金融整合與金融發展的動態關係:以門檻模型之應用

Dynamics of Financial Integration and Development:An Application of Threshold Model

林宥延(Yu-Yen Lin)

指導教授 ： 黃宜侯

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2011年)

https://doi.org/10.6838/YZU.2011.00138

摘要

本文檢視從1988年到2009年間，金融整合與金融發展對於78國在總體國家層面的影響。文中使用Pooled OLS, First-differences, Fixed effects, Random effects 以及門檻模型(Threshold Model)做驗證。當只採用高度發展中國家的資料做驗證的時候，金融發展對於經濟成長有顯著的幫助，但是效果似乎因國家而不同；金融整合對於經濟發展沒有直接的影響，但對於金融發展有正向的影響；金融危機對於金融發展有負面影響，其結果似乎也隨著國家不同而異。另外指出，金融整合程度的提升並不會使國家容易受到國際經濟震盪的影響。
當將樣本擴張納入低度國家當作樣本的時候，結果指出，金融發展對於經濟發展沒有顯著的影響，而且其對於經濟發展有負的係數，在各國的門檻迴歸當中指出，此負的係數是受到低度發展國家的影響。擴張樣本的結果也指出，金融整合對於經濟發展有直接的負面影響。
在門檻迴歸的結果指出，金融發展以及金融整合對於經濟成長有顯著的門檻效果，一國若需獲得金融發展的益處，就必須要有高的金融整合程度、穩定的匯率以及深厚的外匯存底。

關鍵字

金融整合 ； 金融發展 ； 門檻模型

並列摘要

This thesis examines the country-level financial integration and financial development in 78 countries from 1988 to 2009 by pooled OLS, first-differences, fixed effects, random effects and threshold models. When using sample in high-developing countries, the empirical results suggest financial development have significant positive impact to economic growth, but the effects seems different across countries, financial integration do not have direct impact to economic growth, but have positive effect to financial development, financial crisis have significant negative impact to financial development, but the effect seems also difference in different countries, also, increase the level of financial integration will not cause countries more easy suffer global economic shocks.
When we extend sample to low-developing countries, the results indicate that the financial development do not have significant effects to economic growth, financial integration may have negative effects to economic growth. The threshold regressions results in countries suggest the negative insignificant coefficients of financial development are caused by low-developing countries, the financial integration have significant negative effects to economic growth.
The results in threshold regression indicate that, financial development have negative impact to economic growth, the financial integration and financial development have significant threshold effect, countries will benefit from financial development when they have higher level of financial integration, stable exchange rate and higher foreign reserves.

並列關鍵字

Financial integration ； Financial development ； Threshold model

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