生產力、經濟成長速度與資產報酬率

Productivity, Speed of Economic Growth, and Asset Return

本文遵循Baker et al. (2005)關於資產報酬與經濟成長之議題，參酌Peng and Shawky (1997)及Lee (2007)之實證方法，以消費資產定價理論(CCAPM)與生產資產定價理論(PCAPM)之觀點，探討經濟成長速度與資產報酬率關係。研究對象為台灣25縣市之實質資產報酬率與縣市別毛額成長率，實證結果發現經濟成長與資產報酬間無法拒絕存在正向關係。若以生產資產定價理論進行驗證，結果發現報酬率與資本存在正向顯著關係，與教育呈正向關係，但與就業存在負向顯著關係，多要素生產力指標則與報酬率存在正向關係。若以關聯結構方法，由機率的角度分析，區域成長率低的區域，存在較高機率，實質資產報酬率亦偏低；成長率偏高的縣市，存在較高機率，資產報酬率亦較高。根據成長理論，經濟成長率與就業、資產報酬息息相關。但由消費資產定價之觀點，消費與報酬率之共變異程度越大，意味存在風險溢酬越大，則願付報酬越高。但消費不確定性越高，資產報酬越低。

This paper focuses on the issues of asset return and economic growth which have been explored by Baker et al. (2005). We applied the consumer based capital asset pricing model (CCAPM) and production based capital asset pricing model (PCAPM) to explain the asset return and follow the empirical studies of Peng and Shawky (1997) and Lee (2007). The objects of this study is the asset return of Taiwan 25 counties. After the empirical studies, we cannot reject the hypothesis of existence relations. The empirical results of PCAPM models support that asset return and capital exists significant positive relations. Asset return and education level exists significant positive relations, but exists significant negative relations with employment level. The multi-factor productivity (MFP) index exists negative relation with asset return. From the views point of copula fits, the region with low asset return exist high probability of low economic growth rate. At the steady state, economic growth rate is equal to employment growth rate as well as asset return. The empirical results of CCAPM show that covariance item of growth and asset return (risk premium) exists positive significant relation with asset return. Consumption uncertainty exists negative significant relation with asset return.