強／弱式財政永續性之研究：分量共整合模型之應用

A Study of Strong/Weak-form Fiscal Sustainability: Evidence from the Quantile Co-integration Model

沈美利(Mei-Li Shen)；李政峯(Cheng-Feng Lee)；欉清全(Ching-Chuan Tsong)；劉修祥(Hsiou-Hsiang Liu)

強式／弱式財政永續性 ； 分量共整合 ； Strong-Form and Weak-Form Fiscal Sustainability ； Quantile Co-integration

經濟研究

55卷1期（2019 / 01 / 31）

41 - 70

繁體中文

2011年的歐洲債務問題對全球經濟的影響相當大，使得政府財政永續性的議題受到關注，本文使用Xiao（2009）所提出的分量共整合架構，分析11個「經濟合作暨發展組織」（Organization for Economic Co-operation and Development, OECD）國家的財政收入與支出是否存在長期關係，並討論強／弱式永續性。實證結果發現，11個國家的財政收入與支出均具有分量共整合關係，但財政永續性的強／弱式，則因不同的國家，在不同的分量上，而有不同的結果。詳言之，有六個國家的共整合係數有明顯的不對稱性情形，在低分量上，面對負的經濟衝擊，共整合係數顯著的小於1，屬於弱式永續性；但在高分量上，面對正的經濟衝擊，其值則無法顯著異於1，屬於強式永續性，文中亦探究其可能的原因。再者，有三個國家的財政屬於強式永續性，其共整合係數接近於1，不隨著分量改變而有顯著的改變。第三，有兩個國家的共整合係數在所有分量上，顯著的低於1，屬於弱式永續性。最後，我們亦提出具參考性的政策涵義。

This research uses the newly developed quantile co-integration framework by Xiao (2009) to examine whether a long-run relationship exists between government revenues and expenditures among eleven OECD countries. After establishing the co-integration, we proceed to show whether the co-integration relationship changes across quantiles, depending on the size and sign of the shocks that hit the fiscal variables. As such, the framework can help us to distinguish whether a country exhibits strong-form or weak-form fiscal sustainability. Our results suggest that there exists a long-run relationship between the two series for all eleven countries in a quantile sense, implying fiscal sustainability holds for these countries. However, the forms of fiscal sustainability are different over various quantiles and for these countries. For five countries, the relationship shows an asymmetric pattern over different quantiles, depending on the size and sign of the shocks, whereby under lower quantiles negative shocks with large absolute values tend to weaken the relationship (less than one), and thus they have weak-form fiscal sustainability; in the upper quantiles, large positive shocks do not weaken this relationship, and thus these countries have strong-form fiscal sustainability. This research provides possible explanations for these results. Finally, strong-form sustainability holds over all quantiles for three countries, while two of the 11 countries show weak-form sustainability. Policy implications are provided based on the empirical results.

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