4 Empirical Results
4.3 Two-regime VAR analysis
4.3.4 Results of the Parameter Stability Tests
We use the Pesaran and Pesaran (1997) tests for general parameter stability.
They suggest applying the cumulative sum of recursive residuals (CUSUM) and the CUSUM of square (CUSUMSQ) tests proposed by Brown et al. (1975) to assess the parameter constancy. The CUSUM and CUSUMSQ tests both plot the cumulative sum together with the 5% critical lines to find parameter instability if the cumulative sum goes outside the area between the two critical lines. Assuming there are k parameters in the model, the CUSUM test is based on the statistic:
1
where
r is the recursive residual and s is the standard error of the regression fitted to all T sample points. The significance of any departure from the zero line is assessed by reference to a pair of 5% significance lines, and the distance between which increases with t. The CUSUM of squares test is:2 2
The expected value of st under the hypothesis of parameter constancy is
( )
t( ) ( )
E s t k T k
,which goes from zero at t=k to unity at t=T. The significance of the departure from its expected value is assessed by reference to a pair of parallel straight lines around the expected value.
Figure 4.4 plots the CUSUM and CUSUMSQ statistics when energy price is the dependent variable and energy price changes are less than or equal to c* (regime one).
The results indicate no instability in the coefficients as the plots of the CUSUM and CUSUMSQ statistics are confined within the 5% critical bounds of parameter stability.
On the other hand, when energy price changes exceed the threshold value c* (regime two), the graphical representations of the tests are plotted in Figure 4.5. Both the CUSUM and the CUSUMSQ plots are confined within the 5% critical bounds, suggesting that the residual variance is somewhat stable over time. In other words, if
there is a structural break, then they will tend to drift above the bounding lines at the 5% level of significance. As shown in Figure 4.4, both tests suggest that the null hypothesis of the absence of a structural break cannot be rejected at the 5% level of significance. Thus, the models are stable over time. It appears that applying two-regime error correction models does not suffer from any problem caused by a structural break. Similar conclusions can be found from Figure 4.5.
-60 horizontal axis represent the time point in t of regime one.
-15 horizontal axis represent the time point in t of regime two.
5 Preliminary Conclusions and Policy Implications
The main purpose of this paper explores the effects of international energy price shocks and macroeconomic activity in Taiwan. The preliminary findings are: (1) There is a threshold non-linearity relationship between energy price variables and macroeconomic variables. (2) The optimal threshold levels are 2.48% in terms of oil price change, 0.87% in terms of natural gas price change, and 0.22% in terms of coal
price change. Due to Taiwan’s higher economic development, the threshold of critical level is greater as evidence by the positive impact of an oil price change and its shock. The optimal threshold value seems to vary according to how an economy depends on imported energy and the attitude towards accepting energy-saving technology. (2) If a country has a higher energy import ratio and acquires a higher ratio of energy use in the industrial sector, then it will have a shorter delay in terms of its economic response from the positive impact of an energy price change. As our results show, the delays of the threshold variable are only one month and their responses are very quick. (3) Compared to the other energy prices (i.e., coal price and natural gas price), an oil price change has the largest explanatory effect on Taiwan’s industrial production. Moreover, it better explains industrial production than the real interest rate when an oil price change exceeds the threshold value (regime two). (4) A coal price change significantly explains stock prices in the two-regime model compared to the one-regime model. A natural gas price change has higher explanatory power on stock prices than the interest rate when a natural gas price change is below the threshold value (regime one). In a similar vein, a natural gas price change has stronger explanatory power on the unemployment rate. (5) Energy price shocks have a negative impact on Taiwan’s macroeconomic activities especially in industrial production and stock prices in regime two. Both oil price shocks and natural gas shocks have a delayed negative impact on industrial production with one lag when energy price changes exceed the threshold level. By the same token, energy price shocks have delayed negative impacts on the stock market. (6) To Taiwan’s labor market, international energy price shocks have a positive effect on the unemployment rate in the short term. It means that an increase in energy prices will increase the cost of production which in turn results in higher levels of unemployment. (7) In summary, the findings speak to the fact that the
two-regime model seems to offer more detailed and noticeable responses.
Based on the aforementioned findings, we observe that energy prices have significant impacts on Taiwan’s macroeconomic activity. In order to reduce the impact of energy price shocks and promote sustainable development in Taiwan, we further address the trend of Taiwan’s energy development and some energy strategies for domestic policy makers. The first one is to actively develop the domestic renewable (or green) industry. The second one is to promote greater scale efficiency and to obtain competitive advantages for the domestic energy industry. The final one is to achieve energy technological breakthroughs.
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類 別：學術研討會
題目：兩岸博鰲學術會議與企業實務論壇
服務機關：國立交通大學經營管理研究所 姓名職稱：胡均立 教授兼所長
前往國家：中國大陸海南省博鰲
出國期間：自 99 年 4 月 1 日至 99 年 4 月 5 日 報告日期：99 年 4 月 26 日
一、參加經過
赴中國大陸參加學術研討會，作第一手觀察與學習，跟大陸的學者交換意見，對於長 期從事中國大陸經濟研究的敝人，幫助頗大。此次係赴海南省博鰲參加兩岸學術會議。敝 人是在 4 月 1 日跟隨成功大學管理學院教授及 EMBA 學生團體從高雄機場飛到澳門機場，
從澳門過境經陸路進入中國大陸珠海市，再從珠海機場飛海口機場。並於 4 月 5 日上午由 海口機場飛珠海機場，從珠海市經陸路過境澳門，再由澳門機場飛返高雄機場。正式會議
期間為 4 月 2 日至 4 月 4 日。4 月 2 日為報到，4 月 3 日舉行開幕式及論壇演講，4 月 4 日舉行分組論文發表。4 月 3 日的主題演講議題為成功大學 EMBA 執行長談台南科學園區的 發展經驗、國電大廈垻發電有限公司總經理陳大兵的實務分享等。
二、心得
敝人係於 4 月 4 日上午發表「A Comparative Efficiency Study of Life Insurance Companies in Mainland China and Taiwan」一文，與南開大學支燕副教授合著。主要以海峽兩岸的人身保險 公司為分析對象，樣本期間自 2002 年到 2007 年共六年期間。台灣地區共選取 28 家壽險公司，
大陸地區共選取 41 家壽險公司為研究對象，共計 69 家壽險業者作為決策單位（DMU）。投 入變數包含負債資本、權益資本及員工人數，產出項包含保費收入及投資收入。數據分別來
自於《台灣保險年鑑》（2002-2007）及《中國保險年鑑》（2003-2008）。
研究方法採取 Fried et al. (2002) 的三階段方法。第一階段先以資料包絡分析法逐年求解 個別壽險公司的效率值及投入差額變數。第二階段再以隨機邊界成本函數估計影響投入差額 變數的方程式。對投入項進行排除環境效果及統計噪音的調整。第三階段再以經環境效果及 統計噪音調整後的投入項，進行資料包絡分析法計算，得到排除環境效果及統計噪音影響後 的效率值。
實證結果發現：第一階段之實證結果發現 2002 年至 2006 年間，兩岸壽險公司之帄均效 率值差異不大，表現較佳之公司皆為年輕且資產規模較小之壽險公司。第二階段實證結果發 現無論總體經濟層面或個體企業層面之環境因素皆對壽險公司之經營效率有顯著之影響。此
實證結果發現：第一階段之實證結果發現 2002 年至 2006 年間，兩岸壽險公司之帄均效 率值差異不大，表現較佳之公司皆為年輕且資產規模較小之壽險公司。第二階段實證結果發 現無論總體經濟層面或個體企業層面之環境因素皆對壽險公司之經營效率有顯著之影響。此