小型開放經濟下之能源衝擊與景氣循環

Energy Shocks and Business Cycle in a Small Open Economy

蔡雅萍(Ya-Ping Tsai)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500025

摘要

本研究利用實質景氣循環（real business cycle; RBC）模型，探討能源價格衝擊對能源消費、產出及投資等變數所造成之影響。首先，我們建構一封閉體系之理論模型，並搭配以不同型態之生產函數，包括便於分析且能表現要素所得份額與要素相對價格獨立特性之Cobb-Douglas函數型態，以及較能描述天然資源耗損不可回復特性的CES型態生產函數，同時也考量能源消費、勞動與資本為生產投入要素，以模擬能源價格衝擊及技術衝擊對就業、產出及能源消費之影響。而透過衝擊反應分析，我們也探討了經濟體系面臨能源價格衝擊與技術衝擊時之動態傳遞機制。模擬結果顯示，任何生產函數設定之RBC模型，正向技術衝擊皆使能源消費、產出、投資與就業呈現正向變動，而正向能源價格衝擊會使能源消費與投資作反向變動；再者，經由HP filter所分解出之各變數循環成份顯示，能源消費與就業為正向循環（procyclical），而能源價格則為反向循環（countercyclical）。

基於台灣為典型之小型開放經濟體系，本研究另將理論模型進一步擴展為小型開放之RBC模型，納入淨出口、國外債券等變數，也在考量能源價格衝擊與技術衝擊之外，加入小型開放體系特有之世界利率衝擊。此外，並參考Mondoza（1991）的做法，考量投資調整成本，以避免世界利率變動時，投資發生過度波動的情況。此一模型模擬結果顯示，正向技術衝擊會使能源消費、產出與淨出口作正向變動；而正向能源價格衝擊則使能源消費與產出呈反向變動，淨出口為正向變動；至於負向世界利率衝擊將使能源消費、產出與淨出口呈反向變動。本研究也發現，能源價格衝擊為體系中主要的景氣波動來源；而由HP filter分解所得之各變數循環成份顯示，能源消費、就業與淨出口為正向循環，能源價格為反向循環。

在實證方面，本研究藉由共同趨勢與共同循環（common trend and common cycle）分析方法，探討能源消費、能源價格、產出、進出口與就業等變數長、短期間是否具有共同移動現象；且在符合特定限制下，將各變數數列分解成長期趨勢與短期循環成份，以探討各變數間長、短期之關聯性。實證結果發現，短期間能源價格與所有變數的循環成份之相關程度高，但長期間能源價格與其他變數間的相關程度則明顯降低，顯示能源價格的波動主要會造成暫時性的衝擊。此外，能源消費與產出間在長短期皆呈現高度正相關，而觀察其循環成份發現，產出、能源消費、就業與淨出口為同向循環。由預測誤差變異數分解則得知，產出受暫時性衝擊影響的比例最大，投資、消費的波動來自暫時性衝擊之比例亦不容小覷，顯示暫時性衝擊在短期間扮演重要角色。

關鍵字

共同趨勢與共同循環分析 ； 實質景氣循環 ； 開放經濟體系 ； 能源衝擊

並列摘要

Kyland and Prescott（1982）show that if the neoclasssical growth medel is modified to include a stochastic shock to technology, the model will be able to replicate many of the features of modern business cycles. This study modifies a typical real business cycle（RBC）model with indivisible labor by explicitly including energy as a productive input and modeling the relative price of energy as an exogenous random process. In closed models, the production technology of firms is described by alternative specifications, which include Cobb-Douglas, regular CES and nested CES functions, respectively. The CES function captures the main characteristics of the structure of production and the role of energy consumption by allowing for different elasticities of substitution between the various inputs in the model.

The basic model has also been extended to a small open economy, which includes oil as an import productive input, and incorporates a capital adjustment cost function to accommodate the volatility of investment. The oil price and the interest rate are assumed to be set by international markets. The parameters of the model are chosen by taking data from the Taiwan economy for the period 1982:1-2001:3.

Our simulation results show that, no matter what production function is, energy consumption and employment are pro-cyclical, and oil price are counter-cyclical. When a positive energy price shock occurs, energy consumption and investment all appear to be negatively affected. Furthermore, in the long run, this shock will cause the employment to rise higher than its initial steady state. From the results of simulation in the open economy model, we find that energy consumption, net exports and employment are pro-cyclical, and oil price is counter-cyclical. When a positive energy price shock happened, it has a negative influence on energy consumption, output, net exports and employment, and a positive influence on investment. When a negative world interest rate shock happened, it has a negative influence on energy consumption, output and employment, and a positive influence on net exports.

For empirical analysis, we apply the common trend and common cycle methods due to Vahid and Engle（1993）and Engle and Kozicki（1993）to estimate the linkage relationships between energy and macroeconomic variables over short and long run. Based on the co-integration and common cycle test results, we find that oil consumption, oil price, output, import and export co-move not only in the long run but also in the short run. Using the decomposition analysis, we can find that oil price affects macroeconomic variables in the short run, and energy consumption correlates with output in both the short and long run. Our variance decomposition analysis also indicates that transitory shocks are more important than the permanent shocks over business cycle horizons.

並列關鍵字

open economy ； energy shocks ； common trend and common cycle analysis ； Real business cycle

參考文獻

吳昭瑩(2004)，「貨幣政策、能源消費與景氣循環」，中原大學國際貿易學系碩士論文。

盧樂人(2003)，「能源使用、就業、經濟成長與景氣循環」，中原大學國際貿易學系碩士論文。

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