自1970年代以來有許多研究指出，能源價格衝擊對於一個國家的總體經濟表現有顯著的影響。但對於能源價格究竟是以何種形式，以及透過什麼管道對總體經濟產生影響，卻沒有一致的看法。同時，經濟決策者對於能源價格變動的反應，經常因為有不確定性的存在而有延後反映的現象。本文利用台灣1981年到2009年的能源價格，建構數種對稱與不對稱之能源價格變動設定，以Granger因果關係檢定探討能源價格變動與台灣其他相關的總體經濟變數資料間的關係；並透過自我迴歸分配落後模型 (Autoregressive Distributed Lag Model, ARDL) 模型估計能源價格與台灣產出的長期關係。我們的實證結果顯示：能源價格，相較於台灣的總體經濟體系，具有外生性。能源價格成長率對產出與失業率沒有顯著的影響；但能源價格的波動程度對台灣產出成長率卻有顯著的負面影響。能源價格波動率與台灣實質產出具有長期均衡關係，而且能源價格波動將對台灣實質產出有負面影響。 / Since the 1970s, numerous studies have demonstrated that energy price impact can have a significant influence on a country’s macroeconomy. However, there is no consensus regarding in what form, or by which channel can energy price changes affect the macroeconomy. In addition, economic decision makers often respond to energy price changes with a time lag due to the existence of uncertainty. This paper constructs several indicators of symmetric and asymmetric energy price changes based on the energy prices in Taiwan for the period from 1981 to 2009. We employ the Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the autoregressive distributed lag model (ARDL) to estimate the long-run relationship between energy price volatility and Taiwan’s real GDP. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; the energy price growth rate does not have significant impact on output and unemployment rate, while the energy price volatility has negative impact on Taiwan’s macroeconomy. There is long-run relationship between the energy price volatility and Taiwan’s real GDP. Furthermore, the energy price volatility do have negative impact on Taiwan’s real GDP.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0097351032 |
| Creators | 陳虹均, Chen, Hung Chun |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0021 seconds