能源使用、就業、經濟成長與景氣循環

Energy Use, Employment, Economic Growth and Business Cycle

盧樂人(Le-Ren Lu)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300566

摘要

摘 要

本研究以實質景氣循環（real business cycle）模型模擬能源價格變動對能源使用、就業及產出所造成的衝擊，並以共同趨勢與共同循環（common trend and common cycle）方法，實證探討能源價格、能源使用、就業及產出各變數長期與短期的關聯性；最後並綜合比較理論模擬與實證估計所得到的結果，以歸納出重要的政策及經濟意涵。根據實質景氣循環模型模擬得知，正向能源價格衝擊會對能源使用、產出及就業三者造成負向衝擊，其中以能源使用所受的衝擊最大，其次為產出與就業；而長期而言，正向能源價格衝擊將使就業水準高於原均衡狀態，產出則接近原均衡狀態。此外，藉由比較調整能源使用份額模擬所得結果得知，能源價格變動的衝擊主要係透過能源的使用而傳遞至其他變數。再者，觀察經由HP濾波所分解出之循環成份可知，各變數的循環成份與能源價格均呈反向變動，顯示在短、中期能源價格與上述變數間係成反向變動關係。
在實證方面，透過共同趨勢與循環的方法，本研究得到變數間無論長短期皆存在共同移動 (co-movement) 的現象。其次，加入共同趨勢與共同循環限制，將變數資料分解成趨勢與循環成份之後，能源價格循環成份與產出、能源使用以及就業三者的循環成份呈反向關聯。而就變數間的相關程度而言，短期間能源價格與所有變數的循環成份之相關程度高且呈負相關，但長期間能源價格與其他變數間的相關程度明顯降低，顯示能源價格的波動主要會造成暫時性的衝擊。至於能源價格變動對就業的衝擊方面，短期間兩者為負相關，長期間則為正相關。再者，透過預測誤差變異數分解，我們得到短期間暫時性衝擊是影響產出及就業重要因素的結果。
最後，比較理論模擬與實證所得結果，本研究發現，兩者皆得到短期間能源價格變動對其他總體變數會產生反向衝擊的結果。從實質景氣循環模型，能源價格變動會直接對能源使用產生衝擊，再進而透過能源使用量的變化，傳遞至其他總體變數，而實證結果亦顯示該兩者循環成份間之相關性較其他變數與能源價格間的相關性為高，且能源使用與總體變數間，無論於長期或短期皆存在高度相關，支持理論模擬中能源價格衝擊透過能源使用的變化傳遞的結論。其次，無論理論模擬或實證分析皆顯示能源價格與就業在短期間呈現負相關，長期間則為正相關。本研究認為能源價格與就業在長期間之所以呈正相關，應肇因於高能源價格在長短期均會使能源使用效率提昇，惟短期間由於要素價格上漲引起的生產投入減少效果會較能源使用效率提昇的效果顯著，進而導致兩者呈負相關的結果。

關鍵字

能源使用 ； 能源價格 ； 就業 ； 共同趨勢 ； 景氣循環 ； 共同循環

並列摘要

ABSTRACT

This study aims at exploring the short- and long-run relationships between energy and the macro-economy. Two approaches are used simultaneously to fulfill the purpose. In the theoretical side, we modified a typical real business cycle (RBC) model to include energy use variable and simulate the effects of an exogenous shock in energy price on energy use, employment and output. In the empirical side, we applied the common trend and common cycle methods due to Vahid and Engle (1993) and Engle and Kozicki (1993) to empirically estimate the linkage relationships between energy and macroeconomic variables over the short and long term. The results from both sides of analysis were then combined to sort out some important policy and economic implications.

From theoretical simulations, we found that energy use, employment and output all appear to be negatively affected by a positive energy price shock. Furthermore, in the long run, this shock will lead the employment to rise higher than its initial steady state. A sensitivity analysis on the energy share parameter of the productive function revealed that energy price shocks affect output and other macroeconomic variables through energy use variable.

Based on our co-integration and common cycle test results, we confirmed that energy price, energy use, employment and output co-move not only in the long run but also in the short run. Using a special decomposition analysis, we also found that the cycle component of energy price is counter-cyclical, while other variables appeared to be pro-cyclical. In addition, in the short run, energy price has a high correlation with other variables. However, the correlation becomes insignificant in the long run. This result reveals that energy price fluctuations shall affect macroeconomic variables only temporarily. Our variance decomposition results also indicate that transitory shocks are more important than permanent shocks at business-cycle horizons.

By comparing the results of the two above-mentioned approaches, we conclude that energy price affects macroeconomic variables mainly through energy use variable. The results obtained from empirical examination that the correlation between energy price and energy use is higher than that with other variables coincide with the results obtained from theoretical simulations. In addition, both models all showed that energy price is counter-cyclical with other variables. Moreover, two approaches have the same conclusion for the relationship between energy price and employment. That is, energy price and employment exhibit a negative relationship in the short run, but a positive correlation in the long run.

並列關鍵字

Energy Price ； Business Cycle ； Energy Use ； Common Cycle ； Employment ； Common Trend

參考文獻

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