臺灣博碩士論文加值系統

本研究的目的是應用一種結合頻率範疇 (frequency domain) 的頻譜帶迴歸 (band spectrum regression, BSR；Engle, 1974)，以及時間範疇的向量自我迴歸(vector autoregression；VAR) 方法，探討台灣及美國能源消費與總體經濟變數間，在長、短期的動態關聯性。也就是說，本研究係在傳統的向量自我迴歸模型的架構下，透過頻譜分析過濾變數不同週期的變動成份，再進行變數間的關聯分析；此外，也透過變數間的交叉頻譜分析，探討能源消費與總體經濟間的領先落後期數關係。本研究在能源消費方面主要採用的分析變數為總能源消費量，而在總體經濟變數方面所採用的變數除了能源價格以外，尚包含貨幣供給 (M2) 及實質工業生產指數，資料頻率主要為月資料，至於研究期間則是從1982年1月至2001年9月止。
本研究的分析結果顯示，在台灣的部份，長期貨幣供給變動會影響能源消費的變動，而全週期 (短、中及長期) 的實質工業生產指數變動均不會影響能源消費的變動，中期的能源價格波動則會影響能源消費的波動；至於在美國方面，全週期的貨幣供給變動皆不會影響能源消費的變動，各週期能源消費變動也不會影響實質工業生產的變動，然而能源價格在全週期均會影響能源消費的變動。
由上述可知，台灣及美國由於天然資源、產業結構和經濟發展程度上的差異，因此能源消費與總體經濟變數間的關係在不同週期之下呈現不同的面貌；此外，在交叉頻譜分析的結果部份，台灣能源消費皆領先各總體經濟變數的變動，而美國則是能源消費變動落後總體經濟變數的變動。

The objective of this thesis is to apply a research method that integrates band spectrum regression (BSR, a frequency domain approach) and vector autoregression (VAR, a time domain approach) to analyze the long-term and short-term dynamic linkages between energy consumption and macroeconomic variables in Taiwan and the United States. Based on the vector autoregression model, we first filter out frequencies of variable series by spectral analysis, and then convert the filtered series into time domain representations for conducting linkage analysis among variables. We also use cross-spectral analysis to estimate the lead-lag structures of two variable series at different frequencies. Variables included in this study are: total energy consumption, energy price, M2 and real industrial production. Monthly data covering periods from 1980:01 to 2001:09 are used for empirical estimation and analysis.
The results of this study reveal that, in Taiwan, long-run change in money growth will affect energy consumption. However, the change in real industrial production (no matter it is short-, mid-, or long-term change) will not affect energy consumption, whereas the mid-term energy price change will affect energy consumption significantly. For the United States, the results indicate that the change in money growth will not affect U.S. energy consumption. Change in energy consumption also will not affect real industrial production as well. However, changes in energy price do have significant effect on energy consumption.
Due to the existence of differential endowment in natural resources, difference in industrial structures, and differential level of economic development between Taiwan and the United States, we did find different linkage relationship between energy consumption and macroeconomic for the two economies. In addition, the results of cross-spectral analysis show that Taiwan’s energy consumption leads all macroeconomic variables, while the results are reversed for the United States.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 8
第三節 研究架構與流程 9
第二章 能源與經濟關聯之跨國比較 11
第一節 能源消費之差異來源 11
第二節 能源與經濟之現況 14
第三章 文獻回顧 23
第一節 能源價格與總體變數 23
第二節 能源消費與總體變數 24
第四章 研究方法 28
第一節 頻譜分析與VAR模型 28
第二節 結合VAR與頻譜帶迴歸 (band spectrum regression) 30
第三節 交叉頻譜分析 (cross-spectral analysis) 32
第五章 實證結果與分析 35
第一節 資料來源與說明 35
第二節 台灣與美國之能源消費與總體變數間動態關聯性 36
第三節 領先及落後之實證分析 45
第六章 結論與建議 48
第一節 結論 48
第二節 未來研究方向 50
參考文獻 61

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