政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/51551

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/51551

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51100139 線上人數 : 934

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/51551

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/51551

題名:	能源價格衝擊與台灣總體經濟 Energy price shocks and Taiwan’s macroeconomy
作者:	陳虹均 Chen, Hung Chun
貢獻者:	郭炳伸林信助 Kuo, Biing Shen Lin, Shinn Juh 陳虹均 Chen, Hung Chun
關鍵詞:	能源價格因果關係檢定 ARDL模型 Energy Price Granger Causality Test ARDL model
日期:	2009
上傳時間:	2011-10-11 16:49:04 (UTC+8)
摘要:	自1970年代以來有許多研究指出，能源價格衝擊對於一個國家的總體經濟表現有顯著的影響。但對於能源價格究竟是以何種形式，以及透過什麼管道對總體經濟產生影響，卻沒有一致的看法。同時，經濟決策者對於能源價格變動的反應，經常因為有不確定性的存在而有延後反映的現象。本文利用台灣1981年到2009年的能源價格，建構數種對稱與不對稱之能源價格變動設定，以Granger因果關係檢定探討能源價格變動與台灣其他相關的總體經濟變數資料間的關係；並透過自我迴歸分配落後模型 (Autoregressive Distributed Lag Model, ARDL) 模型估計能源價格與台灣產出的長期關係。我們的實證結果顯示：能源價格，相較於台灣的總體經濟體系，具有外生性。能源價格成長率對產出與失業率沒有顯著的影響；但能源價格的波動程度對台灣產出成長率卻有顯著的負面影響。能源價格波動率與台灣實質產出具有長期均衡關係，而且能源價格波動將對台灣實質產出有負面影響。 Since the 1970s, numerous studies have demonstrated that energy price impact can have a significant influence on a country’s macroeconomy. However, there is no consensus regarding in what form, or by which channel can energy price changes affect the macroeconomy. In addition, economic decision makers often respond to energy price changes with a time lag due to the existence of uncertainty. This paper constructs several indicators of symmetric and asymmetric energy price changes based on the energy prices in Taiwan for the period from 1981 to 2009. We employ the Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the autoregressive distributed lag model (ARDL) to estimate the long-run relationship between energy price volatility and Taiwan’s real GDP. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; the energy price growth rate does not have significant impact on output and unemployment rate, while the energy price volatility has negative impact on Taiwan’s macroeconomy. There is long-run relationship between the energy price volatility and Taiwan’s real GDP. Furthermore, the energy price volatility do have negative impact on Taiwan’s real GDP.
參考文獻:	中文文獻 [1] 王天賜 (2005)，「原油價格，台灣股價指數與總體經濟的關聯性」，東海大學國際經濟研究所論文。 [2] 呂理平 (2006)，「國際原油價格及台灣各類股股價之關聯性分析」，交通大學經營管理研究所碩士論文。 [3] 林灼榮、劉浩然 (2008)，「國際原油與國內汽柴油價格之關連分析-不對稱誤差修正模型之應用」，第九屆全國實證經濟論文研討會。 [4] 梁啟源 (2009)，「能源價格波動對國內物價與經濟活動的影響」，中央銀行季刊，第三十一卷第一期。 [5] 黃宗煌、陳谷汎、林師模 (2006)，「國際油價上漲的經濟影響評估」，臺灣經濟論衡，民95.06，pp. 1-46。 [6] 鄧延俞 (2009)，「油價與產出成長率關係之探討：Panel分量迴歸分析」，世新大學管理學院經濟學系碩士論文。英文文獻 [1] Abel, A., and Bernanke, B., (1998) Macroeconomics, 3rd ed. Reading. MA: Addison-Wesley. [2] Asafu-Adjaye, J., (2000) “The Relationship between Energy Consumption, Energy Prices and Economic Growth: Time Series Evidence from Asian Developing Countries,” Energy Economics, 22, 6, pp. 615-25. [3] Bahmani-Oskooee, M. and Bohl, M. T., (2000) “German Monetary Unification and the Stability of the German M3 Money Demand Function,” Economics Letters, 66, pp. 203-208. [4] Bernake, B. S., (1983) “Irreversibility, Uncertainty, and Cyclical Investment,” Quarterly Journal of Economics, 98(1), pp. 85-106. [5] Bernanke, B. S., (1986) “Alternative Explanations of the Money Income Correlation,” Carnegie-Rochester Conference Series on Public Policy, 25, pp. 49-100. [6] Bernanke, B. S., Gertler, M. and Watson, M. (1997) “Systematic Monetary Policy and the Effects of Oil Price Shocks,” Brookings Papers on Economic Activity 28 (1), pp. 91–142. [7] Bernanke, B. S., Gertler, M. and Watson, M. (2004) Reply to “Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment,” Journal of Money, Credit, and Banking 36 (2), pp. 286–291. [8] Berndt, E. R. and Wood, D. O., (1979) “Engineering and Econometric Interpretations of Energy-Capital Complementarity,” The American Economic Review, 69, 3, pp. 342-54. [9] Blanchard, O. and Watson, M., (1984), “Are Business Cycles All Alike?,” Working Paper 1392, National Bureau of Economic Research. [10] Brown, R. L., Durbin, J. and Evans, J. M., (1975), “Techniques for Testing the Constancy of Regression Relations over Time,” Journal of the Royal Statistical Society, Series B, 37, pp. 149-192. [11] Burbidge, J. and Harrison, A., (1984) “Testing for the Effects of Oil-Price Rises Using Vector Autoregressions,” International Economic Review, 25, pp. 459-484. [12] Dicky, D. A. and Fuller, W. A., (1979) “Distribution of the Estimation for Autoregressive Time Series with a Unit Root,” Journal of American Statistical Association, 74, 427-431. [13] Dotsey, M. and Reid M., (1992) “Oil Shocks, Monetary Policy, and Economic Activity,” Federal Reserve Bank of Richmond, Economic Review, LXVIII, pp.14-27. [14] Engle, Robert F. and Granger C. W. J., (1987) “Cointegration and Error Correction: Representation, Estimation, and Testing,” Journal of Econometrics, 55, pp. 251-276. [15] Ferderer, J. P., (1996) “Oil Price Volatility and the Macroeconomy: A Solution to the Asymmetry Puzzle,” Journal of Macroeconomics, 18, pp. 1-16. [16] Fischer, S., (1985) “Supply Shocks, Wage Stickiness, and Accommodation,” Journal of Money, Credit and Banking, 17, 1, pp. 1-15. [17] Granger, C. W. J., (1969) “Investigating Causal Relations by Econometric Models and Cross-spectral Method,” Econometrica, 37, pp. 424-438. [18] Granger, C. W. J. and Newbold, P., (1974) “Spurious regressions in econometrics,” Journal of Econometrics, 2, pp. 111-120. [19] Hamilton, J. D.,（1983) “Oil and The Macroeconomy Since World War II,” Journal Politic Economy, 91, 2, pp. 228-248. [20] Hamilton, J. D., (1988) “A Neoclassical Model of Unemployment and the Business Cycle,” Journal of Political Economy, 96, pp. 593-617. [21] Hamilton, J. D.,（1996）“This is What Happened to the Oil Price-macroeconomy Relationship,” Journal of Monetary Economics, 38, pp. 215-220. [22] Hamilton, J. D., (2003) “What is an Oil Shock?,” Journal of Econometrics, 113, pp. 363-398. [23] Hooker, M., (1996) “What Happened to the Oil Price–macroeconomy Relationship?,” Journal of Monetary Economy, 38, pp. 195–213. [24] Huang, B. N., Hwang, M. J. and Peng, H. P., (2005) “The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model,” Energy Journal, 27, 3, pp. 455-476. [25] Johansen, S., (1988) “Statistical Analysis of Cointegrating Vectors,” Journal of Economic Dynamics and Control, 12, pp. 231–54. [26] Johnston, J. and Dinardo J., (1996) Econometric Methods, McGraw-Hill College. [27] Lee, K., Ni, S. and Ratti, R. A., (1994) “Oil Shocks and the Macroeconomy: The Role of Price Variability,” Working Paper no. 94-10, University of Missouri-Columbia. [28] Lilien, D., (1982) “Sectoral Shifts and Cyclical Unemployment,” Journal of Political Economy, 90, pp. 777-793. [29] Lin, C. C., Fang, C. R. and Cheng, H. P., “Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from the Greater China.”Working Paper, National Chengchi University, Taiwan. [30] Masih, A.M.M. and Masih, R., (1996) “Energy Consumption, Real Income and Temporal Causality: Results from a Multi-country Study Based on Cointegration and Error-correction Modeling Techniques,” Energy Economics, 18, 3, pp. 165-83. [31] MacKinnon, J. G., (1991) “Critical Values for Cointegration Tests,” in R.F. Engle and C. W. J. Granger (eds.), Long-Run Economic Relationships, Oxford University Press. [32] McCallum, B. T., (1983) “A Reconsideration of Sims` Evidence Concerning Monetarism,” Economics Letters, 13, pp. 167-71. [33] Mork, Knut A., (1989) “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton`s Results,” Journal of Political Economy, 91, pp. 740–744. [34] Mork, K. A., Olsen, O. and Mysen, H. T., (1994) “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries,” Working Paper 13, The Norwegian School of Management. [35] Pesaran, M. H. and Pesaran. B., (1997) Working with Microfit 4.0: Interactive Econometric Analysis, London: Oxford University Press. [36] Pesaran, M. H., Shin, Y. and Smith, R. J., (2001) “Bounds Testing Approaches to the Analysis of Level Relationships,” Journal of Applied Econometrics, 16, pp. 289-326. [37] Phillips, P. C. B., and Perron, P., (1998) “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 2, pp. 335-346. [38] Pindyck, R., (1991) “Irreversibility, Uncertainty and Investment,” Journal of Economic Literature, 29, 3, pp. 1110-48. [39] Rasche, R. H. and Tatom, J. A., (1977) “The Effects of the New Energy Regime on Economic Capacity, Production, and Prices,” Federal Reserve Bank of St. Louis Review, 59, 4, pp. 2-12. [40] Rasche, R. H. and J. A. Tatom, (1981) “Energy Price Shocks, Aggregate Supply and Monetary Policy: the Theory and International Evidence,” Carnegie-Rochester Conference Series on Public Policy, 14, pp. 9-93. [41] Said, S. E., and Dickey, D. A., (1984) “Testing for Unit Roots in Autoregressive-moving Average Models with Unknown Order,” Biometrika, 71, 3, pp. 599-607. [42] Shapiro, M. D. and Watson, M. W., (1989) “Sources of Business Cycle Fluctuations,” NBER Macroeconomics Annual, pp. 111-48. [43] Sims, C. A., (1980) “Macroeconomics and Reality”, Econometrica, 48, pp1-48. [44] Sims, C. A., (1981) “An Autoregressive Index Model for the U.S., 1948-1975,” In: Large-Scale Macro-Econometric Models (J. Kmenta and J. Ramsey, eds.), North-Holland, Amsterdam, pp. 283-327. [45] Stern, D. I., (1993) “Energy and Economic Growth in the USA: A Multivariate Approach,” Energy Economics, 15, 2, pp. 137-50. [46] Swanson, N. R. and Granger, C.W.J., (1997) “Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions,” Journal of the American Statistical Association 92, 437, pp. 357–367. [47] Tatom, J. A., (1988) “Are the Macroeconomic Effects of Oil-price Changes Symmetric?,” Carnegie-Rochester Conference Series on Public Policy, 28, 1 pp.325-368.
描述:	碩士國立政治大學國際經營與貿易研究所 97351032 98
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0097351032
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
103201.pdf	773Kb	Adobe PDF2	2546	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - 回饋