| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === Abstract
Departing from previous studies on the causal relationship between energy
consumption and economic growth, this paper tries to investigate a series of unit root
and causality tests to detect causality between the real GDP, energy consumption and
CPI in Taiwan employing the unit root tests allowing for structural breaks and the
Johansen’s multiple cointegration tests for the 1959-2004 periods. Secondly, by using a
dynamic vector error-correction model, we then analyze the direction of Granger
causation. Thirdly, the relative strength of the causality is gauged (through the dynamic
variance decomposition technique) by decomposing the total impact of an unanticipated
shock in the other variables, include its own, in the multivariate system. Finally, these
response paths of shocks to the system are traced out using impulse response graphs.
Our main findings are: First, the conventional unit root tests indicate the energy
consumption and CPI are I(1) stationary variable but the real GDP is I(1) or I(2),
whereas the endogenous break unit root tests proposed by Zivot and Andrews (1992)
and Perron (1997) reveal that all variable are I(1) stationary with a structural break.
Therefore, it is inappropriate to take the second difference of the real GDP to achieve
stationary. Second, we find that different directions of causality exist between GDP,
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energy consumption and CPI. The empirical result shows unanimously in the long run
that the causality runs from real GDP to energy consumption and CPI without feedback
and it exist no causality between real GDP and energy consumption in the short run. It
implies energy conservation may not harm economic growth. Third, shocks to the
system seemed to have had a more sustained if not pronounced effect in Taiwan. Overall,
we do find the structural breakpoints, and they look to match clearly with the
corresponding critical economic incidents.
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