財政預算變化對歐債危機發展之非線性影響 –以PIIGS為例

The Non-Linear Impact of Budget Variance on the Development of European Debt Crisis- Evidence from PIIGS

葉亭伶(Tien-Ling Yeh)

指導教授 ： 聶建中 ； 沈中華

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00789

摘要

本研究旨在探討財政預算變化對歐債危機發展之非線性影響，嘗試運用González, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，以財政問題嚴重，失業率高、經濟增長停滯不前的“PIIGS”五國為例，驗證財政預算變化對歐債危機是否存在平滑移轉效果，使得財政預算對歐債率的影響變化呈現非線性之關係，並進一步對歐債受控制變數之影響進行評估與衡量。
整體而言在財政赤字介於-8.0783至-0.5484之間，發現除了失業率對歐債率為負向影響關係，而GDP、通膨率、與德債利差對歐債率皆有重要積極的正向影響關係；當財政赤字小於-8.0783或是大於-0.5484時，表示財政赤字極大或是極小時，發現失業率和GDP對歐債率影響為正向關係，而通膨率和與德債利差對歐債率影響則為負向關係；另無論財政赤字大小，股價對歐債率則沒有顯著影響。
因此認為國家進行評估財政政策時，必須衡量稅收與GDP，及總體經濟變量（如：失業率、GDP、通膨率、與德債利差、股市等），不能僅想要降低財政赤字，或是盲目地向外舉債，而”PIIGS”五個國家是否削減開支、減少財政不平衡，是當前重要課題，投資人亦可參考本文結論，對歐洲債務危機後續發展找出一些端倪，擬定適當的投資策略。

關鍵字

縱橫平滑移轉迴歸模型 ； 財政赤字 ； 歐債危機

並列摘要

This study employs the panel smooth transition regression model elaborated by Gonza'lez, Teräsvirta and Dijk (2004, 2005) to investigate the non-linear impact of budget variance on the development of European debt crisis. We use the five European debt crisis countries of PIIGS as the example since they are suffering serious financial problem, high unemployment and stagnant economic growth. The aim of this study is to test whether the smooth transition effect exists for the variance of the budget deficit. The finding of the nonlinear phenomenon can further be used to evaluate the impact of those control variables considered on the European debt crisis
We first find two threshold values of -8.0783 and -0.5484 for the budget deficit. The empirical findings further illustrate that when the budget deficit fall between the two thresholds, unemployment rate shows significant negative effect on the country debt ratio. However, all other control variables including GDP, inflation rate and debt spread show significant positive effects on the country debt ratio. On the other hand, when budget deficit is far less than -8.0783 or greater than -0.5484, we significant find that unemployment rate and GDP show positive effect and inflation rate and debt spread show negative effect on the country debt ratio. Another interest finding from this study is that the effect of stock price on the country debt ratio is insignificant throughout whole range of the budget deficit.
Our empirical results can be used for evaluating the fiscal policy and suggest that in order to remedy the European debt crisis nowadays or set up an appropriate investment strategy, a country’s policy makers or the international investors should pay more attention to the macroeconomic fundaments as the unemployment rate, GDP, inflation rate and the bond spreads rather than merely try to reduce the deficit or blindly increase the debt externally.

並列關鍵字

panel smooth transition regression model ； financial deficits ； european debt crisis

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