自 2014 年後，油價因為美國開發出開採頁岩油的技術、產油國為了維持市場
占有率，及經濟的放緩的原因，使石油呈現大幅的下跌；且石油為許多財貨的生
產成本，所以不免令人好奇，石油價格波動，會對於經濟以及物價產生何種影響。
本研究主要研究石油價格變動以及石油進口量的變動會對於國內生產毛額以
及消費者物價指數造成何種影響。根據 Johansen 共整合檢定顯示，石油價格、石
油進口量、國內生產毛額，長期下並不具有共整合關係；但是，石油價格、石油
進口量、消費者物價指數，長期則是存在著穩定的均衡關係，因此，本研究針對
石油價格、石油進口量、國內生產毛額建立 VAR 模型；石油價格、石油進口量、
消費者物價指數建立 VECM 模型。Granger 因果檢驗顯示，石油價格與國內生產
毛額具有雙向因果關係；國內生產毛額為石油進口量之單向格蘭傑原因；而石油
價格與石油進口量，對於消費者物價指數呈現獨立關係。

Since 2014, oil prices have fallen sharply due to the development of shale oil
extraction technology in the United States, the increase of production in the OPEC
countries in order to maintain market share and the economic slowdown; Since oil plays
a very important role in production process of many goods, so it is intriguing to
investigate how oil price fluctuations will affect the economy and prices.
This study focuses on the impact of changes in oil prices and oil imports on gross
domestic product and consumer price indexes. According to the Johansen cointegration
test, oil prices, oil imports, and gross domestic production have no long-term
cointegration relationship; however, oil prices, oil imports, and consumer price indexes
have long-term stable equilibrium. Therefore, this study establishes a VAR model for
oil prices, oil imports, and gross domestic production; oil prices, oil imports, and
consumer price indexes establish a VECM model. Granger causality test shows that oil
prices have a two-way causal relationship with gross domestic production; gross
domestic production is a one-way Granger cause of oil imports; and oil prices and oil
imports have an independent relationship with the consumer price index

目錄
論文審定書.............................................................i
誌謝.............................................................ii
摘要.............................................................iii
Abstract.............................................................iv
第一章 緒論.......................................................1
第一節 研究背景................................................1
第二節 研究動機................................................3
第三節 研究目的................................................5
第二章 文獻回顧............................................................6
第一節 石油價格對經濟之影響研究.............................6
第二節 石油價格對物價之影響研究.............................7
第三章 研究方法..................................................9
第一節 研究方法程序...........................................9
第二節 單根檢定..............................................11
第三節 最適落後期.............................................12
第四節 向量自我迴歸模型(VAR)................................13
第五節 向量誤差修正模型(VECM)..............................14
第六節 Granger因果檢定......................................14
第四章 研究結果.................................................16
第一節 資料說明...............................................16
第二節 單根檢定...............................................17
第三節 最適落後期.............................................18
第四節 共整合檢定.............................................19
第五節 向量自我迴歸模型......................................21
第六節 誤差修正模型.....................................24
第七節 Granger因果檢定.....................................26
第五章 結論與建議...............................................27
第一節 結論....................................................27
第二節 建議....................................................28
參考文獻.........................................................29

參考文獻
1. 朗偉芳(2009)。油價衝擊對臺灣物價的影響效果：2000年代與1970年代之
比較。財稅研究，41(6)，112-128。
2. 梁啟源(2009)。能源價格波動對國內物價與經濟活動的影響。中央銀行季
刊，31(1)，9-34。
3. Abseysinghe, T., & Wilson, P. (2000). Econometric Studies Unit Press
Conference, Department of Economics, National University of
Singapore.
4. Bernake, B. S. (1983). Irreversibility, uncertainty, and cyclical Investment.
Quarterly Journal of Economics,98(1),85-106.
5. Bresnahan, T. F., & Ramsey, V. A. (1993). Segment Shifts and Capacity Utilization in the U.S. Automobile Industry. The American Economic Review,83(2),213-218
6. Cunado, J., & Gracia, F. (2003). Do Oil Price Shocks Matter? Evidence for
Some European Countries. Energy Economics ,25, 137-154.
7. Davis, S. J., & Haltiwanger, J. (2001). Sectoral Job Creation and
Destruction Responses to Oil Price Changes. Journal of Monetary
Economics,48(3),465-512.
8. Doroodian, K., & Boyd, R. (2003). The linkage between oil price shocks
and economic growth with inflation in the presence of technological
advances: a CGE model. Energy Policy,31(10),989-1006.
9. Ferderer, J. P. (1996). Oil price volatility and the macroeconomy. Journal of
Economics,18(1),1-26.
10. Hooker, M. A. (1996). What happened to the oil price–macroeconomy
relationship? Journal of Monetary Economy,38,195–213.
11. Hamilton, J. D. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy,91(2),228-248.
12. Hamilton, J. D. (1996). This is what Happened to the Oil
Price-Macroeconomy Relationship. Journal of Econometrics
,113,363-398.
13. Hamilton, J.D. (2003). What is an oil shock? Journal of Econometrics
,113,363-398.
14. Holmes, M., & Wang, P. (2003). Oil Price Shocks and the Asymmetric
Adjustment of UK Output: A Markov-switching approach. International
Review of Applied Economics,17(2),181-192.
15. Krichene, N. (2008). Recent Inflationary Trends in World Commodities
Markets. IMF Working Paper.
16. Lacheheb, M., & Sirag, A. (2019). Oil price and inflation in Algeria: A
nonlinear ARDL approach. The Quarterly Review of Economics and
Finance,73,217-222.
17. Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down:
An Extension of Hamilton's Results. Journal of Political
Economy,97(3),740-744.
18. Miloud, L., & Abdalla. S. (2019). Oil price and inflation in Algeria: A nonlinear
ARDL approach. The Quarterly Review of Economics and Finance,73,217-
222.
19. Olivier, J. B., & Galí, J. (2008). The Macroeconomic Effect of Oil Price
Shocks: Why are the 2000s so different from the 1970s. NBER
Working Paper.