原油價格衝擊對台灣的產出、物價與失業之影響

The effects of oil price shocks on Taiwan's economy in Taiwan

本研究以結構式門檻向量自我迴歸模型探討油價衝擊的總體經濟效果。透過門檻模型的檢定與估計步驟，分析台灣總體經濟變數受到油價衝擊之後的反應是否因景氣循環的不同階段呈現門檻效果，以及此等反應是否因為油價漲跌差異而存在不對稱性。利用落後一期產出成長率為門檻變數，本研究發現台灣的失業缺口、產出成長率、物價成長率之間的關係會隨景氣循環的擴張或收縮階段而具門檻效果，此門檻效果經四種油價變化測量指標檢測後仍具一致性。一般化衝擊反應函數分析指出：1.油價衝擊對台灣的產出、失業與物價之影響僅為暫時性，最長反應時間不超過3年；2.油價變化對產出與失業的不利影響在景氣擴張期較大。3.油價漲跌方向差異對失業和產出帶來不對稱影響，符合部門移轉假說。

This paper employs a structural threshold vector auto regression model to investigate the effects of oil price shocks on Taiwan’s output, inflation and unemployment. The parameter estimated is found to exhibit a regime change when output growth crosses a critical threshold. The evidence is robust after using four proxies of oil price changes. The main findings obtained from the impulse response analyses are： 1. Impacts of oil price shocks to macroeconomic variables of Taiwan are temporary that have durations no more than 3 years. 2. The adverse effect of an oil price shock on output and unemployment is more apparent during economic expansion period than in the contraction period. 3. Output and unemployment respond asymmetrically to directions of the oil price shock, which is in accordance with the hypothesis of reallocation costs among sectors.