台塑公司月營收與總體經濟之關聯性探討

Abstract

台塑月營收和總體經濟存在密切關係，因此本文針對國際油價、製造業重工業生產指數、匯率、M2餘額及台塑月營收為研究對象，探討其間的因果關係及互動過程。研究架構上，先對國際油價、製造業重工業生產指數、匯率、M2餘額及台塑月營收進行因果關係檢定，並以VAR模型來驗證國際油價、製造業重工業生產指數、匯率、M2餘額及台塑月營收的互動關係，然後再就國際油價、製造業重工業生產指數、匯率及M2餘額對台塑月營收做迴歸分析。本研究利用單根檢定、Granger因果檢定、向量自我迴歸模型、共整合檢定等計量方法建立實證模型。 實證結果所獲得的重要結論如下： 1.油價、製造業重工業生產指數、匯率、M2餘額、台塑月營收間具有共整合關係，表示這些變數波動間存在長期均衡關係。 2.當期與前一期油價對台塑月營收發揮顯著正向影響，顯示當油價持續走高，在台塑公司對原油的採購其避險策略奏效及將高成本轉嫁下游廠商的情況下，雖面臨高油價的成本，台塑月營收仍可在高油價時代，呈現正向的效果。 3.製造業重工業生產指數對台塑月營收發揮顯著正向影響，製造業重工業生產指數代表景氣循環的同時指標，由此可知景氣波動，確實會對台塑月營收產生顯著影響。 4.台塑月營收受本身落後一期顯著負向影響，顯示在公司為平滑年度各月份之營收時，前後期營收易產生明顯負向影響。 5.落後三期M2餘額對台塑月營收發揮顯著正向影響，是因M2餘額是領先指標，而台塑月營收則較似同時指標，因此，落後三期的M2餘額對台塑月營收具有正向遞延效果。

The relationship between the monthly sales of Formosa Plastics Co. and macroeconomy data is very close. This study focus on investigating causal relationship and interaction among international oil price、heavy industry manufacturing production index 、foreign exchange rate、the balance of M2 and the monthly sales of Formosa Plastics Co.. The frame structure of this study, first, we examine the causality relationship among international oil price、heavy industry manufacturing production index 、foreign exchange rate、the balance of M2 and the monthly sales of Formosa Plastics Co. ; second, we test the interaction among international oil price、heavy industry manufacturing production index、foreign exchange rate、the balance of M2 and the monthly sales of Formosa Plastics Co.; ultimately we use regression to examine effects on international oil price、heavy industry manufacturing production index、foreign exchange rate、the balance of M2 and the monthly sales of Formosa Plastics Co.. In this study, the empirical model is derived from the quantitative methods such as Unit Root Test, Granger Causality Test, Vector Autoregression Model and Cointegration Test. Following conclusions can be drawn from this empirical results: 1.It is significant evidence that the international oil price、heavy industry manufacturing production index、foreign exchange rate、the balance of M2 and the monthly sales of Formosa Plastics Co. have cointegration relationship. From the cointegration test result, it also reveals the equilibrium do exists among the five variables in the long term. 2.The oil price of current and prior period have significant positive effects on the monthly sales of Formosa Plastics Co. It means that when the oil price goes up, the hedge strategies of purchasing oil and the cost transferring to down stream vendors of the Formosa Plastics Co. will succeed. As a result, although in the high cost of oil price environment, the Formosa Plastics Co can still have positive effects. 3.The heavy industry manufacturing production index has positive effects on the monthly sales of Formosa Plastics Co. and this index represents the in time indicator of economic cycle. From this point of view, it can also prove that economic cycle has significant impact on the monthly sales of Formosa Plastics Co. 4.The monthly sales in afterward period of Formosa Plastics Co. has negative effects on the monthly sales itself. It reveals that the monthly sales in the prior and afterward period have significant negative effects during smooth year. 5.The balance of M2 lagging for three terms has significant positive effects on the monthly sales of Formosa Plastics Co.. Due to the balance of M2 is leading indicator and the monthly sales of Formosa Plastics Co. likes in time indicator. As result, the balance of M2 lagging for three terms has positive extend effects.