作者
沈中華 (國立臺灣大學財務金融學系)
林昌平^* (國立政治大學金融學系)

Authors
Chung-Hua Shen (Department of Finance, National Taiwan University)
Chang-Ping Lin^* (Department of Money and Banking, National Chengchi University)

中文摘要
本文旨在探討於全球的架構下，各國金融發展對於經濟成長之關係為何？並且進一步探討銀行發展及股市發展是否對經濟成長有不對稱效果。對於過去相關文獻無法獲得金融發展與經濟成長間一致的關係，我們懷疑應與金融發展與經濟成長間為非線性關係有關。延伸 Shen and Lee (2006) 我們將探討是否於金融發展 與經濟成長間存在著銀行的門檻效果，並提出兩個假說，第一是 「blessing-in-low-regime」，即在低度銀行發展區域，金融發展對於經濟成長有正面影響。第二是「curse-in-high-regime」，即在高度銀行發展區域，金融發展對於經濟成長有負面影響。本文發展一個新的模型：動態追蹤資料門檻模型（dynamic panel threshold model, DPTM）是延伸 Hansen (1999) 的追蹤資料門檻模型（panel threshold model, PTM），認為經濟成長會受到自己上一期變數所影響，結果指出就銀行發展對於經濟成長的影響而言，在低度銀行發展區域支持「blessing-in-low-regime」；在高 度銀行發展區域支持「curse-in-high-regime」。反之，就股市發展對於經濟成長的影響，在低度銀行發展區域並不支持 「 blessing-in-low-regime 」；在高度銀行發展區域亦不支持 「curse-in-high-regime」。

Abstract
This paper is aimed to investigate the asymmetric effect between financial development and the economic growth. Following Shen and Lee's (2006) findings, we plan to examine whether the effect of financial development on the growth depends on the threshold variable of bank development. Our hypothesis is thus that the bank development is a blessing to economic growth at the low bank development regime but a curse at the high bank development regime. To examine this "blessing-in-low-regime" and "curse-inhigh-regim" hypothesis, we develop a dynamic panel threshold model (DPTM) to test this hypothesis. The DPTM is a direct extension of the non-dynamic panel threshold model of Hansen (1999). We can conclude with that the effect of bank development on the growth support the hypothesis "blessing-in-low-regime" and "curse-in-high-regime" but the effect of stock market development on the growth does not.

中文關鍵字
經濟成長；金融發展；門檻迴歸；GMM 估計法;追蹤資料

Keywords
Economic Growth; Financial Development; Threshold Regression; GMM Estimation; Panel Data