信心因素對台灣財政政策傳遞效果之影響分析

Confidence and the Transmission of Government Spending Shocks: Evidence from Taiwan

陳筱昀(Hsiao-Yun Chen)

指導教授 ： 賴惠子

國立臺北大學/社會科學學院/經濟學系/碩士(2013年)

摘要

本文主要探討台灣遭逢國際經濟景氣與金融情勢波動衝擊，政府採行擴張性財政政策刺激經濟景氣之際，民間部門信心因素是否扮演一定之角色。本文參考Bachmann and Sims(2011)之研究觀點，延伸建立小型開放經濟之SVAR模型，並透過模型設定限制「政府支出衝擊透過信心因素影響之間接產出效果」，藉此隔絕信心因素在財政政策傳遞過程中之角色，再將隔絕信心因素模型與未隔絕信心因素模型之衝擊反應實證結果比較分析，以探討信心因素存在與否，財政政策對總體經濟效果之影響差異。
本文利用台灣2001年第1季至2012年第1季共計45筆總體變數季資料進行實證分析，實證結果發現，不論是透過消費者信心或廠商信心因素之傳遞影響，信心因素對於財政政策之產出效果具有顯著且正向影響，表示經由信心因素傳遞之間接產出效果對於財政政策之產出效果具有加乘作用；而在透過信心因素傳導之財政政策衝擊下，在短期內會使消費者與廠商信心程度提高，民間消費、民間投資及國內生產毛額增加，本國貨幣升值，貿易餘額改善；此外，依據政府支出組成結構進行延伸分析，政府支出衝擊對政府投資支出之影響相對大於對政府消費支出之影響，可知政府擴張性財政政策之支出來源主要是來自政府投資支出以達成財政政策目標。本研究實證結果可呼應在景氣衰退期間，政府為提振經濟復甦，大多採行擴大政府支出，並積極公開向國人信心喊話，以提振民間消費及投資之目的。

關鍵字

財政政策 ； 信心 ； 小型開放經濟 ； SVAR模型

並列摘要

This paper mainly discusses about when Taiwan is facing the financial fluctuations shocks, government implements an expansionary fiscal policy to stimulate economic recovery, whether the confidence of private sector plays an important role in the transmission of fiscal policy. This paper according to the research opinions by Bachmann and Sims (2011), that extends to develop a small open economy SVAR model by setting limits about "the indirect effect of government spending shocks on output that operates through confidence", to isolate the role of confidence in the transmission of fiscal policy. Finally, compared with the impulse response results between the restricted confidence model and the unrestricted one, to investigate about the difference of the economic effect of fiscal policy whether the existence of the confidence or not.
This paper researches by using the quarterly data from Q1 2001 to 2012 Q1, the empirical results show that whether the confidence of consumer or firms, both has a significant and positive impact on fiscal policy. On the other hand, the indirect output effect that operates through confidence has a synergistic effect on the effect of government spending on output. With the government spending shocks that operate through confidence, it will bring about consumer and business confidence index rises, private consumption, private investment and gross domestic product increases, exchange rate appreciates and the trade balance improves. In addition, according to the composition of government spending, we can know that the impact of government spending shocks on government investment spending is relatively larger than on government consumption spending. As the result, we can show that government investment spending is the main source of expenditure of expansionary fiscal policy. The empirical results are consistent with the purposes of that government increases spending and publicly motivates people with confidence to stimulate private consumption and investment during the recession.

並列關鍵字

fiscal policy ； confidence ； small open economy ； SVAR model

參考文獻

李麗華、霍德明、朱浩民 (2011)，「小型開放經濟體系財政政策有效性之實證研究：以臺灣為例」，《臺灣經濟預測與政策》，第四十一卷第二期，頁51-93。

黃琝琇 (2009)，「臺灣財政政策的動態效果─結構向量自我迴歸模型的應用」，《國家發展研究》，第九卷第一期，頁145-186。

徐維健 (2009)，「油價衝擊對台灣貨幣政策效果之影響」，國立台北大學經濟學研究所碩士論文。

蔡妮娜 (2004)，「小型開放經濟體系匯率制度與貨幣政策效果之分析─SVAR模型對台灣之應用」，國立成功大學政治經濟學研究所碩士論文。

Atsuo Utaka (2003), “Confidence and the Real Economy - the Japanese Case,” Applied Economics, Vol. 35, No. 3, pp. 337-342.