臺灣博碩士論文加值系統

本文使用2000年9月至2006年9月之月資料來檢驗在台灣油品市場中原油成本與汽油零售價間是否存在價格調整不對稱之現象。若有，又是價格傳遞中的哪個階段所造成？藉由建立誤差修正模型及累積調整函數，我們首先發現汽油零售價對原油成本上漲的反應確實快於對原油成本下跌的反應，這結果和一般大眾的印象是相符的。接下來我們進一步發現在價格傳遞的第一階段和第二階段都存有價格調整不對稱的現象，但第一階段仍需為原油成本與汽油零售價間價格調整不對稱性負主要的責任，因為該階段價格調整不對稱的情形較第二階段嚴重。

This study uses monthly data from September 2000 to September 2006 to examine whether the price adjustment asymmetries exist between crude oil costs and retail gasoline prices in Taiwan. If they do, which price transmission leads to the result? By establishing the error correction models and cumulative adjustment functions, it is first found that retail gasoline prices do respond more quickly to increases than to decreases in crude oil costs. The evidence supports the common belief of the public. Next the results reveal that the price asymmetries exist in both the first stage and the second stage. However, the adjustments of wholesale gasoline prices to changes in crude oil costs are mostly responsible for the price adjustment asymmetries between retail gasoline prices and crude oil costs. It is because the problem of price adjustment asymmetries is more serious in the first stage than in the second stage.

Title Page i
Letter of Approval ii
Letter of Authority iii
Abstract iv
Acknowledgements v
Contents vi
List of Tables viii
List of Figures ix

Chapter 1 Introduction 1
1.1 Motivation & Purpose 1
1.2 Research procedure 2
Chapter 2 Literature Review 4
Chapter 3 An Overview of the Market 11
3.1 Background 11
3.2 Supply chain 11
3.3 Pricing 12
3.4 CPC & FPCC 15
Chapter 4 Research Methods 19
4.1 Unit root tests 19
4.1.1 Dickey-Fuller tests 20
4.1.2 Augmented Dickey-Fuller tests 21
4.1.3 Phillips-Perron tests 22
4.2 Cointegration tests 22
4.2.1 Engle-Granger cointegration tests 23
4.2.2 Johansen cointegration tests 24
4.3 Error correction models 27
4.4 Selection of lag length 28
4.5 Diagnostic tests 30
4.5.1 Jarque-Bera test 30
4.5.2 Ljung-Box Q test 30
4.5.3 ARCH-LM test 31
4.5.4 CUSUM of squares test 31
Chapter 5 Empirical Results and Discussion 33
5.1 Data description 33
5.1.1 Data period 33
5.1.2 Crude oil costs 33
5.1.3 Wholesale prices and retail prices 34
5.1.4 The definitions of variables 35
5.2 The effects of crude oil price changes on retail gasoline prices 37
5.2.1 Unit root tests 37
5.2.2 Cointegration tests 37
5.2.3 Error correction models 39
5.2.4 Diagnostic tests 43
5.3 The transmission of crude oil costs to wholesale gasoline prices 45
5.3.1 Unit root tests 45
5.3.2 Cointegration tests 46
5.3.3 Error correction models 47
5.3.4 Diagnostic tests 50
5.4 The reaction of retail gasoline prices to wholesale gasoline prices 52
5.4.1 Unit root tests 52
5.4.2 Cointegration tests 52
5.4.3 Error correction models 52
5.4.4 Diagnostic tests 56
5.5 Discussion 58
Chapter 6 Conclusion 61
References 63

Chinese
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