Title: Asymmetric impacts of international energy shocks on macroeconomic activities
Authors: Yeh, Fang-Yu
Hu, Jin-Li
Lin, Cheng-Hsun
Institute of Business and Management
Keywords: Energy price shocks;Multivariate threshold error correction model (MVTECM);Asymmetry
Issue Date: 1-May-2012
Abstract: While limited by its scarcity of natural resources, the impacts of energy price changes on Taiwan's economic activities have been an important issue for social public and government authorities. This study applies the multivariate threshold model to investigate the effects of various international energy price shocks on Taiwan's macroeconomic activity. By separating energy price changes into the so-called decrease and increase regimes, we can realize different impacts of energy price changes and their shocks on economic output. The results confirm that there is an asymmetric threshold effect for the energy-output nexus. The optimal threshold levels are exactly where the oil price change is at 2.48%, the natural gas price change is at 0.66%, and the coal price.:hange is at 0.25%. The impulse response analysis suggests that oil price and natural gas shocks have a delayed negative impact on macroeconomic activities. (C) 2012 Published by Elsevier Ltd.
URI: http://hdl.handle.net/11536/16332
ISSN: 0301-4215
Volume: 44
End Page: 10
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