Translated Titles

Oil Price, Interest Rate and Inflation



Key Words

油價 ; 利率 ; 傳遞效果 ; 新興凱因斯菲利普曲線 ; 誤差修正模型 ; oil price ; interest rate ; pass-through effect ; New Keynesian Phillips curve ; error correction model



Volume or Term/Year and Month of Publication


Academic Degree Category




Content Language


Chinese Abstract

近幾年,因OPEC 卡特爾組織未達成石油供給協議,因此石油價格大幅下跌, 而且台灣央行也降息來刺激通膨的背景,本文使用台灣資料並建構新興凱因斯菲利 普曲線模型來探究油價與利率對於國內通貨膨脹的傳遞效果,放入油價結構性改變 的虛擬變數後,油價係數有明顯的轉變,並利用滾動窗口來觀察不同消費部門受到 利率與油價的傳遞效果強弱。實證結果顯示,油價與利率對於各部門的長期傳遞效 果不顯著,而油價短期傳遞效果是沒有持續性的下降趨勢。

English Abstract

In recent years, oil prices have fallen sharply after members of the OPEC cartel failed to reach an agreement on how to tackle the global supply glut,and Taiwan central bank lowered interest rates to stimulate inflation. This paper uses data from Taiwan to investigate oil price and interest rate pass-through into inflation, which based on New Keynesian Phillips curve Model, also use structural change test to investigate oil price coefficient has significant change. The empirical results provide oil price long-term pass-through effect is not significant, but short-term oil pass-through effect is significant. On the contrary, long-term interest pass-through effect is not significant, and short-term interest pass-through effect is significant. This paper also use rolling window, and find that oil price short-term oil pass-through effects into various basic sub-indices do not decrease substantially.

Topic Category 社會科學學院 > 經濟學系
社會科學 > 經濟學
  1. 李見發,洪振義與林益倍 (2012),「國際原油價格上漲對台灣產業生產成本與物價水準的影響」,《應用經濟論叢》,92,163-197。
  2. 張呈徽與李仁耀 (2012),「國際油價對消費者物價指數的影響」,《修平學報》,25,79-89。
  3. Andrews , D. W. K. (1993), “Tests for parameter instability and structural change with unknown change point”, Econometrica ,61, 821-856.
  4. Browne, F. and D. Cronin (2010), “Commodity prices, money and inflation”, Journal of Economics and Business , 62 , 331–345.
  5. Castelnuovo, E. (2009),“Testing the structural interpretation of the price puzzle
  6. Chen, S.S. (2009), “Oil prices pass-through into inflation ”, Energy Economics , 31 , 126–133.
  7. Chow, G. C. (2012), “A model of inflation in Taiwan ”, Economics Letters , 117 , 464–466.
  8. Clark, T. E. and Y. H. West (2007) “Approximately normal tests for equal predictive acccuracy in nested models ”, Journal of Econometrics , 138 , 291–331.
  9. Christopher , A. S. (1992), “Interpreting the Macro-economic Time Series Facts: the Effects of Monetary Policy”, European Economic Review, 36 , 975-1011.
  10. Cunada , J. and F. Perez ( 2005 ), “Oil prices, economic activity and inflation: evidence for some Asian countries ”,The Quarterly Review of Economics and Finance , 45,65–83.
  11. De Gregorio, J. and O. Landerretche (2007) , “ Another Pass-through Bites the Dust? Oil Prices and Inflation ”, Economia , 7, 155–208.
  12. Gordon, R. J. (1976),“The demand for and supply of inflation”, Journal of Law and Economics, 18, 807-836.
  13. Hansen , B. E .(1992), “Testing for parameter instability in linear models”, Journal of Policy modeling, 14, 517-533.
  14. Hamilton, J. D. (1983), “ Oil and Macroeconomy since World War II”, Journal of Political Economy, 91 , 228-248.
  15. Hasan, M. S. (1999), “Monetary Growth and Inflation in China: A Reexamination”, Journal of Comparative Economics, 27, 669-685.
  16. Hamilton , J. D. (1994) , Times Series Analysis , Princeton University Press.
  17. Hooker, M. A. (2002), “Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime”, Journal of Money, Credit and Banking, 34, 540-561.
  18. Janet , K. and A. W. Mark (2012), “Core Import Price Inflation in the United
  19. Liu, L. and A. Tsang (2008), “Pass-through effect of global commodity prices on China’s inflation:An empirical investigation ”, China World Economy , 16 , 22-34.
  20. Mackinnon , J. G. (1991), “Critical Values for Co-Integration Tests”, Long-Run Economic Relationships, Oxford University Press, 267-276.
  21. Osterwald-Lenum, M. (1992) ,“A Note with Fractiles of the Asymptotic Distribution
  22. Peersman , G. and F, Smets (2001), “The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis”, Working Paper, European Central Bank.
  23. Phillips, A. W. (1958),“ The relationship between unemployment and the rate of change of money wages in the United Kingdom 1861-1957”, Economica ,25 , 283-299.
  24. Roeger , W. and B, Herzb (2012), “Traditional versus New Keynesian Phillips Curves: Evidence from Output Effects”, International Journal of Central banking, 8, 87-109.
  25. Said, S. E. and D. Y. Dickey (1984), “Testing for unit root in autoregressive moving average models of unknown order ”, Biometrika , 71, 195-214.
  26. Taylor, J. B. (1993), “Discretion versus Policy Rules in Practice ”, Carnegie-Rochester Series on Public Policy, 39, 195-214.
  27. William , M. and G. Gabriele (2006), “The evolving inflation process: an overview”, Working paper, Bank for International Settlements.
  28. 中文部分
  29. 李榮謙 (2008),《貨幣銀行學》,10版,台北市:智勝文化。
  30. 李怡庭 (2012),《貨幣銀行與金融市場》,2版,台北市:翰蘆圖書。
  31. 吳懿娟 (2004),「我國貨幣政策傳遞機制實證分析」,《中央銀行季刊》,26,33-68。
  32. 汪建南 (2010),「我國貨幣政策操作及傳遞機制實證分析」,《中央銀行季刊》,26,17-56。
  33. 張萃貞與鄭雅綺 (2008),「油價上漲對國內物價及人民生活負擔的影響簡析」,《經濟研究》,8,33-50。
  34. 黃朝熙 (2007),「台灣通貨膨脹預測」,《中央銀行季刊》,29 ,5-30。
  35. 陳旭昇 (2013),《時間序列分析-總體經濟與財務金融之應用》,2版,台北市:東華書局。
  36. 楊奕農 (2009),《時間序列分析-經濟與財務上之應用》,2版,雙葉書廊。
  37. 賴景昌 (2010),《總體經濟學》,2版,雙葉書廊。
  38. 英文部分
  39. Abounoori , A. , R. Nazarian and A. Amiri (2014), “Oil Price Pass-Through into Domestic Inflation: The Case of Iran ”, International Journal of Energy Economics and Policy ,4, 662-669.
  40. Bell, W. R. and B. C. Monsell (1992), “X-11 Symmetric Linear Filters and their Transfer Functions”,Statistical Research Division, U.S. Census Bureau, RR-92/15.
  41. Bernanke, B. (2004), “The Great Moderation”, Remarks at the meetings of the Eastern Economic Association , Washington D.C.
  42. with a cost channel model”, Working paper, Bank of Finland Research.
  43. Chou, K. W. and Y . H. Tseng (2011), “Pass-through of oil prices to CPI inflation in Taiwan ”, International Research Journal of Finance and Economics , 69 ,73–82.
  44. Friedman, F. (1983), A Program for Monetary Stability , Fordham University Press.
  45. Hamilton, J. D. (2013), “Historical Oil Shocks”, Handbook of Major Events in Economic History, 239-265, Routledge.
  46. States”, Working Paper, Federal Reserve Bank of Dallas.
  47. Kuttner, K. and P. Mosser (2002) , “ The Monetary Transmission Mechanism:Some Answers and Further Questions ”, Federal Reserve Bank of New York , Economics Policy Review, 8 , 15–26.
  48. Litterman, R. B. and L. Weiss (1985), “Money, Real Interest Rate and Output :A
  49. Reinterpretation of Postwar of U.S. Data”, Journal of Econometrics, 53, 129-156.
  50. of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases”, Oxford Bulletin of Economics and Statistics, 54, 461-472.