國家債務的影響性分析： 以台灣、日本、韓國與中國為例

Abstract

摘要 2010年歐債危機的爆發到近期美國的債務危機，突顯了許多歐美已開發經濟體的國家債務問題。相對於歐美國家的債務危機，近期東亞國家並沒有爆發債務危機，但本身仍可能存在著國家的債務問題。本研究以東亞國家中的台灣、日本、韓國以及中國為研究對象，探討影響台灣、日本、韓國以及中國債務的因素以及影響程度。 本研究運用向量自我迴歸模型（Vector Autoregressive, VAR）與衝擊反應函數（impulse response function, IRF）進行分析，實證研究結果發現除了其他總體經濟變數外，美元指數以及國際油價亦是影響國家債務的重要變數。就台灣而言，美元指數對於台灣國家債務沒有顯著影響；國際油價對台灣國家債務比率在短期有正向影響，中期至中長期有負向影響。就日本而言，美元指數對國家債務比率在短期至長期有正向影響；國際油價對日本國家債務比率在短期至長期有負向影響。就韓國而言，美元指數對韓國國家債務比率在短期至長期有正向影響；國際油價對韓國國家債務比率在短期至中期呈現跳動式影響，中長期至長期呈現正向影響關係。就中國而言，美元指數對中國國家債務比率則是在短期至中期呈現負向的影響關係；國際油價對中國債務比率短期呈現跳動性影響，中期至中長期而則是呈現正向的影響關係。本研究推測造成差異的原因可能在於國家債務結構的差異以及國際油價對不同國家總體經濟變數影響的差異，導致美元指數與國際油價對不同國家債務比率造成不同的影響。

關鍵詞：東亞、國家債務、美元指數、國際油價、向量自我迴歸、衝擊反應函數

Abstract From European debt crisis to recently American debt crisis, it shows the national debt problems in developed countries in Europe and America. Contrast to the European and American countries, there are no debt crisis burst in Eastern Asian. But it could still exist national debt problems potentially. This study analyzes which variables would affect national debt and how these variables affect national debt. Taiwan, Japan, Korea and China are used as the main objects which are the countries in East Asia. This study applies Vector Autoregression model and impulse response function to discuss how US dollar index, crude oil price and other macro-variables affect debt to GDP ratio and the empirical results show that in addition to macro-variables, US dollar index and crude oil price are also the crucial variables to affect debt to GDP ratio. For Taiwan, US dollar index has no significant effect on debt to GDP ratio; crude oil price has a positive effect on debt to GDP ratio in short-term and has a negative effect in medium-term to medium and long-term. For Japan, US dollar index has a positive effect on debt to GDP ratio in short-term to long-term; crude oil price has a negative effect on debt to GDP ratio in short-term to long-term. For Korea, US dollar index has a positive effect on debt to GDP ratio in short-term to long-term; crude oil price has mixed effects on debt to GDP ratio in short-term to medium-term and has a positive effect in medium and long-term to long-term. For China, US dollar index has a negative effect on debt to GDP ratio in short-term to medium-term; crude oil price has mixed effects on debt to GDP ratio in short-term and has a positive effect in medium-term to medium and long-term. This study surmises that the differences for the results between diffierent countries are because of government debt structure and the different influence of crude oil price on macro-variables in different countries. Keyword: East Asia, national debt, US dollar index, crude oil price, vector autoregression, impulse response function.