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題名：台灣毛豬市場不對稱價格傳遞與價量之非線性行為
作者：李佳珍 引用關係
作者(外文)：Jia-jan Lee
校院名稱：國立中正大學
系所名稱：國際經濟所
指導教授：黃柏農
學位類別：博士
出版日期：2009
主題關鍵詞：不對稱性；價格傳遞；雙變量門檻自我廻歸模型；因果關係；price transmission；asymmetric；bivariate threshold autoregressive model；causality
原始連結：連回原系統網址new window
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毛豬產業在台灣農業或畜禽之總產值中，一直佔有相當重要的地位，且豬肉也為台灣消費者心目中肉類最佳選擇。每當毛豬產業價格發生變動時，均會影響到生產者、消費者甚至販運商及零售商，層面相當廣泛。因此，本文利用實際台灣毛豬市場之價格與數量等相關時間數列資料，針對台灣毛豬市場不對稱價格傳遞、各地區豬肉需求以及價量之非線性行為進行探討。
首先，本文使用1981年1月至2006年12月之月資料，探討台灣毛豬市場不對稱價格傳遞之關係。實證結果發現，僅在最適門檻值為0.032時的M-TAR模型中，台灣毛豬之產地與零售價格傳遞間存在不對稱調整過程，亦即台灣毛豬的產地價格下降時，傳遞到零售價格的速度快於當產地價格上升時，此一發現與Abdulai (2002) 利用TAR及M-TAR模型估計，瑞士豬肉市場之產地與零售價格間，存在共整合關係，且兩種價格傳遞間也確實存在不對稱調整現象有所不同。此外，也發現當產地價格上升時，傳遞到零售價格上升的速度是比產地價格下跌時，傳遞至零售價格下跌時來得快有所不同。推論此一結果應與台灣毛豬市場受到政府政策干預及固定循環現象有關。本研究也發現台灣毛豬市場產地價格的變動與零售價格的變動之間，存在一種短期互為反饋的關係。
其次，利用台中市、台南市及高雄市豬肉消費量之1979年1月至2006年12月的月資料進行估計，實證結果顯示，三個地區之豬肉自身價格彈性均為負值，且彈性小於1，雖然只有高雄市具有顯著性，但仍符合需求法則。至於雞肉與牛肉之價格交叉彈性，三個地區則呈現不同現象，互補或替代關係均有。另由所得成長率估計，也發現三個地區對於豬肉之消費均會隨所得成長率的提高而增加，只是增加之幅度並不大，顯示豬肉對三個地區，仍屬必需品。
最後，除利用線性Granger因果關係及Tsay (1998) 的雙變量門檻自我廻歸模型，並加入Gervais et al. (2001) 所提出「極端成交量將導致同方向的超額報酬」之假說，檢定台灣毛豬批發價格與交易量之間的動態因果關係。以1981年1月至2006年12月之月資料進行實證，結果顯示，在線性Granger因果檢定下，毛豬批發價格與交易量間存在互為反饋的因果關係，一旦納入極端量考量後，更發現當門檻變數小於或等於門檻水準時，兩者之間仍具雙向的反饋關係；但如果當門檻變數大於門檻水準時，則只存在交易量領先價格的單向因果關係，顯示一邊的極端交易量對批發價格具有影響能力，同時亦印證Gervais et al. (2001) 所提出「極端成交量將導致同方向的超額報酬」的結論，更符合本文的預期。
Abstract
The hog industry accounts for high proportion of the gross output value of agriculture and livestock in Taiwan because consumers in their mind see pork as the best choice among all meat. Every time when the price of hogs changes, it broadly affects all participants of the channel from producers, wholesellers, retailers, to consumers. Therefore, in this study, the time series data related to market price and quantity of Taiwan hogs were used to discuss asymmetric price transmission in the market and non-regression behaviors between the consumption of pork and its price and quantity locally.
In the beginning, the study started with asymmetric price transmission in Taiwan hog market. It found that, in M-TAR model, only set the optimal threshold value 0.032, asymmetric price transmission between producer price and retailer price, which means when the price decreases in the places of origin, the dropping speed of transmission to retailer price is faster than that of increasing. The finding is different from Abdulai (2002) reports and the researchers inferred it is due to the intervention of Government and static cyclic phenomenon in Taiwan hog market. The study also found short-run feedback exists between the change of producer price and retailer price.
Then, the data of consumption of pork from January, 1979 to December, 2006 in Taichung City, Tainan City, and Kaohsiung City shows that the price elasticity is all negative and less than one. Although it is only significant in Kaohsiung City, it corresponds to the Low of Demand as well. As to the cross elasticity between beef and chicken, the results are different in the three places: complement and substitute both exist. From the observation of growth rate of income, the researchers estimate that the consumption of pork is increasing while income increasing but not critical. It indicates pork is a necessity there.
Finally, other than liner Granger causality and Tasy’s bivariate threshold autoregressive model (1998), researchers also used Gervais et al. (2001) hypothesis, the high-volume return premium, to test dynamic causality of wholesale price and trading volume. The monthly data from January, 1981, to December, 2006, displays feedback exists between whole sale price and trading volume under liner Granger causality test. Whenever considering extremes, the threshold variable smaller than or equal to threshold level , the feedback still exists; however, when threshold variable becomes greater than threshold level , there is only one-way causality exists. To sum up, extreme trading volume affects wholesale price, proves the conclusion of Gervais et al. (2001) , the high-volume return premium , and matches the expiration of the study.
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