| Summary: | 碩士 === 國立屏東商業技術學院 === 國際企業所 === 97 === Taiwan depends on importing energy. Besides, crude oil prices become higher and higher recently, and we also want to examine the effect of changes of crude oil prices to the economy in Taiwan. We use the monthly data in this paper which is from January in 1986 to February in 2009, and we use unit root test, cointegration test, vector error correction model, and Granger causality test to see if there is a shock to the macroeconomic variables in Taiwan about the volatility of crude oil prices. And our macroeconomic variables include industrial production, unemployment rate, consumer price index, wholesale price index, Taiwan’s weighted stock index and exchange rates.
The cointegration test shows that there are long run equilibrium relationships between crude oil price, industrial production, consumer price index, Taiwan’s weighted stock index and exchange rates. From the vector error correction model, we can find that when the lag length is 1, oil price significantly influences the industrial production and unemployment rate in Taiwan. Finally, the results for the empirical test shows that oil price significantly Granger cause the industrial production, wholesale price index and exchange rates.
We can conclude that the change of crude oil prices is a significantly negative correlation with output of industry, and has a shock to the economy in Taiwan. Therefore, our common issue is to decrease the demand of crude oil and find another substituted energy.
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