世界主要原物料價格指數與台灣消費者物價指數的關聯性分析

Abstract

台灣缺乏天然資源，必須高度仰賴國外進口能源以供應國內需求。近年來國際原油以及原物料價格持續攀升，價格的巨幅變動影響民生物價水準甚鉅。本研究主要目的在於運用各種時間序列模型去分析台灣的消費者物價指數和國際原物料進口物價指數之間的動態關係。選取的變數包括進口原油、鋼鐵、銅、鋁、玉米和黃豆價格以及其相關產品的進口價格指數，研究期間為1991年到2007年，變數期間採用月資料。由共整合檢定發現，台灣的消費者物價指數和原物料的進口價格指數並未存在著長期的均衡關係，但由短期的Granger因果關係分析來看，進口原油價格指數以及玉米價格指數和消費者物價指數有單向的因果關係。

Taiwan lacks natural resources and highly relies on imported energy to meet internal demands. Over the past few years, the substantial rises in international raw material prices greatly affect Taiwan’s price level. This paper tries to examine cointegration and Granger causality between Taiwan’s consumer price index (CPI) and import raw material price indices, including crude oil, steel, copper, aluminum, corn and soybean and their related products with monthly data over the period 1991-2007. The empirical results imply that Taiwan’s CPI with those raw material price indices do not have a long-term equilibrium relationship. In terms of the short-run effect by applying Hsiao's version of the Granger causality method, causality running from import crude oil price index and corn price index to CPI is found without the consideration of feedback in Taiwan.