The Role of Financial Development in Economic Growth-Panel Data Empirical Studies on the Experiences from Taiwan, Japan and Korea

本文以台灣、日本及韓國為研究對象，利用1981年至2009年的年資料探討在這三個經濟體間金融發展在經濟成長中扮演的角色。與早期實證文獻不同，本文除了考慮銀行發展對經濟成長的影響外，亦考慮股票市場發展與資本市場開放對經濟成長的效果；而在實證方法上，本文先使用縱橫資料單根檢定(Panel Data Unit Root Test)對資料進行檢定，並以主成份分析法處理衡量金融發展變數間高度相關的問題。接著為了避免內生變數造成估計偏誤，本文分別以一階差分動差估計法(First Difference GMM)與系統性動差估計法(System GMM)估計金融機構發展、股票市場發展與資本市場開放對經濟成長的影響效果。 經過實證研究後，本文發現這三個經濟體系中，金融總合指標的係數顯示，金融發展對經濟成長有負面但不顯著的影響；而在股票市場方面，股票市場交易值周轉率、股票市場報酬率以及股票市場總市值佔GDP比率對經濟成長均有正面的影響；最後在資本市場開放的部分，在資本市場開放後，資本流出佔GDP比率以及資本流入佔GDP比率對經濟成長有負面的影響。This paper employed the dynamic panel data of Taiwan, Japan and South Korea during the period from 1981 to 2009 in order to examine the role of financial development in economic growth. Being different form the earlier references, this paper not only considered the effect that banking system made on economic growth, it also gave considerations to stock market development and capital market liberalization. The panel unit root test, principal components analysis, first difference GMM and system GMM had been utilized as methodology in this paper. In order to examine the stationarity, the data was tested by unit root test first. And then, we utilized principal components analysis to deal with the multicollinear among the variables measuring financial development. General method of movements (GMM) has been employed to estimate the relationship between financial development and economic growth.GMM could also prevent the estimation from bias which might be caused by endogenous variables. After the empirical research, we have discovered the empirical results among these three economies. According to the coefficient of financial aggregate, financial development may have negative impact on economic growth. Regarding stock market, Turnover and Stock Return both have positive effects on economic growth. And, market Capitalization could also make positive impact on economic growth. In the concept of capital market, the empirical results reveal that both capital outflow and capital inflow would harm economic growth after the capital liberalization