考慮原物料價格影響下的匯率轉嫁：再論消費者物價變動的不對稱性

Exchange Rate Pass-Through Under the Consideration of Raw Materials Prices：Re-examination of Asymmetric Price Change

李俊萍(Chun-Ping Li)

指導教授 ： 林惠玲

國立臺灣大學/社會科學院/經濟學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.10011

摘要

本篇研究目的在於探討匯率轉嫁與原物料價格波動，是否會對消費者物價變動造成不對稱性效果。穩定物價一直是政府當局最重視的政策議題，當國外原物料價格出現大幅波動，自然會影響國內物價的穩定。因此，政府除了維持匯率穩定外，留心原物料(如原油、鋼鐵、大宗物資等)價格變化也應列為穩定物價的重要議題。
本文先以單一價格法則建立進口物價模型，研究匯率、所得、油價(或其他原物料價格)與進口物價變動之間的關係；之後再以結構性自我向量迴歸 (Structural vector autoregression,SVAR) 模型認定出外生的結構性衝擊(如匯率、油價等原物料價格衝擊)。並將匯率衝擊拆解為升值、貶值衝擊，且同時將油價等原物料價格衝擊分解為上漲、下跌兩方向衝擊，藉以分析不同衝擊對消費者物價變動的影響。實證結果顯示，油價波動是造成臺灣消費者物價不對稱變動的主要原因。

關鍵字

匯率轉嫁 ； 原物料價格 ； 不對稱性效果 ； 油價 ； 進口物價 ； Structural vector autoregression,SVAR ； 結構性衝擊

並列摘要

The purpose of this paper is to discuss whether exchange rate pass-through and the
fluctuations of raw materials prices will cause asymmetric effect on changes of consumer price. Price stability has been the most important policy issue of the government administration. When foreign raw materials prices change violently , they will naturally affect the stability of domestic consumer prices. Therefore, in addition to maintaining the stability of exchange rates, concerning changes of raw materials prices (such as crude oil, steel, agriculture crops, etc.) is also an important issue of the government administration .
First of all, we set up an import price model by following the Law of One Price to analyze the relationship between changes of import prices and exchange rate,income,oil price (or other raw materials prices) ,etc. Then we identify structural shocks (such as the exchange rates shocks, oil price shocks and other raw materials prices shocks, etc.) by using structural vector autoregression (SVAR) model to analyze different impacts on changes of consumer price after separating the appreciation and depreciation from exchange rate shocks, oil price shocks and other raw materials prices shocks. The empirical results indicate the causal factor of asymmetrical changes on Taiwan's consumer prices is caused by oil price volatility.

並列關鍵字

Exchange rate pass-through ； Raw materials prices ； Asymmetric effect ； Oil price ； Import price ； Structural vector autoregression , SVAR ； Structural shocks

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