各類進口能源消費與台灣貿易表現之關聯性分析

Abstract

本研究對於台灣1998年到2009年能源消費量及貿易變數的月資料，做時間序列的共整合及Granger因果關係檢定，變數包含了實質進口總額(VTI)、實質出口總額(VTE)、總能源消費量(TEC)、石油消費量(OC)、煤消費量(CC)、天然氣消費量(NC)、實質工業部門出口額(EVI)、實質重工業部門出口額(EVHI)與實質非重工業出口額(EVHI)。根據Granger因果關係檢定與VAR下的衝擊反應檢測後，結果發現，總能源消費量對實質出口總額、實質工業部門出口額、實質重工業部門出口額有著單向的Granger因果關係，且為正向衝擊。石油消費量則是對所有貿易變數，包括了實質進口總額、實質出口總額、實質工業部門出口額、實質重工業部門出口額與實質非重工業出口額都有單向的Granger因果關係；其中對實質進口總額與實質非重工業出口額為負向衝擊，其餘皆為正向衝擊。另一方面，煤消費則是會受到所有貿易變數單向的衝擊，其中除了實質重工業部門出口額與實質非重工業出口額是負向衝擊外，其餘皆是正向衝擊。天然氣消費量在短期下除了會受到實質出口總額、實質工業部門出口額、實質重工業部門出口額的負向衝擊外；我們還發現在非重工業產品出口額與天然氣消費量間存在著回饋關係，並在短期下會亦互相產生負向衝擊。以上衝擊曲線都會隨著時間收斂至波動水平並逐漸穩定。

This study examines co-integration and Granger causality between Taiwan’s energy consumptions and trade variables, including real value of total imports (VTI), real value of total exports (VTE), total energy consumption (TEC), oil and petroleum products consumption (OC), coal and coal products consumption (CC), natural gas consumption (NC), real exports value of industrial sector (EVI), real exports value of heavy-chemical industrial products (EVHI), and real exports value of non-heavy-chemical industrial products (EVNHI) with monthly data during 1998-2009. Via applying Hsiao's version of the Granger causality method, causality running from TEC to VTE, EVI, and EVHI are found. The impulse-response simulations show that the above relations have positive responses at the initial period. OC will Granger cause all trade variables including VTI, VTE, EVI, EVHI, and EVNHI. The impulse directions to VTI and EVNHI are negative; and others are positive. On the other hand, CC will respond to impulses in all trade variables. The impulse-response simulations show that these relations have positive responses at the initial period except the causality running from EVHI and EVNHI to CC. VTE, NC negatively responds to impulses in EVI and EVHI at the initial period. The bi-directional Granger causality between NC and EVNHI are found, and both sides in this relationship negatively influence each other in short-run. In response to these shocks, all response curves will converge to the pre-shock level gradually and become stable after 20 months.