原油價格波動與總體經濟之關聯性 -以韓國為例

Abstract

原油價格和總體經濟變數之間的關係，隨著兩次石油危機和最近油價的升高而再度引起人們的注意，然而眾多的實證研究多以大型經濟體為主流，例如1983年的Hamilton和1996年的Hooker。本文企圖探究原油價格波動對小型開放體系的影響。本文的研究標的為和台灣同樣屬於小型開放經濟體，並且長期高度仰賴原油進口的韓國，衡量國際油價的波動對其所造成的衝擊與影響。本文將探究原油價格與韓國近二十多年來的總體經濟之關聯性，從原油價格和韓國總體經濟的關聯性分析中，探討原油價格波動和總體經濟的因果關係。 本研究以三種模型，本文考慮三種模型，分別為以Hamilton所利用的GDP方程式模型，以Hooker所用的Var模型，及一般所用的VECM模型來進行因果檢定。探討原油價格與韓國總體經濟的因果關係，在考慮長期資訊下的VECM模型因果分析結果顯示，原油價格波動將會領先韓國的消費者物價指數和實質工資的變化，但對於實質國內生產毛額、進口物價、失業率和貨幣供給並無明顯影響。本文第一章將先說明研究背景、動機和架構，並於第二章進行相關文獻的討論，第三章則先說明所用的研究方法，第四章則是實證研究部分，最後為結論和建議。

The numerous discussion of the relation between crude oil and macroeconomy arose from the two oil crises and the recent high oil price. Nevertheless, the number of studies investigating the effect of oil price shocks on small open industrial economies without oil resources has been rather small. This paper attempts to provide a perspective towards filling the gap by undertaking a detail examination of the effect of oil price fluctuations on the Korea economy. Since Hamilton (1983) and Hooker (1996) offered the different points of views on the oil price-economy relationship, this paper constructs three models which use Hamilton’s approach, Hooker’s approach and a typical VECM model. The results from the VECM model indicate that oil prices Granger cause CPI and real wage, but GDP, imported price index, unemployment rate and money supply do not have this characteristic. In doing so, we first review some of the theoretical issues in the economics of oil price in Chapter 2 of this thesis. In Chapter 3, we explain the methodology we used in the thesis. In Chapter 4, we examine the existence (or lack thereof) of Granger-causal relationships between oil price fluctuations and a large number of Korea macroeconomic variables. Chapter 5 concludes.