國際資本移動對總體經濟風險之影響

The Impact of International Capital Flows on the Macroeconomic Risk

朱晨瑋(Chen-Wei Chu)

指導教授 ： 李家豪

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2016年)

摘要

本研究主要是探討國際資本移動對國家總體經濟風險之影響。過去的研究對於總體經濟風險大部分都是以個別總體經濟風險指標來做為衡量(例如：匯率、利率、通貨膨脹率、失業率)，但是很少文獻是利用綜合性的總體經濟風險指標來衡量，而本文將總體經濟風險區分為總體經濟系統性風險以及總體經濟特定風險分別來探討。
本文樣本分別為智利、澳大利亞、紐西蘭、南非、加拿大、墨西哥、美國、香港、以色列、日本、韓國、菲律賓、台灣、土耳其、奧地利、丹麥、芬蘭、法國、德國、義大利、荷蘭、挪威、葡萄牙、西班牙、瑞典、瑞士、英國等27國國家，樣本期間取自1997年至2013年之季資料，以追蹤資料(Panel Data)型態進行實證分析。實證結果發現，國外直接投資、證券投資、其他投資對國家總體經濟系統性風險呈現顯著正相關。而對國家總體經濟特定風險的影響，其他投資呈現顯著負相關，國外直接投資與證券投資呈現顯著正相關。

關鍵字

國際資本移動 ； 總體經濟風險

並列摘要

This study explores the relation between the international capital flows and macroeconomic risk. For the past literature make mostly use of microeconomic risk to measure the macroeconomic risk (i.e. exchange rate, interest rate, consumer consumption index, unemployment rate) and this paper make use of comprehensive indicators to measure the macroeconomic risk.
We use the quarterly data from 27 countries and the sample periods covered from 1997 to 2013. The empirical results indicate that the effects of foreign direct investment、portfolio investment and other investment on the systematic risk of macroeconomic are positive. Moreover, we examine the influence of international capital flows on the idiosyncratic risk of macroeconomic and find that the effect of the other investment on the idiosyncratic risk of macroeconomic is negative and the effects of foreign direct investment and portfolio investment are both positive.

並列關鍵字

International Capital Flows ； Macroeconomic Risk

參考文獻

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