- 期刊
原油價格對台灣物價傳遞效果的不對稱性
Asymmetric Price Transmission from Crude Oil Prices to Price Indices in Taiwan
摘要
本文運用Enders and Siklos (2001)的不對稱門檻共整合檢定(Asymmetric Threshold Cointegration test)與不對稱門檻誤差修正模型，探討國際原油價格對於台灣物價的傳遞效果。實證結果發現：第一，將傳遞過程區分成國際油價傳遞至海關進口原油價格、國內油品價格、WPI及CPI等四階段，各傳遞關係式皆存在不對稱共整合關係。傳遞過程前兩階段，即海關進口原油價格與國內油品價格對於上游階段價格調整呈現「漲慢跌快」；然而，傳遞過程後兩階段，即WPI與CPI對於上游階段價格調整卻爲「漲快跌慢」。第二，以民進黨執政時期爲樣本期間，因果檢定下原油價格與國內油品價格對物價的影響皆不顯著，顯示政府干預市場機制，使原油價格與國內油品價格未成爲物價的領先指標。另外，民進黨執政期間相較於全樣本，國內油價與物價因應上游階段價格變動的長期調整速度，呈現「漲更慢、跌更快」的現象，這也隱含左翼政黨的油價與物價政策，爲平抑價格波動，更傾向干預市場運作。
並列摘要
This paper analyzes the asymmetric effects of price transmission from crude oil prices to price indices in Taiwan. We employ the asymmetric threshold cointegration test by Enders and Siklos (2001) to investigate the asymmetric equilibrium relationships between crude oil prices and price indices. The empirical results are as follows. First, the asymmetric cointegration relationships are significant between crude oil prices and price indices. We divided the transmission process into four stages. We find that, in the first two stages, the imported oil prices and petroleum products prices respond to the increases of upper-stream prices more slowly than to the decreases. It suggests the oil market is not competitive in Taiwan, and the oil pricing policies are intervened by the government. However, in the last two stages, the WPI and CPI respond to the increases of upper-stream prices faster than to the decreases. This is consistent with the ”Rocket and Feather” phenomenon confirmed in many studies. The rapid reaction of price indices may be due to people's expectation when the crude oil prices increase. This implicates that it is ineffective for the government to stabilize prices by intervening oil pricing policies. Second, comparing the leftwing government period and the full sample period, we find that the long-run adjustment speeds of petroleum products prices and price indices increase more slowly and decrease faster. This indicates that the oil pricing may be intervened much more under the leftwing government.