能源價格衝擊與臺灣總體經濟

ENERGY PRICE SHOCKS AND TAIWAN’S MACROECONOMY

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， 常因為不確定性的存在而有延後反映的現象。本文利用臺灣1981 年到2009 年的能源價格， 建構數種對稱性與不對稱性之能源價格變動測度， 以Granger 因果關係檢定探討能源價格變動與臺灣其他相關的總體經濟變數間的關係； 並透過自我迴歸分配落後模型（autoregressive distributedlag model， ARDL） 模型估計能源價格變動與臺灣實質產出之間的長期關係式。我們的實證結果顯示： 能源價格變動， 相較於臺灣的總體經濟體系， 具有外生性。能源價格成長率以及能源價格漲跌率均對於臺灣總體經濟變數並沒有顯著的影響力， 但是能源價格波動率卻對臺灣的實質GDP 成長率有顯著的負面影響。另外， ARDL 模型估計結果則顯示， 能源價格波動率與臺灣實質GDP 之間存在一個反方向變動的長期均衡關係。本結果隱含1981 年之後， 能源價格可能透過不確定性與部門移轉這兩種不對稱性管道影響臺灣產出成長率。

Since the 1970s, numerous studies have demonstrated that energy price changes can have a significant impact 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 Granger’s causality test to examine the relationship between energy price changes and related macroeconomic variables; and utilize the Autoregressive Distributed Lag (ARDL) model to estimate the long-run relation between energy price changes and the real GDP of Taiwan. Our empirical results show that energy price exhibits exogeneity relative to important macroeconomic variables; neither the energy price growth rate, nor the energy price net increase/decrease has a significant impact on real GDP, while the energy price volatility has a negative impact on the real GDP of Taiwan. Furthermore, the estimation result of the ARDL model indicates the existence of a longterm inverse relation between energy price volatility and the real GDP. These imply that, since 1981, uncertainty and sectoral shift may have been the two possible asymmetric channels through which energy price shocks affected Taiwan’s output growth rate.