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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54031

    Title: 財政預算變化對歐債危機發展之非線性影響 : 以PIIGS為例
    Other Titles: The non-linear impact of budget variance on the development of european debt crisis- evidence from PIIGS
    Authors: 葉亭伶;Yeh, Tien-Ling
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;沈中華;Nieh, Chien-Chung;Shen, Chung-Hua
    Keywords: 縱橫平滑移轉迴歸模型;財政赤字;歐債危機;panel smooth transition regression model;financial deficits;european debt crisis
    Date: 2011
    Issue Date: 2011-06-16 21:52:43 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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