金融開放與總體經濟波動

過去的文獻在討論金融開放時, 時常把政府對資本流入的開放以及資本流出的開放混為一談, 但是實際上兩者對總體經濟的影響並不相同, 因此過去的實證文獻討論金融開放對總體經濟的影響時，時常得到分歧的結果。本文將過去常用的金融開放程度指標切割為資本流入的開放及資本流出的開放, 藉此釐清金融開放對生產及消費波動的真正影響。為了避免混合迴歸模型的資料數過少，以及資訊損失等問題, 本文的實證方法採用追蹤資料波動模型以及追蹤資料EARCH模型分析, 並以準最大概似法估計及檢定。實證的結果顯示, 金融開放對工業化國家以及開發中國家的經濟波動存在不同的影響, 開放資本流入會增加開發中國家生產及消費波動, 但對工業化國家的影響並不顯著；而開放資本流出可以降低工業化國家及開發中國家的消費波動。

關鍵字

國際金融；金融開放；全球化；波動模型； EARCH模型

並列摘要

We separate the measure of financial openness into capital inflows openness and capital outflows openness since capital inflows and capital outflows seem to have different impacts on macroeconomic volatility. We use panel volatility model and panel EARCH model to examine the effects of capital inflows openness and capital outflows openness on output and consumption volatility. Our results show that the influences of financial openness on macroeconomic volatility are different between industrial countries and developing countries. Capital inflows would increase output and consumption volatility in developing, but the effect is insignificant in industrial countries. Finally, capital outflows can decrease consumption volatility in both industrial countries and developing countries.

並列關鍵字

international macroeconomics ； financial openness ； globalization ； volatility model ； EARCH model

參考文獻

Aghiona, Philippe, Bacchetta, Philippe, and Banerje, Abhijit (2004), “Financial

development and the instability of open economies”, Journal of

Monetary Economics, 51, 1077–1106.

to the incidental parameter problem in dynamic nonlinear models with

multiple effects”, Unpublished manuscript.

國際替代計量

金融開放與總體經濟波動

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