Effects of International Energy Price Shocks on Macroeconomic Activities in Taiwan

• Main Authors: Yeh, Fang-Yu, 葉芳瑜
• Other Authors: Hu, Jin-Li
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/77129710015749965072

博士 === 國立交通大學 === 經營管理研究所 === 98 === Taiwan is an island with limited domestic energy resources and its imported energy ratio is over 99.32%. As international energy prices keep rising, the impacts of this on Taiwan’s economic activities have been an important issue of research. This paper applies a linear and asymmetric model to estimate the effects of international energy price shocks (including oil, coal, and natural gas prices) on Taiwan’s macroeconomic activity (such as industrial production, stock price, interest rate, unemployment rate, imports and exports). We apply a multivariate threshold error correction model by Tsay (1998) to analyze the empirical data. By separating energy price changes into the decrease and increase, the energy price change as a threshold variable can analyze different impacts of energy price changes and their shock on industrial production. The variance decomposition and the impulse response functions are also employed to analyze the short-run dynamics of the variables. The preliminary findings are: (1) The optimal threshold levels are that the highest level is oil price at 2.48%, the next highest is natural gas price at 0.87%, and the lowest level is coal price at 0.22%. (2) If the change is above the threshold levels, then a change in oil price explains industrial production better than the interest rate. (3) If the change is below the threshold levels, then it appears that the change in natural gas price better explains stock prices and the unemployment rate than the interest rate. (4) Both oil price shock and natural gas shock have a delayed negative impact on macroeconomic activities.