Abstract
The purpose of this paper is to investigate the effects of the oil-price shocks on the macroeconomy of Taiwan and test whether the effects are asymmetric. To the ends, we build a bivariate non-linear vector autoregression model developed by Kilian and Vigfusson (2011). We measure the non-linear effects of oil-price shocks by introducing oil prices increases or the net oil price increases proposed by Mork (1989) and Hamilton (1996) into the model. We measure the real macroeconomic activities by using the GDP, industrial production index, imports, and exports during 1982 to 2015. We also examine the robustness of our results by using data of alternative sources and frequencies. Our findings suggest that if oil prices are measured by the quarterly data on Imported Energy Minerals Price Index, there is no significant evidence on the asymmetry of the effects of oil price shocks on GDP and exports. In contrast, if oil prices are measured by the West Texas Intermediate crude oil price or the monthly data on the Imported Energy Minerals Price Index, our findings suggest that the asymmetry of macroeconomic effects of oil price shocks is more likely to be significant.