Asymmetric impacts of international energy shocks on macroeconomic activities

While limited by its scarcity of natural resources, the impacts of energy price changes on Taiwanʹs 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 Taiwanʹs 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 change is at 0.25%. The impulse response analysis suggests that oil price and natural gas shocks have a delayed negative impact on macroeconomic activities.