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系統識別號 U0002-1707201800292600
中文論文名稱 石油價格對美國通貨膨脹之影響分析
英文論文名稱 An Analysis of the Effect of Oil Price Fluctuations on US Inflation
校院名稱 淡江大學
系所名稱(中) 美洲研究所博士班
系所名稱(英) Graduate Institute of The Americas
學年度 106
學期 2
出版年 107
研究生中文姓名 周思廷
研究生英文姓名 Sih-Ting Jhou
學號 899250020
學位類別 博士
語文別 英文
口試日期 2018-06-22
論文頁數 152頁
口試委員 指導教授-柯大衛
指導教授-廖惠珠
委員-萬哲鈺
委員-陳思寬
委員-張四立
委員-林亦珍
中文關鍵字 油價衝擊  油價  向量自我迴歸  通貨膨脹 
英文關鍵字 Oil Price Shock  Oil Price  VAR  Inflation 
學科別分類
中文摘要 本論文旨在討論石油價格對美國通貨膨脹之影響及瞭解油價對通貨膨脹之傳遞管道。依通貨膨脹為經濟中連續及持續的一般物價百分比變化之定義,為取得符合定義之通貨膨脹,本論文使用HP濾波法,將短期波動之物價變化刪除,以並進一步使用評估透過兩個不同管道:貨幣數量成長及貨幣流動速度成長之變化。

本論文研究油價對於通貨膨脹之影響,其調查期間自1987年1月至2017年12月,共有691筆月資料及121筆季資料。實證方法採雙變數及多變數向量向我回歸(VARs),並分別假設油價為內生變數及外生變數,以及比較其使用指數平滑法與否的差異。本研究之雙變數VAR透過比較不同之CPI子項目,以瞭解油價對CPI於不同時期、項目之影響。另外,本論文以多變數VAR評估油價對美國通貨膨脹之傳遞效果。當油價假設為內生、外生變數之主要差異為當油價為外生變數時,美國聯準會採用通貨膨脹目標機制(inflation targeting),減少貨幣供給以避免通貨膨脹發展;而當油價為內生變數時,則發現Fed因擔心經濟衰退,故增加貨幣供給。
英文摘要 This dissertation aims to understand the relationship between oil price and inflation in US and examines how the oil price transits the effect on the inflation rate in US. According to the definition "Inflation is the continuous and sustained percentage change in the general level of prices in the economy", this dissertation uses Hodrick-Prescott (H-P) filter to split the series into trend and cycle to omit the price level rising by jumps. Then, we use two main separate channels to evualuate the money growth and the growh in velocity.

This research investigates the effects of oil price on inflation over the period from 1987 January to 2017 December, which consists of 691 monthly observations and 121 quarterly data. The empirical work uses both bivariate and multivariate VARs. The analyses can be split into filtered and unfiltered data, as well as exogenous and endogenous assumptions on oil prices. The bivariate VAR is applied to compare different periods and the different CPI sub-indexes to understand the effect on different CPI sub-indexes in separate times. Additionally, the multivariate VAR is implemented to measure the impact of oil price on general US price inflation, and it expands the growth or decline in the real demand for money relative to the growth of money itself.

A major difference is found between assuming endogeneity and exogeneity for oil prices. If oil is exogenous, then the channel 1 seems to favor an expectations-based explanation which means the Fed sees possible higher inflation in the future and restricts monetary growth relative to output growth. There is inflation targeting. Growth in velocity tends to inversely mirror this with a positive growth in velocity as the result.

If oil is endogenous, we find a surprising reversal. Channel 1 with money growth minus output growth becomes positively related to oil price increases. This is consistent with a Fed that is fighting recession. Higher oil prices cause reductions in growth and in response money is expanded to mitigate the recession.
論文目次 Table of Contents IV
List of Figures V

Chapter 1 Introduction 1
1.1 US Economy and Global Oil Price 1
1.2 US Economy and Inflation 8
1.3 Research Motivation 12
1.4 Research Framework and Research Limitations 13
Chapter 2 Literature Review 18
2.1 Oil Shocks Impact 18
2.2 Transmission Channels 18
2.3 The Effect of Oil Shocks on Inflation 21
Chapter 3 Theories on How Oil Price Inflation Impacts General Price Inflation 29
3.1 Jumps vs. Changed Slopes in the Price Level 29
3.2 Transformations to Achieve an Appropriate Inflation Measure 40
3.3 Cost-Push Inflation and the Wage-Price Spiral 46
3.4 The Quantity Theory of Money as a Transmission Mechanism 58
3.5 Subchannels Transmission of Oil Inflation on General Inflation 67
3.6 Summary of Theories on How Oil Price Inflation Impacts General Price Inflation 71
Chapter 4 Empirical Analysis and Findings 74
4.1 Data Description 74
4.2 Empirical Model and Method 77
4.3 Engle–Granger Tests 78
4.4 Empirical Results-Bivariate VARs Growth in Oil Price and Price Levels 79
4.5 Multivariate VAR Modeling 105
4.6 Summary of Bivariate and Multivariate Analysis 125
Chapter 5 Conclusion 129
Reference 134
Appendix 142

List of Figures
Figure 1.1.1 Nominal Crude Oil Prices: West Texas Intermediate (1960 – 2018) 3
Figure 1.1.2 World and US Oil Production from 1970 to 2017 6
Figure 1.2.1 Inflation in US (1960 - 2017) 11
Figure 1.3.1 The Percentage Change in Oil Price and the US CPI 12
Figure 1.4.2 Research Framework 17
Figure 2.1.1 Oil Transmission Channels 19
Figure 2.3.1 The Effect of Oil Price Shocks on Inflation 22
Figure 3.1.1 Zero Inflation or No Change in P = General Price Level 32
Figure 3.1.2 No Inflation with a Jump in the Price Level 34
Figure 3.1.3 Questionable “No Inflation Environment” 35
Figure 3.1.4 Constant Positive Inflation Environment 36
Figure 3.1.5 Positive but Falling Inflation Environment 37
Figure 3.2.1 Natural Logarithm of the US Consumer Price Index,All Items (1982-1984) 41
Figure 3.2.2 Unfiltered US CPI Inflation (MoM) 42
Figure 3.2.3 SACF and SPACF for US CPI 1947:01 – 2017:12 44
Figure 3.2.4 Comparison of B-N filter of Δln(CPI) with Actual Data 45
Figure 3.2.5 Comparison of H-P filter of Δln(CPI) with Actual Data 45
Figure 3.3.1 Unsustainable and Diminishing Cost-Push Inflation 50
Figure 3.3.2 Union Power and a Limited Wage-Price Spiral 51
Figure 3.3.3 AS-AD and an Unsustainable Wage-Price Spiral 52
Figure 3.4.1 Calculated Nominal Before-Tax Return on Wealth: rW 63
Figure 3.4.2 The Fraction of Transferrable Wealth Held as Money: 65
Figure 3.4.3 The Share of Income Going to Wealth Holders: SW 66
Figure 3.5.1 Flowchart of Channels to Inflation 68
Figure 4.4.1 Impulse Response for the VAR- CPI-All and WTI(Filtered Data) 83
Figure 4.4.2 Impulse Response for the VAR- CPI-All & WTI (Unfiltered Data) 85
Figure 4.4.3 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data) 87
Figure 4.4.4 Impulse Response for the VAR- CPI-Durable & WTI (Unfiltered Data) 89
Figure 4.4.5 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data) (1987-2008) 91
Figure 4.4.6 Impulse Response for the VAR- CPI-Durable & WTI (Filtered Data) (2009-2017) 93
Figure 4.4.7 Impulse Response for the VAR- CPI- Consumer Electricity Price & WTI (Filerted Data) 95
Figure 4.4.8 Impulse Response for the VAR- CPI- Energy & WTI (Filtered Data) 97
Figure 4.4.9 Impulse Response for the VAR- CPI- Food & WTI (Filtered Data) 99
Figure 4.4.10 Impulse Response for the VAR- CPI- Fuel Oil & WTI (Filtered Data) 101
Figure 4.4.11 Impulse Response for the VAR- CPI- Fuel Oil & WTI (Unfiltered Data) 103
Figure 4.4.12 Impulse Response for the VAR- CPI- Fuel and Utility & WTI (Filtered Data) 105
Figure 4.5.1 The Relation between θ and V 118


List of Tables
Table 2.3.1 Relationship between Oil Price Shocks and Inflation-Cross Countries Studies 25
Table 2.3.2 Relationship between Oil Price Shocks and Inflation-Single Country Studies 27
Table 3.5.1 Percent Impact of Transmission Channels 69
Table 4.1.1 Summary Statistics (for Monthly Data) 76
Table 4.1.2 Summary Statistics (for Quarterly Data) 76
Table 4.1.3 ADF Unit Root and Engle-Granger Cointegration Tests 78
Table 4. 4. 1 Bivariate Granger Causality Tests –CPI-ALL & WTI (Filtered Data) 82
Table 4.4.2 Bivariate Granger Causality Tests –CPI-ALL & WTI (Unfiltered Data) 84
Table 4.4.3 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data) 86
Table 4.4.4 Bivariate Granger Causality Tests –CPI-Durable& WTI (Unfiltered Data) 88
Table 4.4.5 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data) (1987-2008) 90
Table 4.4.6 Bivariate Granger Causality Tests –CPI-Durable& WTI (Filtered Data) (2009-2017) 92
Table 4.4.7 Bivariate Granger Causality Tests –CPI-Consumer Electricity Price& WTI (Filtered Data) 94
Table 4. 4. 8 Bivariate Granger Causality Tests –CPI-Energy & WTI (Filtered Data) 96
Table 4.4.9 Bivariate Granger Causality Tests –CPI-Food& WTI (Filtered Data) 98
Table 4.4.10 Bivariate Granger Causality Tests –CPI-Fuel Oil and Other Fuel & WTI (Filtered Data) 100
Table 4.4.11 Bivariate Granger Causality Tests –CPI-Fuel Oil and Other Fuel & WTI (Unfiltered Data) 102
Table 4.4.12 Bivariate Granger Causality Tests –CPI-Fuel and Utility & WTI (Filtered Data) 104
Table 4. 5. 1 Growth of WTI Price as Exogenous to VAR (Filtered) 111
Table 4. 5. 2 Growth of WTI Price as Exogenous to VAR (Unfiltered) 114
Table 4.5.3 Growth of WTI Price as Exogenous to full VAR (Filtered) 115
Table 4. 5. 4 Growth of WTI Price as Exogenous to full VAR (Unfiltered) 117
Table 4.5.5 Growth of WTI Price as Endogenous to VAR (Filtered) 120
Table 4. 5. 6 Growth of WTI Price as Endogenous to VAR (Unfiltered) 121
Table 4. 5. 7 Growth of WTI Price as Endogenous to full VAR (Filtered) 124
Table 4. 5. 8 Growth of WTI Price as Endogenous to full VAR (Unfiltered) 124

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