臺灣博碩士論文加值系統

近幾年，因OPEC 卡特爾組織未達成石油供給協議，因此石油價格大幅下跌，
而且台灣央行也降息來刺激通膨的背景，本文使用台灣資料並建構新興凱因斯菲利
普曲線模型來探究油價與利率對於國內通貨膨脹的傳遞效果，放入油價結構性改變
的虛擬變數後，油價係數有明顯的轉變，並利用滾動窗口來觀察不同消費部門受到
利率與油價的傳遞效果強弱。實證結果顯示，油價與利率對於各部門的長期傳遞效
果不顯著，而油價短期傳遞效果是沒有持續性的下降趨勢。

In recent years, oil prices have fallen sharply after members of the OPEC cartel failed to reach an agreement on how to tackle the global supply glut,and Taiwan central bank lowered interest rates to stimulate inflation. This paper uses data from Taiwan to investigate oil price and interest rate pass-through into inflation, which based on New Keynesian Phillips curve Model, also use structural change test to investigate oil price coefficient has significant change. The empirical results provide oil price long-term pass-through effect is not significant, but short-term oil pass-through effect is significant. On the contrary, long-term interest pass-through effect is not significant, and short-term interest pass-through effect is significant. This paper also use rolling window, and find that oil price short-term oil pass-through effects into various basic sub-indices do not decrease substantially.

1 緒論 5
1.1 研究動機 5
1.2 研究目的 7
2 文獻回顧 8
2.1石油價格因素的探討 8
2.2貨幣政策因素的探討 12
2.3 產出效果的探討 13
2.4 小結 14

3 理論與模型 16
3.1 經濟理論 16
3.1.1菲利普曲線的演進 17
3.1.2貨幣政策目標機制 18
3.2 實證模型 20
3.3 時間序列方法 23
3.3.1 單根檢定 24
3.3.2 最適遞延項的選取 25
3.3.3 共整合檢定 26
3.3.4 結構性改變檢定 27

4 實證結果 28
4.1資料說明 28
4.2單根檢定 33
4.3 Johansen共整合檢定 35
4.4 油價、利率與薪資對通貨膨脹的傳遞效果 36
4.5 油價的結構性改變檢定 41
4.6 油價對通貨膨脹在時間變動下的傳遞效果 43

5 結論與建議 51

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