兩岸經濟成長、金融發展與出口貿易之Granger因果檢定

The Relationship of Economic Growth, Financial Development and Export trade in Taiwan and China -Application of the Granger Causality Test

陳治儒(Chih-Ju Chen)

指導教授 ： 李志強

淡江大學/國際研究學院/中國大陸研究所碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00991

摘要

本文嘗試以共整合檢定、誤差修正模型與Granger因果檢定，分析台灣與中國大陸經濟成長、金融發展與出口貿易之間的因果關係，並採用E-Views 軟體來進行驗證，本研究選取每季GDP及工業生產指數做為經濟成長代理變數、廣義貨幣供給額M2 與GDP 之比例及股市週轉率當作金融發展的代理變數、每季的出口總額視為出口貿易的代理變數。由共整合的檢定結果顯示，兩國經濟成長、金融發展與出口貿易等實證代理變數，皆存在著長期穩定的均衡關係。而在誤差修正模型與Granger因果關係的檢定結果發現出口擴張能有效帶動兩國的經濟成長、金融深化對大陸的經濟成長具有正面影響，台灣則否、中國股市發展對經濟成長沒有顯著影響，台灣股市對經濟成長則具有短期顯著相關、金融深化對出口貿易的影響實證結果則給予正面支持。
由實證結果可知現階段台灣與中國大陸出口擴張政策是帶動經濟成長的良藥，台灣因為前幾年雙卡風暴及金融改革制度的影響，近年金融發展無法有利於台灣經濟；大陸因國內金融需求龐大、金融市場開放等原因，金融發展也是經濟成長的要素之一；當一國的國際貿易進行越來越繁複，對金融需求也就越來越大，所以，兩岸出口貿易和金融深化的關係皆是正向影響，但台灣則是短期顯著影響、大陸是長期顯著影響。

關鍵字

經濟成長；金融發展；出口貿易；共整合檢定；向量誤差修正模型；Granger因果檢定

並列摘要

This present paper is to Cointegration test, Vector Error Correction Model, and Granger Causality test to analyse the economical and financial growth, as well as export trading relations between Taiwan and China, and E-Views software are used for validation purposes.This research is utilising GDP and Industrial production as agent's parameter. M2 proportional to GDP and Stock Turnover as financial growth of agent's parameter, The quarterly total export is known as the agent's parameter of export trading. Based on the Cointegration test analysis, the economical and financial growth, as well as of export trading between these two countries are stable under long term period. Whereas, according to the analysis of Vector Error Correction Model and Granger Causality test, the results had shown that the increase of exporting is directly proportional to the economical growth between these two countries,The financial changes will have positive impact on the economical growth in China but not in Taiwan, Stock market development will have no impact on China’s economical growth,As for Taiwan, changes of stock market will have short term impact on the economical growth, The financially changes had shown to have positive impact on the export trading.
The analytical results had shown that, the increase of export trading in Taiwan and China are positively affecting the global economical growth. Due to the impacts of bad fiduciary loan and financial reformation happened in Taiwan for the past few years, The financial development in recent years is not benefiting the economic in Taiwan; In china, as a result of increasing in financial needs, financial market opening and etc, the financial development is consider as one of the main factors for economical growth; As the international trading getting more complex, the financial demand will be increased as well, Therefore, the export trading and financial changes for both countries are positively affecting each other, but the effects for Taiwan are only short term and for China, the effects will be long term.

並列關鍵字

economical growth ； financial development ； export trading ； Cointegration test ； VECM ； Granger Causality test

參考文獻

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