油價衝擊對台灣貨幣政策效果之影響

THE IMPACT OF OIL SHOCK TO TAIWAN'S MONETARY POLICY

徐維健(Wei-Chien Hsu)

指導教授 ： 賴惠子

國立臺北大學/社會科學學院/經濟學系/碩士(2009年)

摘要

台灣是仰賴原油進口的國家，能源價格波動與台灣經濟密切相關，為避免油價的影響過劇，本國的油品價格一直以來都是管制的狀態。在控制油價上政府的政策都是採取較為保守的態度，而讓中油短期吸收虧損，或者是採緊縮性的貨幣政策來防止通貨膨脹；政府政策或許可以達到穩定物價的效果，但若政府過度的干預及回應油價衝擊下，是否會對經濟體系產生不良的影響，帶來國內經濟更大波動的代價？
有關探討能源價格波動的文獻中，Hamilton(1980)提出，戰後美國的GDP波動與油價變化有非常大的相關性，能源價格上揚會造成失業率上升、物價上揚，以及景氣衰退等結果。Bernanke et al.(1997)指出，雖然能源價格上揚會造成景氣衰退，但過度反應的貨幣政策，反而使得景氣產生更大的衰退；究竟是油價衝擊本身，或是貨幣當局為平穩物價而對經濟體系造成更大的衝擊，是本文想要探討的重點。
相較於其他工業大國，台灣為仰賴進出口貿易的小型開放經濟體系，無法免除國外總體經濟變數的影響，國內產出受到國外衝擊的部分更不容忽視。本文利用結構性向量自我迴歸模型（structural vector autoregressive model，以下簡稱SVAR），參考 Gandolfo（1986）提出的小型開放經濟體系模型與 Cushman and Zha(1995)提出的小型開放經濟體系與大型開放經濟體系的設定，將國外總體經濟變數加入，認定為外生的干擾，在此條件下去探討原油價格的衝擊對台灣總體經濟的影響。此外，依據Bernanke et al.(1997)提出的概念，本文將貨幣政策受到油價衝擊的干擾加以排除之後，探討台灣央行貨幣政策在排除干擾與未排除干擾下的反應，以及油價衝擊對於實質產出的影響。
由未排除油價衝擊干擾貨幣政策下的衝擊反應函數圖中可看出，當油價衝擊發生時，在政府控管油價下，台灣產出在當期不會有立即的衰退，但在三期到十六期發生衰退反應，也說明了長期下即使政府介入，油價上揚的效應依然會反應在經濟體系上，對於國內產出造成衝擊。此外，也發現油價上揚對於台灣貨幣政策產生了干擾，央行貨幣政策會對於油價衝擊所造成的經濟波動作出回應，有了反饋效果。本文將貨幣政策受到經濟波動的干擾消除之後，在衝擊反應函數圖與預測誤差變異數分解表中可發現產出受到油價衝擊較不顯著，亦即當貨幣政策不因市場干擾作出過度回應時，國內產出波動較為穩定。
研究結果顯示，當面臨油價負面衝擊，將帶來通膨壓力及產出衰退的影響。在回應經濟衝擊的系統性貨幣政策有效下，物價穩定及經濟發展皆為央行最終目標，央行在追求物價穩定的同時，所帶來產出衰退的代價實不能忽略。

關鍵字

油價衝擊 ； 貨幣政策 ； 衝擊反應函數

並列摘要

Taiwan is a country depends on imported crude oil. In order to avoid the economic fluctuation caused by the oil prices, the government always controls the oil prices in Taiwan.
Hamilton (1980) suggested that the oil shock led the declines of GDP in the post-war in U.S. and risen the unemployment rate and high inflation. Bernanke et al. (1997) suggested that all the recessions in the past thirty years in U.S. were caused by both the increasingly oil prices and the restrictive monetary policy.
For a small open economy like Taiwan, it is not possible for being able to avoid the international economic disturbances. This thesis uses a SVAR model (structural vector autoregressive model, hereinafter referred to SVAR), and refers to the settings of the small and the large open economy suggested by Gandolfo (1986), Cushman, and Zha (1995). By applying these parameters, we study the impact of oil prices on macroeconomic of Taiwan. In addition, according to the approach proposed by Bernanke et al. (1997), we show that it provides reasonable results for the analysis of shocks to monetary policy and oil prices. Particularly, we find that the response of the endogenous monetary policy can account for a very substantial portion of the depressing effects of oil prices shock on the real economy. Furthermore, we discuss both the reaction of the ruled out and non exclude interference for the monetary policy of Central Bank of Taiwan (CBC), as well as the impacts of oil prices in output.
From the Impulse–Response function, we can find that when the oil shock occurred, the output of Taiwan did not decline immediately, but happened in 3-16 phase. The response of recession also shows that even under a long-term government intervention, the oil shock still leads the declines in the domestic output. Besides, we also find that once the rising oil prices make disturbances to the monetary policy of Taiwan, the monetary policy of CBC will response to the impact of the oil prices that caused by fluctuations in the economy. In this thesis, we try to eliminate the disturbances of monetary policy caused by the oil shock, and result in the less significant impact on the oil shock from the Impulse–Response function and the variance-decomposition proportions. This means if the monetary policy does not interfere with the market response excessively, the fluctuations in domestic output are more stable.
The result shows that when the oil shock comes up, it will bring about the inflation and the recession of output. In response to the economic impact of systematic monetary policy effectively, both the price stability and economic development are the ultimate goals of CBC. However, when CBC is looking for the price stability, the cost caused by the recession of economy should not be ignored.

並列關鍵字

oil shock ； monetary policy ； impulse response function

參考文獻

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