| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 103 === Corporate saving plays an important role in the aggregate economic activity. According to previous research, various factors may affect corporate saving, such as regulations, corporate-bank relationship, etc. Among all, this study focuses on how business cycles could have an impact on corporate saving.
In order to understand the fluctuation of corporate saving, this study investigates the relationship between corporate saving and the following explanatory variables: annual growth rate of Monetary Aggregates and CPI, and growth rate of real GDP, these three variables are traditional regarded as important indicators of business cycle. We accept ARDL approach with co-integration analysis and perform robustness check with some control variables: i) government consumption rate, ii) transfer payments rate, iii) labor share, and iv) “Asian Financial Crisis” dummy variable that reflects corporate hedging against tail-risk.
Empirical result show that business cycle variables are related to corporate saving, e.g. lag one period of growth rate of real GDP and lag two period of annual growth rate of Monetary Aggregates and CPI are both significantly negatively related to corporate saving. Robustness checks indicate that, (i) the business cycles related explanatory variables are stable; (ii) government consumption rate has significant negative effect on corporate saving. Finally, under the ECM within the ARDL framework, all the error correction terms are negative, indicating that the feedback mechanism is very effective.
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