小型開放經濟體系財政政策有效性之實證研究： 以臺灣為例

ESTIMATING THE EFFECTS OF FISCAL POLICY IN A SMALL OPEN ECONOMY: THE CASE OF TAIWAN

本文建立小型開放經濟體系的VAR 模型， 利用符號限制法（Sign Restrictions）認定財政政策衝擊， 評估臺灣財政政策的總體經濟效果。符號限制法係利用對衝擊反應函數做符號限制的方式認定財政衝擊， 對關心的變數如： 實質GDP、民間消費、民間投資、貿易收支等變數對財政政策衝擊的反應則不設限制，讓資料來回答。本研究參酌Mountford and Uhlig （2009）及Ho and Yeh （2010） 的方式認定總合供給衝擊、總合需求衝擊、貨幣政策衝擊、政府支出衝擊以及政府收入衝擊。研究結果發現，政府支出衝擊對民間投資短期會產生排擠效果， 中長期（二十季） 則有提振的效果。政府支出衝擊引發短期名目利率上漲，國外資金流入，實質有效匯率上升，貿易收支因而下跌。政府支出衝擊對於實質GDP 一開始有正向效果， 但排擠效果短期會使實質GDP 下跌， 一旦政府支出帶動中長期民間投資後， 對實質GDP 有正向效果，但並不顯著。政府收入衝擊短期對實質GDP、民間消費、民間投資有正向效果， 中長期的效果為負。若以政府支出衝擊細項來看， 政府消費支出衝擊對實質GDP有顯著提振的效果， 政府投資支出衝擊對於實質GDP 的助益十分有限。

This study applies sign restrictions to identify fiscal policy for a small open economy in the case of Taiwan. We followmethods adopted byMountford and Uhlig (2009) and Ho and Yeh (2010) to identify aggregate supply shock, aggregate demand shock, monetary policy shock, and fiscal policy shock (including government spending shock and government revenue shock). Severalmain findings are summarized. Government spending shock may induce crowding-out effects in private investment in the short-term, but will increase private investment in the mid-term and long-term. Government spending shock can also raise short-term interest rates, resulting in an influx of foreign capital into domestic country and subsequently increasing the real effective exchange rate and decreasing the trade balance. Government spending shock initially has positive effects on real GDP, and then lowers real GDP due to crowding-out effects in the short-term. Once mid-term private investment is driven up by government spending, it will produce positive effects on real GDP, but this is not significant. From the perspective of government revenue, government revenue shock has positive effects on real GDP, private consumption and private investment in the short-term, but has negative effects in the long-term. In a closer examination, by dividing government spending into two components, government consumption spending and government investment spending, it is found that significant effects on real GDP might be generated by government consumption spending shock, but not by government investment spending.