溫度及景氣對水資源指數與能源指數
之影響性研究

近年來全球氣候異常，屢破最高年均溫及日溫度紀錄的例子不勝枚舉，因熱浪而死的傷亡新聞更是屢見不鮮！連年高溫主要導因於溫室效應與臭氧層破洞，其中溫室效應最大的主因就是溫室氣體的產生，經濟活動燃燒的能源所生成的溫室氣體更引起國際社會的高度關注。另一方面，台灣近來亦面臨嚴重的缺水危機，使政府不得不採取限水措施，讓民眾深感不便。至於經濟活動所造成的水資源汙染更是雪上加霜，因此水資源的重要性及方便性更加喚醒民眾的環保意識。基於以上動機，本研究欲探討溫度與景氣對能源指數及水資源指數究竟有何影響？並採用VAR、VECM、衝擊反應分析及Granger因果檢定等模型，以期了解在不同溫度及景氣下，是否產生因果關係及長期的均衡關係，實證結果彙總如下： 1. 溫度對於能源指數及水資源指數的影響並不顯著，推究其原因係由於溫度本身所造成，大自然的變化造成之影響雖然廣泛，但對資本市場引起的反應並不如景氣對能源指數及水資源指數的影響之大。 2. 由衝擊反應分析結果顯示：景氣對自己及水資源指數只會在前期有不小的正向影響，且呈快速收斂，而景氣對能源指數卻呈長期穩定且具正向影響。 3. 由預測誤差變異數分解結果顯示，景氣及溫度對自己本身在第一期具有100%的解釋能力，而水資源指數對自己本身雖在第一期具有最大的解釋能力，但景氣對水資源指數的影響在第一期亦不小，而能源指數不但受到景氣長期且穩定之影響，且其影響力竟然高於能源指數對其本身之影響。

關鍵字

水資源指數；能源指數；景氣；溫度；預測誤解變異數分解；衝擊反應分析； Granger因果檢定； VAR ； VECM

並列摘要

Recently, the global temperature continually breaks the record of average year high and day high. The examples are too numerous to enumerate. Many of the unfortunate incidents take place due to heat waves. We all know that the continuously high temperature cause the Ozone depletion. One critical reason is the exhaustion of the Greenhouse Gas, the discharging from economy activities makes the international attention. Recently, Taiwan is also facing against the crisis of water shortage, government took water-use restriction measures to bring people huge inconvenience. Heavily economy activities make the environment worse and worse than before. Consequently, the necessity and convenience of water arouse people’s deep attention on environmental consciousness. Based on the motivation above, this study attempts to examine the influence of temperature and business cycle on the energy index and water index. This investigation uses VAR, VECM, Impulse response function and Granger causality test to examine whether there is a long term casual and equilibrium relationship. The conclusion is summarized below: 1. The temperature does not have significant effect on the energy index and water index, which attributes to the nature of temperature. Although the effect of natural variability is wide-spread, its influence on capital market is not more than business cycle does. 2. The result of impulse response function shows that a shock of business cycle has the most significantly positive impact on business cycle itself in the first term. A shock of water index has also the most significant effect on water index itself in the first tem, then both the business cycle and water index converge rapidly. However, business cycle has a long-term’s positive and stable influence on the energy index. 3. The result of forecasting-error variance decomposition demonstrates that the most significantly explanatory power on the shock to business cycle is business cycle itself; while that on shocks to water index is water index itself. However, business cycle has no significant impact on water index. Meanwhile, the most significantly explanatory power on the shocks to energy index in the first term arises from business cycle (71.8%), and the second significantly explanatory power arises from the energy index itself (28.2%).

並列關鍵字

Business cycle ； energy index ； forecasting-error variance decomposition ； Granger causality test ； impulse response function ； VAR ； VECM ； water index

參考文獻

廖俊哲 (2011)，全球暖化對台灣地區降雨特性之影響，國立臺灣大學生物環境系統工程學研究所之碩士論文。

Dicky, D. A. & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with A unit Root. Journal of the American Statistical Association, 74(366), 427-431.

Dicky, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root. Econometrica,49(4), 1057-1072.

Granger, C. W. J.,(1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424-436.

Hu, John Wei-shan, Yi-chung Hu and Chien-Yu Lin(2014). Effect of Temperature Shock and Inventory Surprises on National Gas and Heating Oil Future Returns, The Scientific World Journal, vol. 2014 Article ID457636, 10 pages.

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溫度及景氣對水資源指數與能源指數之影響性研究

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