油價、利率與通貨膨脹

Oil Price, Interest Rate and Inflation

羅佑傑(YOU-JIE LO)

指導教授 ： 陳俊志

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

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。

關鍵字

油價 ； 利率 ； 傳遞效果 ； 新興凱因斯菲利普曲線 ； 誤差修正模型

並列摘要

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.

並列關鍵字

oil price ； interest rate ； pass-through effect ； New Keynesian Phillips curve ； error correction model

參考文獻

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