國際能源價格衝擊對台灣總體經濟活動之影響

Abstract

台灣為一能源有限且能源進口依存度高達99.32 %的海島型經濟體。隨著國際能源價格不斷攀高，國際能源價格的變動對台灣總體經濟活動之影響將值得深入研究。本論文利用線性與非對稱的架構去評估國際能源價格(原油、煤炭、天然氣)與台灣總體經濟變數(工業生產指數、股價、利率、失業率、進口值與出口值等)之間的關係。利用Tsay (1998) 所提出的多變量門檻模型結合非對稱動態調整過程加以分析，以能源價格變動當作一個門檻變數區分為能源價格上漲與下跌狀態，檢視在不同狀態下國際能源價格衝擊對台灣總體經濟活動的影響，進一步利用衝擊反應分析與變異數分解去評估能源價格波動對台灣總體經濟之衝擊。研究結果顯示：(1)油價的最適門檻值2.48%，其次為天然氣價格門檻值0.87%，最小為煤價門檻值0.22%；(2)當油價大於門檻值時，油價對於工業生產值上的解釋能力更甚於利率；(3)當天然氣價格小於門檻值時，天然氣價格分別在股價與失業率上面都具有較大的解釋能力；(4)煤價衝擊與天然氣價格衝擊均對於台灣總體經濟活動而言具有延遲的負面影響。

Taiwan is an island with limited domestic energy resources and its imported energy ratio is over 99.32%. As international energy prices keep rising, the impacts of this on Taiwan’s economic activities have been an important issue of research. This paper applies a linear and asymmetric model to estimate the effects of international energy price shocks (including oil, coal, and natural gas prices) on Taiwan’s macroeconomic activity (such as industrial production, stock price, interest rate, unemployment rate, imports and exports). We apply a multivariate threshold error correction model by Tsay (1998) to analyze the empirical data. By separating energy price changes into the decrease and increase, the energy price change as a threshold variable can analyze different impacts of energy price changes and their shock on industrial production. The variance decomposition and the impulse response functions are also employed to analyze the short-run dynamics of the variables. The preliminary findings are: (1) The optimal threshold levels are that the highest level is oil price at 2.48%, the next highest is natural gas price at 0.87%, and the lowest level is coal price at 0.22%. (2) If the change is above the threshold levels, then a change in oil price explains industrial production better than the interest rate. (3) If the change is below the threshold levels, then it appears that the change in natural gas price better explains stock prices and the unemployment rate than the interest rate. (4) Both oil price shock and natural gas shock have a delayed negative impact on macroeconomic activities.