| 摘要: | 近年來物價上漲，再加上疫情升溫下，臺灣亦面臨輸入性通膨之壓力。因此，本研究加入整體CPI及其七大分類，並應用自我迴歸分配落階模型（Autoregressive Distributed Lag Model, ARDL）及門檻迴歸模型（Threshold Regression Model），探討進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率對整體CPI年增率及其七大分類年增率所造成長短期之影響，以及檢驗進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率變動時，對國內物價的轉嫁程度。ARDL模型結果顯示，長期而言，進口物價年增率對整體CPI年增率、CPI–居住類與雜項類年增率之關聯性較高，CPI–交通及通訊類年增率則受進口物價年增率及國際油價年增率為正向顯著關係；門檻迴歸模型結果顯示，整體CPI及其七大分類年增率與進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率可區分為「高通膨高轉嫁」、「無門檻效果」及「低通膨高轉嫁」之現象。另外，整體CPI年增率於高通膨時期受進口物價、新台幣兌美元即期匯率及國際油價年增率較有影響，而三者解釋變數於低通膨時期，對CPI–交通及通訊類年增率有較高影響度。最後，高通膨時期CPI–食物類、教養娛樂類年增率受新台幣兌美元即期匯率年增率有顯著負影響。;In recent years, with rising prices and epidemic, Taiwan is facing imported inflation pressure. This study applies the ARDL Model and Threshold Regression Model to integrate the CPI and its seven categories. This paper investigates the short and long-term effects of the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices on the annual change of CPI and its seven categories, and analyzes the pass-through degree of domestic prices when the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices. From the long-term empirical results of ARDL model, the annual change of import price indices has a high correlation with the annual change of CPI, residence and miscellaneous categories, and transportation and communication categories have a positive and significant relationship with the annual change of import price indices and international oil prices. The empirical results of the Threshold Regression Model show that the annual change of CPI and its seven categories, the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices can be divided into “high inflation pass-through”, “no threshold effect” and “low inflation pass-through”. In addition, the annual change of CPI is more affected by the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices during periods of high inflation. During the period of low inflation, the three explanatory variables have a higher impact on the annual change of the transportation and communication category. Finally, in a period of high inflation, the annual change of the food category, and education and entertainment category has a significant negative impact on the annual change of TWD/USD spot exchange rate. |
