分類能源消費與價格衝擊對金融市場之影響

Abstract

本篇論文以非對稱性的時間序列模型探討兩個與能源相關的議題。首先，近年來台灣的能源消費成長高於經濟成長率，顯示過多的能源消費卻無法有效提升國內產出，且隱含著能源效率持續惡化。能源消費與產出的脫鉤現象，在長期之下是否會仍存在共整合關係? 對此，本研究利用非對稱性的門檻共整合檢定去探討經濟成長與各類型能源消費的長期均衡關係。實證結果發現，除了原油消費與經濟成長的組合之外，其他各類型能源消費與經濟成長之間存在非線性關係。此外，透過兩狀態向量誤差模型則顯示，當達到一定的門檻水準之後，能源消費將持續朝向長期均衡的調整。對此，決策者未來在進行經濟預測時，可考量能源消費與經濟成長間的非對稱模型，並且應建立一套有效的能源需求管理，以改善能源效率。 本篇論文的第二個議題，是探討原油價格衝擊對股價的影響。自從兩次能源危機之後，過去三十年間油價變動及其對經濟活動衝擊的相關研究蓬勃發展。然而，至今仍少有研究在探討油價變動與股票市場之間的動態關係。為了探究此議題，我們將股價、油價、工業生產指數和利率等變數結合成一個多變量的線性架構，探究六個已開發與開發中國家的股票市場中油價衝擊的傳遞行為。此外，我們以原油價格變動當作一個門檻變數區分為油價上漲與下跌狀態，檢視在不同狀態之下油價衝擊對股價變動的影響。研究結果顯示，油價衝擊在解釋股票報酬的調整行為中是一個重要的因子。此外，我們也發現加拿大、法國和台灣第一個月的油價衝擊對股價變動具有規避效果，而對韓國股票市場則具有激勵效果，但這些衝擊效果並不太大。當非對稱性的效果存在時，衝擊反應分析顯示，當油價變動處於下跌狀態時，第一個月的油價衝擊對韓國的股價變動具有負向影響；然而，當油價變動處於上漲狀態時，油價衝擊能增加股票報酬。根據此發現，對於跨國投資機構而言，當油價變動增加時，可調整其投資組合成分，將資金轉投入低通膨、正報酬的新興股票市場中，以避免損害其投資績效。

The dissertation considers the time series model with an asymmetric framework to investigate two energy issues. Firstly, energy consumption growth is much higher than economic growth for Taiwan in recent years, worsening its energy efficiency. It reveals that consuming more energy cannot effectively enhance domestic output. Do there still exist a long-run co-integrating relationship as energy-output behaves a decoupling phenomenon? We provide a solid explanation by examining the equilibrium relationship between disaggregated energy consumption and GDP with the threshold co-integration test. The empirical results indicate that there is asymmetric co-integration relationship between disaggregated energy consumption and GDP, except for oil consumption nexus. The two-regime vector error-correction models show that the adjustment process of energy consumption toward equilibrium is highly persistent when an appropriately threshold is reached. There is mean-reverting behavior when the threshold is reached, making aggregated and disaggregated energy consumptions grow faster than GDP in Taiwan. Based on these results, there would progressively get into the insight to the possibility of asymmetric effects, and policy-makers as a result may be interested in identifying the asymmetric expected mechanisms of energy dependencies of economic growth as concerning future policy actions. Policy-makers should also establish an effective energy demand side management (EDSM) to improve energy efficiency. Secondly, since the global energy crises of the 1970s and their effects on the world economy, the impact of an oil price change and its shock on economic activities have been a focus of research over the past three decades. So far, few studies explore the relationship between oil price and stock market, particularly in the impacts of oil shocks on equity returns. In order to address this issue, we incorporate stock price, oil price, industrial production and interest rate into a multivariate system, highlighting the transmission channels of oil price shocks on six developed and developing stock markets. The asymmetric effects are detected when the oil price changes separated into decrease and increase regimes. The empirical results show that oil price shock plays a significant role in explaining adjustments in stock market returns. Moreover, oil price shocks lead to initial an adverse effect on stock returns for Canada, France, and Taiwan. However, the magnitude of these effects proves small. When the asymmetric effects exist, the impulse response analysis in Korea indicates that an oil price shock will decrease the stock price changes under oil price changes decrease regime, while stimulate the stock returns as oil price changes increase. Hence, institutional investors should promptly re-adjust their global portfolio flowing to those stock markets with low inflation and positive returns when oil prices strikingly increasing that can prevent harming their performance.