南華大學機構典藏系統:Item 987654321/20567
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    題名: 金融發展與經濟成長:以台灣實證為例
    其他題名: The effect of financial development on economic growth: evidence from Taiwan
    作者: 林雅筑
    Lin, Ya-chu
    貢獻者: 管理經濟學系經濟學碩士班
    邱魏頌正
    Sung-jeng ChiouWei
    關鍵詞: Nonlinearity;GJR-GARCH in mean;Leverage effect;Uncertainty
    日期: 2008
    上傳時間: 2015-05-10 16:03:32 (UTC+8)
    摘要:   This paper use GJR-GARCH in mean model to examines the causal relationship between financial development and economic growth in Taiwan for the period 1978Q1 – 2007Q3. It focuses on the effects of two aspects of financial development on growth: stock market and banking sector. GJR-GARCH in mean model has advantages over traditional measures. By including the conditional variance. In the mean equation, and was shown to retrieve more efficient estimator than traditional OLS. Also, the GJR-GARCH in mean framework emphasizes the asymmetry of the volatility response to news, which allows positive and negative unanticipated returns to have different impacts on the conditional variance. The result demonstrates that the GJR-GARCH is more appropriate than the other GARCH models and confirms the presence of conditional variance in the mean equation. The cointegration test provides evidence of the non-existence of a long-run equilibrium relationship between financial development and economic growth. The empirical results suggest that leverage effect was present and shocks have asymmetric impact on the volatility.
    顯示於類別:[文化創意事業管理學系] 博碩士論文-休閒產業碩士班(停招)

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