國際油價與消費者分類物價指數之關聯分析

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题名:	國際油價與消費者分類物價指數之關聯分析
作者:	彭曄;Ya,Peng
贡献者:	產業經濟研究所在職專班
关键词:	單根檢定;共整合檢定;消費者分類物價指數;ADF unit root test;cointegration test;consumer price index
日期:	2015-11-13
上传时间:	2016-01-05 18:03:43 (UTC+8)
出版者:	國立中央大學
摘要:	台灣自民國建國以來僅發展百來餘年，在歷史的變遷及人類的開發之下，逐漸形成小型開放經濟體，發展歷程受到美、日等世界強國影響極深，也因此台灣曾榮獲亞洲四小龍之美譽，於世界經濟發展佔有一席之地，惟經濟發展所必備的天然資源貧乏，逾98%之能源供給須仰賴國外進口支應，尤其是生活中處處所需的石油，佔總能源消費比例超過40%，除作為運輸原料之外，許多民生必需財貨多以提煉原油作為生產原料之一，是故當國際油價若產生劇烈漲跌時，難免引發外界對物價通貨膨脹的疑慮。　　本文主要探討國際油價劇烈漲跌對台灣消費者物價指數是否為形成通貨膨脹主因及長期均衡之關係，有別於過去多利用行政院主計處七大類消費者物價指數作為討論主軸，研究者延伸運用40項中類物價分類指數進行研究，計量方法則採納ADF單根檢定及Engle-Granger共整合檢定，研究期間為2009年1月至2014年6月之月資料。　　ADF單根檢定結果顯示相關變數至少在一階差分後成為定態資料，重貼現率則為二階差分序列。Engle-Granger共整合檢定實證結果發現，「衣著類、教養娛樂類、雜項類」及「穀類及其製品、肉類製品、食用油、酒、非酒精性飲料及材料、其他食品、成衣、鞋類、家庭管理費用、教養費用、娛樂費用、美容及衛生用品」等與國際油價間具有長期均衡關係。最後，物價指數消長可能不全與國際油價有必然關係，但長期時，國際油價與物價指數間具有收斂關係，代表國內經濟受到國際原油價格波動而可能導致長期性通貨膨脹的來臨。;Taiwan is a small open economy and more than 98% of the energy supply to import as poor natural resource, especially those living in the oil needed everywhere, 40% over the proportion of total energy consumption. The oil is raw materials as transportation and essential goods. People will inevitably concern about inflation when if the oil prices have a dramatic ups and downs. This paper discusses the relationship between the dramatic ups and downs of oil prices and CPI inflation in Taiwan whether the main reason of long-term equilibrium. The few study had used seven categories the consumer price index to discuss the change of oil price. Researcher uses 40 consumer price index to analysis with ADF unit root test and Engle-Granger cointegration test for study period was January 2009 to June 2014 as month data. The variables are in a stationary by ADF unit root test at least through the first difference, discount rate is integrated of second-order. EG cointegration test shows that "clothing, education and entertainment category, miscellaneous category" and "cereals and their products, meat products, edible oil, wine, non-alcoholic drinks and materials, other food, clothing, footwear, home management expenses, education expenses, entertainment expenses, beauty and hygiene products" and oil price are cointegrated. Results indicates consumer price index may not only have a certain relationship with the oil prices, but in the long run that is convergence relations among oil price and consumer price index means that the economic may cause inflation by crude oil price fluctuations.
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