本研究探討結構性油價衝擊對通膨預期之影響，並以 25 個 OECD 國家作為分析對象。由於多數國家缺乏長期且一致的通膨預期資料，本文以實質利率平價（Real Interest Parity, RIP）為基礎建構各國的通膨預期代理指標，並結合結構性向量自我迴歸模型（Structural Vector Autoregression, SVAR），將國際油價波動區分為原油供給衝擊、全球總需求衝擊與特定油市需求衝擊，藉此檢視不同衝擊來源對通膨預期的影響。
實證結果顯示，原油供給衝擊對通膨預期的影響相對有限，多數情況下在統計上並不顯著，且在歷史分解中未形成一致且明顯的單一事件窗型態。相較之下，在三類結構性油價衝擊之中，需求面衝擊的傳導效果相對較為明顯。全球總需求衝擊通常呈現較慢累積的影響，並在 2005 至 2010 年全球需求由擴張轉向收縮的事件窗中，較能解釋多數國家通膨預期與反事實路徑之間的差距。特定油市需求衝擊則在部分國家或較短預測期中具有重要性，但在歷史分解中未形成一致且明顯的單一事件窗型態。
進一步的跨國比較顯示，面對相同的全球油市衝擊，不同國家的通膨預期反應並不一致。此一差異可能與各國能源進出口結構、開放程度、匯率管道與產業條件有關。整體而言，本文結果指出，若欲理解油價波動對通膨預期的影響，不能僅觀察油價本身的漲跌，而必須進一步區分其背後的結構性來源，並考量不同國家的經濟條件與傳導管道。

This thesis examines how structural oil price shocks affect inflation expectations in 25 OECD countries. Since long and consistent inflation expectation data are not available for many countries, this study constructs cross-country proxy measures of inflation expectations based on the Real Interest Parity framework. It then uses a Structural Vector Autoregression model to separate oil price movements into oil supply shocks, global aggregate demand shocks, and oil-specific demand shocks, following Kilian (2009).
The empirical results show that oil supply shocks have a limited and short-lived effect on inflation expectations. In many countries, the response is statistically insignificant or only appears in the first one or two months after the shock. In contrast, demand-side shocks play a more important role. Global aggregate demand shocks tend to affect inflation expectations more gradually and become more visible at longer horizons. During the 2005 to 2008 global demand expansion, inflation expectations in 19 countries were higher than the counterfactual paths that remove global aggregate demand shocks.
Oil-specific demand shocks also matter in some countries, especially over shorter forecast horizons. However, they do not form a clear and common event window across the 25 countries in the historical decomposition. Over the whole sample period, inflation expectation movements in as many as 18 of the 25 countries are more often explained by global aggregate demand shocks than by oil supply shocks or oil-specific demand shocks. Overall, the results suggest that the impact of oil prices on inflation expectations depends not only on whether oil prices rise or fall, but also on the structural source of the oil price movement and the transmission conditions of each country.

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