金融風暴對東南亞各國政策之影響─以美國次貸風暴為例

Abstract

2007 年美國歷經了次貸危機，對全球國際金融市場產生重大性的影響，除了重創了歐美景氣，也使東南亞國家也受到嚴重的波及。本文主要探討東南亞五國（南韓、台灣、香港、馬來西亞以及新加坡）經濟體是否因為金融風暴的發生造成政策效果改變，並進而提出結論以及建議。 首先介紹美國次貸風暴的成因，接著引入IS-LM-BP（Mundell-Fleming）模型證實出政策下的效果，進而透過文獻中納入相關的財政政策及貨幣政策的實證研究變數，將財政政策分為政府支出（GE）及政府收入（GI），貨幣政策分為貨幣供給（M）及匯率（E）來探討對於國內生產毛額（GDP）的影響。 模型構建前將先對各變數進行單根檢定，確定各變數均為定態資料後，並透過AIC（Akaike information criterion）準則尋找最適落後期後，納入向量自我回 歸模型（vector autoregression, VAR）構建出衝擊反應圖進行實證研究分析，並於各期對應該變數本身的變動率，分成金融風暴前，金融風暴時期，金融風暴後，進而給出結論以及建議。

In 2007, the subprime mortgage of the United State caused an extraordinary impact on global international financial markets. It not only damaged the prosperity of Europe and America but also affected Southeast Asian countries seriously. This thesis mainly discusses how the economies of the five countries of Southeast Asian (South Korea,Taiwan, Hong Kong, Malaysia, and Singapore) varies under the financial crisis and thegovernment policy, and then proposes a recommendation after giving a conclusion. In the beginning, the thesis introduces the causes of the subprime mortgage of the United State, and shows the effects of the government policy by applying IS-LM-BP(Mundell-Fleming) Model. Then, according to literatures, this thesis uses GovernmentExpenditures (GE) and Government Incomes (GI) as variables correspondent to the government policy, and utilizes Money (M) and Exchange rate (E) as variables to represent the currency policy to analysis the influence on the gross domestic product(GDP). Before being used to constructing the model for analyzing, the data needs to be examined by the unit root test. Once the data or the first difference of the data has stationarity, one can apply Akaike information criterion (AIC) to determine the optimal lag order selection, which is plugged into the vector autoregression (VAR) to build the impulse response. The main analysis of this thesis is based on the impulse response (separated into three parts: before, during, and after the crisis). Finally, according to the analysis, this thesis gives a conclusion and some recommendations.