An Empirical Investigation on Credit Constraints and the Current Account Dynamics

[[abstract]]本文將循著 Kunieda and Shibata (2005) 所發展架構，其依據 Kiyotaki and Moore (1997) 所提出強調擔保性資產之信用限制內生化的模型而後將之擴展為開放型的小國模型；並藉此推導得到以經常帳動態與土地的價格之變動間的關係式，以由此做為不存在信用限制時所必須存有的限定條件。在實證方法上，主要是使用一般動差法 (generalized method of moments)，以台灣地區與香港地區這兩個同屬小型開放體系的國家，於1991年第三季至2008年第一季間的總體資料作為研究對象，藉以分別探討兩個地區分別的信用市場條件為何，其是否存在有信用限制；此外，本文更進一步比較兩個地區間，哪一方所受到的信用限制較為嚴重。模型估計後的結果顯示，台灣與香港這兩個地區確實存在著信用限制的問題；其中，台灣地區較香港地區所受到的信用限制程度更為嚴重。[[abstract]]The thesis follows Kunieda and Shibata (2005) constructed a small open economy version of the Kiyotaki and Moore’s (1997) model that emphasized collateralized assets as credit constraints endogenously, and then derives explicit restrictions on current account dynamics and changes of land price when there is no credit constraint. Methodologically, we adopt the generalized method of moments estimation to investigate whether there exist credit constraints and use macro-variable data in Taiwan and Hong Kong, these two small open countries over the period 1991:Q3-2008:Q1. Furthermore we compare the degree of credit constraints between these two countries. The empirical results show that both Taiwan and Hong Kong are credit-constrained, especially the severity of credit constraints in Taiwan is more than that in Hong Kong.[[note]]碩