國際能源價格與台灣總體經濟變數之關聯性分析

Abstract

台灣自產能源有限，近三年進口能源依賴度皆高達98%左右，故國際能源價格的漲 跌對台灣總體經濟之影響值得深入研究。本研究擬申請兩年期研究計畫，研究國際能源 價格（原油、煤炭、天然氣）與台灣總體經濟變數（物價膨脹率、失業率、進口值、出 口值、台灣加權股價指數等）之間的關係。兩年內研究變數大致相同，但使用的研究方 法不同。 第一年計畫將利用Hansen and Seo (2002) 所提出的門檻共整合模型，以檢驗能源 價格與台灣主要總體經濟變數之間是否存在長期均衡關係。該模型源自向量誤差修正模 型(VECM)，可以內生性地估計門檻值。參數估計結果可以用來進行國際能源價格對台 灣總體經濟變數的衝擊－反應分析。 第二年計畫應用灰分析來連結能源價格與總體經濟變數，並將進行分項能源價格對 總體經濟變數影響的灰預測。灰分析在資訊不充分及小樣本下的預測能力頗強。 預期本研究對於台灣能源經濟安全與效率的提升，以及永續發展的推動，具有重要 的學術與政策參考價值。

Taiwan has very limited self-supplied energy and relies on imported energy up to 98% during the past three years. As a result, the international energy price changes may have some significant effects on the macroeconomy of Taiwan. This proposal schemes a two-year project to study the relation between international energy prices (such as oil, coal, and natural gas) and macroeconomic variables in Taiwan (such as inflation rate, unemployment rate, import, export, Taiwan Weighted Stock Price Index, etc.). Two different approaches will be applied to basically the same set of variables. The first year project will apply the threshold cointegration model proposed by Hansen and Seo (2002), in order to examine the long-run equilibrium. This model is an extended VECM which allows endogenous estimation of the threshold values. The estimated parameters can be used to simulate the responses of macroeconomic variables in Taiwan to the impulses in international energy prices. The second year project will analyze the linkage of international energy prices and macroeconomic variables in Taiwan. The grey prediction of changes in macroeconomic variables using the energy prices will be performed, too. The grey analysis is powerful especially under situations of small samples and imperfect information. This research may contribute academic findings as well as policy suggestions to promote the energy safety and efficiency in Taiwan.