經濟成長與國際油價及匯率之關聯性分析-以不同時期之美國與台灣為例

Analysis of the Correlation between Economic Growth, International Oil Price and Exchange Rate. Take the United States and Taiwan in different periods as examples

沈東穎(Tung-Ying Shen)

指導教授 ： 毛慶生

國立臺灣大學/社會科學院/經濟學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202001613

摘要

本論文主要是想探討國際油價、經濟成長率與匯率之間的關聯性，並利用不同時期的台灣與美國進行實證，用以分析在不同時空背景之下，因子之間的關聯性變化。變數使用方面，我們利用國際原油價格、美國經濟成長率、台灣經濟成長率、美元指數以及台幣兌美金匯率進行實證分析。另一方面，在方法上，我們將時間軸切分為1980Q1~1999Q與2000Q1~2019Q3兩個時期，針對美國與台灣進行實證分析。
本論文設定研究期間為1980年1月至2019年9月，我們利用許多方法進行實證分析，包含單根檢定、VAR模型、Granger因果關係檢定法。實證結果歸納有幾點：
(一) 由單根檢定的結果可知，本論文發現國際原油價格、美國經濟成長率、台灣經濟成長率、美元指數、台幣兌美金匯率，以上變數在單根檢定的結果，都屬於非定態變數。而在進行一階差分之後會全數轉為定態數列。
(二) 在VAR模型方面；在第一觀察期中，最適落後期數為t-1期，結果顯示國際油價和台灣經濟成長率會受到美元指數的影響。另一方面，台幣匯率同樣會影響台灣經濟成長率，而經濟成長率也會影響到接下來台灣在匯率上的政策；第二觀察期方面，最適落後期數為t-2期，結果顯示美元指數和台幣匯率會受到美元指數的影響，但台幣匯率的影響力在此時期下滑，並且各國之間的經濟成長，對於各變數的影響力上升。
(三) Granger因果關係檢定的部分；在第一觀察期中，我們發現國際原油價格和美國經濟成長率呈現單向影響，國際原油價格對於美國的經濟成長，有著明顯的影響力。在台灣經濟成長率方面，與台幣兌美金匯率呈現雙向影響，這部分與VAR模型完全一致，而美元指數的高低，對於台灣的經濟成長，呈現單方向影響力。至於第二觀察期中，我們發現美元指數對於美國經濟成長的重要性明顯上升，但國際原油價格的影響力反而在這時期下降，美國經濟成長率，相較於前一觀察期，這個階段的經濟力，對於台灣甚至全球的影響力都顯著提升了。此外，台灣經濟成長狀況，在此可泛指整體新興市場的狀況，在第二樣本期中經濟地位明顯上升，也因此成為了國際原油價格的重要影響因子，不過這樣的關係，結論中是呈現單向影響的。此外，美元指數對台灣經濟成長的單向影響力，依舊延續前一觀察期的結果，是持續有影響的。不過，原本台灣方面呈現雙向影響的自身匯率與經濟成長，在此時期只存在台幣對美金匯率對台灣經濟成長的單向影響結論。在第二樣本期間中，有別於第一觀察期，美元指數和油價之間轉為呈現雙向影響關係，顯見匯率政策的影響程度，隨著時間的推移，有明顯提高的態勢。

關鍵字

國際原油價格 ； 經濟成長率 ； 匯率

並列摘要

The main purpose of this thesis is to explore the correlation between international oil prices, economic growth rates and exchange rates, and use Taiwan and the United States in different periods to conduct empirical analysis to analyze the correlation changes between factors under different time and space backgrounds. In terms of the use of variables, we use crude oil prices, US economic growth rate, Taiwan's economic growth rate, the U.S. dollar index, and the exchange rate of Taiwan dollar to U.S. dollar for empirical analysis. On the other hand, in terms of methodology, we divided the time into two periods, 1980Q1~1999Q and 2000Q1~2019Q3, and conducted empirical analysis on the United States and Taiwan.
This paper research from January 1980 to September 2019. We use many methods to conduct empirical analysis, including unit root test, VAR model, and Granger causality test. The empirical results are summarized as follows:
1. As a result of the unit root test, this thesis found that the crude oil prices, the US economic growth rate, Taiwan's economic growth rate, the US dollar index, and the exchange rate of Taiwan dollar against the US dollar, the above variables in the unit root test, results are all non-stationary variable. After the first-order difference is performed, all numbers will be converted to a stationary series.
2. From the VAR model: In the first observation period, the optimal number of lagging periods is t-1. The results show that international oil prices and Taiwan’s economic growth rate will be affected by the US dollar index. On the other hand, the Taiwan dollar exchange rate will also affect Taiwan’s economic growth rate, and the economic growth rate will also affect Taiwan’s exchange rate policy in the future. In the second observation period, the optimal lagging period is t-2, and the result shows that the US dollar The index and the Taiwan dollar exchange rate will be affected by the US dollar index, but the influence of the Taiwan dollar exchange rate has declined during this period, and the economic growth between countries has increased the influence of various variables.
3. From the Granger causality test; in the first observation period, we found that the international crude oil price and the US economic growth rate showed a one-way impact, and the international crude oil price has a significant influence on the US economic growth. Regarding Taiwan’s economic growth rate, there is a two-way impact on Taiwan’s exchange rate against the US dollar. This part is completely consistent with the VAR model. The level of the US dollar index has a unidirectional influence on Taiwan’s economic growth. As for the second observation period, we found that the importance of the US dollar index to US economic growth has increased significantly, However, the influence of international crude oil prices declined during this period. Compared with the previous observation period, the economic growth rate of the United States has significantly increased its influence on Taiwan and even the world. In addition, Taiwan’s economic growth situation can generally refer to the situation of the overall emerging market. In the second sample period, the economic status has risen significantly, and it has therefore become an important factor in the international crude oil price. However, this relationship shows a simple conclusion in the conclusion. To influence. In addition, the one-way influence of the U.S. dollar index on Taiwan’s economic growth continues the results of the previous observation period, which will continue to have an impact. However, Taiwan’s own exchange rate and economic growth, which originally had a two-way effect, only had a one-way effect on Taiwan’s economic growth during this period. In the second sample period, different from the first observation period, the relationship between the US dollar index and oil prices turned into a two-way relationship. It is obvious that the degree of influence of the exchange rate policy has increased significantly over time

並列關鍵字

crude oil prices ； economic growth rates ； exchange rates

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