國際原油價格衝擊對台灣石油消費量的不對稱效果

The Asymmetric Effects of Oil Prices Shocks on the Oil Consumption in Taiwan

10.7086/TJAE.201112.0058

黃琝琇(Wen-Hsiu Huang)；林建甫(Jeff Chien-Fu Lin)

油價 ； 石油消費 ； 不對稱共整合 ； 不對稱誤差修正模型 ； Oil price ； Oil Consumption ； Asymmetric Cointegration ； Asymmetric Error Correction Model

應用經濟論叢

90期（2011 / 12 / 01）

55 - 92

繁體中文

本文探討原油價格衝擊對於台灣石油消費量的不對稱效果，石油消費變數包含國內石油消費總量與各部門的石油消費量。研究方法分為三個部份，包括Schorderet（2004）、Granger and Lee（1989）及Enders and Siklos（2001）提出的不對稱效果分析模型。實證結果發現：第一，原油價格漲跌與石油消費量之間的確存在著長期不對稱關係；第二，國際原油價格較國內油品價格對石油消費量更具解釋力。第三，石油消費量對於油價上漲的敏感度高於對油價下跌。第四，就部門別觀察，不同部門別的石油消費量對油價反應不同。其中，運輸與工業部門的石油消費量對國際油價反應，不但具顯著性且長期調整存在不對稱性。政策意涵方面，意謂政府除了應減少對油價干預之外，亦應重新檢視相關優惠或補貼措施是否仍有必要，以讓國內油品價格能真實反映國際油價。其次，對油價上漲較為敏感的運輸與工業部門，應優先輔導產業轉型，提高能源使用效率，降低對石油依賴程度，或鼓勵替代能源使用。

This paper analyzes the asymmetric effects of oil prices shocks on the oil consumption in Taiwan. In order to investigate the fact that the oil consumption responds asymmetrically to oil prices shocks, we employ three kinds of empirical methods which are proposed by Schorderet (2004), Granger and Lee (1989), and Enders and Siklos (2001), respectively. The empirical results can be listed as following: First, there is evidence for the asymmetric cointegration relationships between crude oil prices and the oil consumption. Second, the crude oil prices have more power than the prices of domestic oil product to explain the behavior of oil consumption in Taiwan. Third, the asymmetric error correction models indicate that the long-run asymmetric effects of oil prices on the oil consumption exist. When the error correction terms leave above the long-run equilibrium, the adjustment speeds are faster than that below the long-run equilibrium. This means that the oil consumption responds faster when oil prices rise than fall. Forth, the oil consumption of transportation and industry department respond to crude oil prices significantly and asymmetrically in the long run.

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