石油價格對美國通貨膨脹之影響分析

An Analysis of the Effect of Oil Price Fluctuations on US Inflation

周思廷(Sih-Ting Jhou)

指導教授 ： 柯大衛 ； 廖惠珠

淡江大學/國際研究學院/美洲研究所博士班/博士(2018年)

https://doi.org/10.6846/TKU.2018.00469

摘要

本論文旨在討論石油價格對美國通貨膨脹之影響及瞭解油價對通貨膨脹之傳遞管道。依通貨膨脹為經濟中連續及持續的一般物價百分比變化之定義，為取得符合定義之通貨膨脹，本論文使用HP濾波法，將短期波動之物價變化刪除，以並進一步使用評估透過兩個不同管道：貨幣數量成長及貨幣流動速度成長之變化。

本論文研究油價對於通貨膨脹之影響，其調查期間自1987年1月至2017年12月，共有691筆月資料及121筆季資料。實證方法採雙變數及多變數向量向我回歸(VARs)，並分別假設油價為內生變數及外生變數，以及比較其使用指數平滑法與否的差異。本研究之雙變數VAR透過比較不同之CPI子項目，以瞭解油價對CPI於不同時期、項目之影響。另外，本論文以多變數VAR評估油價對美國通貨膨脹之傳遞效果。當油價假設為內生、外生變數之主要差異為當油價為外生變數時，美國聯準會採用通貨膨脹目標機制(inflation targeting)，減少貨幣供給以避免通貨膨脹發展；而當油價為內生變數時，則發現Fed因擔心經濟衰退，故增加貨幣供給。

關鍵字

油價衝擊 ； 油價 ； 向量自我迴歸 ； 通貨膨脹

並列摘要

This dissertation aims to understand the relationship between oil price and inflation in US and examines how the oil price transits the effect on the inflation rate in US. According to the definition "Inflation is the continuous and sustained percentage change in the general level of prices in the economy", this dissertation uses Hodrick-Prescott (H-P) filter to split the series into trend and cycle to omit the price level rising by jumps. Then, we use two main separate channels to evualuate the money growth and the growh in velocity.

This research investigates the effects of oil price on inflation over the period from 1987 January to 2017 December, which consists of 691 monthly observations and 121 quarterly data. The empirical work uses both bivariate and multivariate VARs. The analyses can be split into filtered and unfiltered data, as well as exogenous and endogenous assumptions on oil prices. The bivariate VAR is applied to compare different periods and the different CPI sub-indexes to understand the effect on different CPI sub-indexes in separate times. Additionally, the multivariate VAR is implemented to measure the impact of oil price on general US price inflation, and it expands the growth or decline in the real demand for money relative to the growth of money itself.

A major difference is found between assuming endogeneity and exogeneity for oil prices. If oil is exogenous, then the channel 1 seems to favor an expectations-based explanation which means the Fed sees possible higher inflation in the future and restricts monetary growth relative to output growth. There is inflation targeting. Growth in velocity tends to inversely mirror this with a positive growth in velocity as the result.

If oil is endogenous, we find a surprising reversal. Channel 1 with money growth minus output growth becomes positively related to oil price increases. This is consistent with a Fed that is fighting recession. Higher oil prices cause reductions in growth and in response money is expanded to mitigate the recession.

並列關鍵字

Oil Price Shock ； Oil Price ； VAR ； Inflation

參考文獻

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