加，此是反映當期所得或財富之增加將有助於當期民間消費支出增加。至於M1B及M2之增加促使民間消費增加，係反映決策當局維持貨幣數量寬鬆的環境將有利於民間消費支出。此外，實質利率提高對屬於超額儲蓄的我國而言，亦有助於消費支出增加，而CPI之提高則反映景氣好轉造成物價上漲，民間消費亦隨之增加。
(2) 民間消費受季節性因素第一季與第三季的顯著正向影響，此種現象除反映在第一季公、民營企業發放年終獎金造成之所得效果外，亦反映這兩季適逢春節假期或及寒、暑假，亦有利於民間消費支出增加。另外，民間消費受季節性因素第二季顯著負向影響，此種現象反映第二季適逢個人綜合所得稅的繳納期間，致使民眾減少消費。
(3) 民間消費受前一期民間消費顯著負向影響，此種現象反映民間消費有落後性，人們落後一期才反映在民間消費上。
(4) 民間消費受出口顯著負向影響，此種現象反映出口對民間消費的影響具有落後性；至民間消費受失業率顯著負向影響，則是反映當失業情況改善，有助於民間消費支出增加。

關鍵字

民間消費 ； 經濟成長 ； 總體變數 ； 消費理論 ； VAR模型

並列摘要

The main purpose of this paper is to explore the correlation between Private Consumption Expenditure and Macrorconomic Variables. Private consumption expenditure is the main component of Taiwan’s GDP, but its growth rate declines significantly in near decade. Is this relevant to the change of economic environment? The issue seems to be worthy of our government’s concern. We attempt to examine the coefficient of private consumption and all macroeconomic variables, investigate the reason of lead-lag relation and the reason to affect private consumption expenditure of Taiwan and macroeconomic variables.
On the basis of research mechanism,first, examine the causation of private consumption expenditure and macroeconomic variables. Second, verify the interaction by using VAR module. Lastly, examine affects on private consumption and other macroeconomic variables by using regression analysis. The empirical model is derived from quantitative method such as Unit Root Test, Correlation Analysis, Granger Causality Test and Vector Auto-regression Model.
Following conclusions can be drawn from empirical result:
1. Interaction between macroeconomic variables and private consumption
(1) In Taiwan, the two-way causality of private consumption among macroeconomic variables includes: GDP, export, M1B, M2, CPI and unemployment rate; In addition, private consumption is only one-way causality to stock index, namely, stock index takes the lead in private consumption.
(2) In the lead-lag relation among private consumption and other macroeconomic variables, the results of VAR model based on M2 variables are:
- Private consumption one-way leads to GDP, CPI and unemployment rate.
- Export and M2 one-way lead to private consumption.
- There is no apparent causality between private consumption and real interest rate and foreign exchange rate.
- Private consumption is two-way causality to stock index.
The result of VAR model based on M1B variables are:
- Private consumption one-way leads to GDP, stock index and foreign exchange rate.
- Export and real interest rate one-way lead to private consumption.
- There is no apparent causality between private consumption and CPI.
- Private consumption is two-way causality to M1B and unemployment rate.
The results of lead-lag analysis of private consumption and other variables based on M1B and M2 variable are not all the same. The only identical result is private consumption one-way leads GDP.
2. Factors of Macroeconomic Variables affect Private Consumption:
(1) Private consumption has a positive impact on GDP, stock index, M1B, M2, real interest rate, CPI and Q1 & Q3 seasonal factor. Among these factors,
- The growth of GDP and stock index will cause private consumption increase. The phenomenon reflects that the increase of wealth or income will contribute the private consumption expenditure.
- The growth of M1B and M2 will also boost an increase in private consumption expenditure. It reflects that a loose monetary environment boosts private consumption.
- Private consumption has a positive impact on Q1 and Q3 seasonal factors. It reflects that the employee’s annual bonus and long vacation will stimulate private consumption.
- Higher real interest rate will cause more private consumption. It reflects that in a excess-saving country higher real interest rate will facilitate consumption.
- Higher CPI will also boost an increase in private consumption expenditure. The phenomenon reflects the economic turnaround.
(2) Private consumption has a negative impact on self-delay. It shows that private consumption has time lags and one period of time delay reflects on private consumption.
(3) Private consumption has a negative impact on export. It reflects that the impact of export against private consumption has time lags.
(4) Private consumption has a negative impact on unemployment rate. It reflects that the decline of unemployment rate will stimulate an increase in private consumption.
(5) Private consumption has a negative impact on Q2 seasonal factor. It shows that the households have to pay income tax in Q2, and then decrease their consumption.

並列關鍵字

Private Consumption ； Economic Growth ； Macroeconomic Variables ； The Theory of Consumption ； VAR Model

參考文獻

13.鍾經樊、詹維玲、張光亮(2004)，「財富在不同時期對台灣消費行為的影響：多變量馬可夫結構轉換模型的應用」，《經濟論文》。

1.Attanasio, O. and G. Weber (1993),“Consumption growth, the interest rate and aggregation,”The Review of Economic Studies, 60, pp. 631-649.

2.Boone, Laurence, Nathalie Girouard, and Isabelle Wanner, 2001,“Financial Market Liberalization, Wealth and Consumption,”OECD Economics Department Working Paper No. 308.

4.Campbell, J. and N. Mankiw (1990). “Permanent Income, Current Income, and Consumption,”Journal of Business and economic Statistics 8, pp. 265-279.

6.Davidson, J. E. H. and D. F. Hendry (1981) Interpreting the Econometric Evidence: The Behavior Consumer’s 出口penditure in United Kingdom, European Economic Review, pp. 177-192.