東盟地區的國內生產總值成長率:波動溢出性與不對稱的影響

Real GDP growth rates of the ASEAN region:Evidence of spillovers and asymmetric volatility effects

陳欣怡(Genevieve-Liao Tan)

指導教授 ： 狄強

中原大學/商學院/國際商學碩士學位學程/碩士(2015年)

https://doi.org/10.6840/CYCU.2015.00225

摘要

本研究將利用實際國內生產總值(GDP)來比較印度尼西亞、馬來西亞、菲律賓、新加坡及泰國五個東南亞國家協會的經濟關係。利用ARMA-GARCH、ARMA-EGARCH、及ARMA-APARCH模型，來研究財務的槓桿效應以及收益率和波動的外溢效益。除了新加坡之外大多數的經濟體與槓桿效應相一致，而菲律賓之經濟彈性則呈現對稱的波動性反應。另一方面，利用這三種模型顯示，泰國的經濟與馬來西亞呈現負一致的單向關係。此研究顯示，東盟國家的共同努力，改善了雙邊關係以及貿易和投資的市場一體化，並促進糧食生產和外地勞工的合作關係，這將有助於加強他們的經濟體和政治關係，並提升各自的經濟與區域性。東盟應該互相幫助，並分享他們的經濟政策以提高其公民的生活水平，促進安全和反恐活動，為國家和海外勞工提供更安全的工作場所，和具銷售競爭力的貿易貨品，以及改善國內的教育水平。未來的研究可以進一步擴展到其他東盟國家，並考慮到他們的政治與經濟組織。而此研究的限制是無法確定這五國的東盟經濟體對其他國家的影響，以及對其他區域集團和特定的經濟體之影響。總而言之，本研究可以幫助政策制定者和研究人員更好的了解經濟關係和經濟增長率的溢出效應和實際國內生產總值的波動性。本研究提供了主要的東盟經濟體之間的進一步連接的潛力，並支持現有的一體化政策。

關鍵字

東盟國家，實際國內生產總值，溢出效應，槓桿效應，非對稱波動

並列摘要

This paper identifies economic relations using real gross domestic product (GDP) within the five Associations of South-east Asian Nation economies namely: Indonesia, Malaysia, Philippines, Singapore and Thailand. Utilizing ARMA-GARCH, ARMA-EGARCH, ARMA-APARCH models, the study captures the presence of the leverage effect, and spillover of returns and volatility. Most economies except for Singapore are consistent with leverage effects, while the Philippines showed economic resilience with having symmetric volatility response. On one hand, Thailand’s economy has consistent negative one-way relationship on Malaysia’s economy for the three models. This paper suggests that ASEAN economies work together to improve bilateral relations and market integration by trading and investing; and cooperation in terms of food production and migrant workers condition. This will help to reinforce their economic and political relationships that can help boost their respective economies, and sense of regionalism. ASEAN should help each other by sharing their ways to improve the standards of living of their citizens, promotion of safer security and anti-terrorism activities, provide a safer place for the national and overseas workers, trade goods and sell in competitive prices, improve the level of education inside the country. Future studies can further extend data to include other ASEAN countries and also consider other political and economic organizations. A perceived limitation of the paper is the uncertainty of these five ASEAN-5 economies impact within the other major countries but to also other regional groupings and specific economies. In general, this paper can help policy-makers and researchers alike in better understanding economic relations and spillover effects of growth rates and volatility of real GDP. The paper offers further examination of the potential for further connection among the major ASEAN economies and to support existing integration policies.

並列關鍵字

real GDP ； ASEAN economies ； Spillover Effects ； Leverage Effects ； Asymmetric Volatility

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