本文建構二元方程式的向量自我迴歸模型(vector autoregressive model, VAR)，利用實質油價正成長率變數與實質淨油價正成長率變數，探討油價衝擊對總體變數的影響，並探討台灣總體經濟是否對油價衝擊具有不對稱性反應。此外，在文中我們也試圖探討在不同時間頻率，及不同油價的資料，是否會有不同的實證結果。
我們利用1982-2015之季資料與月資料，變數包含出口、進口、國內生產毛額與台灣工業生產指數。本文發現採用不同時間頻率與油價數據會有不相同之結果。若是利用能源礦產類指數之季資料來衡量油價波動，油價衝擊對國內生產毛額和出口，無明顯不對稱影響，但若利用月資料，則油價衝擊對台灣工業生產指數、出口及進口會有不對稱影響。採用西德州原油價格作為油價衝擊則較易發現台灣總體經濟對油價的不對稱反應。

The purpose of this paper is to investigate the effects of the oil-price shocks on the macroeconomy of Taiwan and test whether the effects are asymmetric. To the ends, we build a bivariate non-linear vector autoregression model developed by Kilian and Vigfusson (2011). We measure the non-linear effects of oil-price shocks by introducing oil prices increases or the net oil price increases proposed by Mork (1989) and Hamilton (1996) into the model.

We measure the real macroeconomic activities by using the GDP, industrial production index, imports, and exports during 1982 to 2015. We also examine the robustness of our results by using data of alternative sources and frequencies. Our findings suggest that if oil prices are measured by the quarterly data on Imported Energy Minerals Price Index, there is no significant evidence on the asymmetry of the effects of oil price shocks on GDP and exports. In contrast, if oil prices are measured by the West Texas Intermediate crude oil price or the monthly data on the Imported Energy Minerals Price Index, our findings suggest that the asymmetry of macroeconomic effects of oil price shocks is more likely to be significant.

1.緒論--1
2.實證方法--5
2.1資料敘述--5
2.2模型建構--8
2.3非線性衝擊反應之計算--10
2.4不對稱衝擊之檢定--11
3.實證結果--11
3.1 實質油價正成長之非線性效果--11
3.2一年之實質淨油價正成長的非線性效果--14
3.3三年之實質淨油價正成長率的非線性效果--16
3.4小結--18
4.月資料及西德州原油價格--18
4.1月資料--19
(1) 實質油價正成長之非線性效果--19
(2) 一年之實質淨油價正成長的非線性效果--21
(3) 三年之實質淨油價正成長的非線性效果--23
4.2 西德州原油價格(WTI)--25
(1)季資料--25
(a)實質油價正成長之非線性效果--25
(b)一年之實質淨油價正成長的非線性效果--27
(c)三年之實質淨油價正成長的非線性效果--29
(2)月資料--31
(a)實質油價正成長之非線性效果--31
(b)一年之實質淨油價正成長的非線性效果--34
(c)三年之實質淨油價正成長的非線性效果--36
5.結論--40
6.參考文獻--41

中文
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2.梁啟源.（2009）.「能源價格波動對國內物價與經濟活動的影響」.中央銀行季刊, 31(1), 9-34.
3.陳虹均, 郭炳伸, & 林信助. (2012). 能源價格衝擊與臺灣總體經濟. 臺灣經濟預測與政策, 42(2), 1-36.
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5.黃俊豪. ( 2014 ) .石油價格波動對台灣經濟景氣的影響.國立清華大學經濟學碩士論文.
英文
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