國內油價對國際原油價格波動的不對稱反應

Asymmetric reaction of domestic oil price return for international oil price return

陳惠玲

漲跌不對稱 ； 油價調價 ； 國際原油 ； 最小平方法(OLS)迴歸模型 ； Change asymmetry ； Oil price adjustment ； International crude oil ； Ordinary Least Square Estimation

朝陽科技大學財務金融系學位論文

2014年

碩士

方世詮

繁體中文

台灣高度仰賴能源進口之國家，對原油進口佔有率接近100%，當國際原油價格上漲，使我國內油價價格跟著調漲；然而國內油價市場雙龍頭中油和台塑兩大供油業皆宣稱，其油價調價行為主要都依據國際原油價格漲跌走勢，國內油價價格是否與國際原油價格同步，與消費者權益關係非常密切。 本研究樣本開始於2002年6月1日至2013年5月31，共4018筆日資料，採用最小平方法迴歸模型(Ordinary Least Square Estimation, OLS)，研究國內油價價格是否與國際原油價格同步，是否存在著漲跌不對稱的問題。實證結果發現：國際原油OPEC與國內批售油價呈現對稱現象；國際原油布蘭特與國內批售油價調漲幅度大於調跌幅度之不對稱現象。國內中油九五和台塑九五零售呈現不對稱現象，證實國內中油和台塑零售呈現「跟漲不跟跌」價格僵固現象。

Taiwan is highly dependent on import in amounts of energy, especially the crude oil. When the international crude oil prices, I followed the domestic oil price hike. However, the Chinese Petroleum Corp. (CPC) and Formosa Petrochemical Corp. (FPCC) two oil industry are declared, its oil price adjustment behavior mainly based on international crude oil price change trend, domestic oil prices are synchronized with the international crude oil prices, a very close relationship with the consumers' interests. The research applies Ordinary Least Square Estimation (OLS), research on domestic oil prices are synchronized with the for international oil price return , if there is a problem Change asymmetrical, using date for 1 June 2002 to 31 May 2013. The results show that OPEC crude oil and domestic wholesale prices showed symmetrical phenomenon; Brent crude oil prices and domestic wholesale magnitude greater than the decline in the degree of adjustment hike the asymmetry reaction. Chinese Petroleum Crop.(CPC) ninety-five and Formosa Petrochemical Corp.(FPCC) ninety-five retail show asymmetries, Chinese Petroleum Crop.(CPC) and Formosa Petrochemical Corp.(FPCC) retail show " with up no follow fell" price rigidity phenomenon.

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