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題名:青蔥價格與消費者物價指數的因果關係分析:門檻向量自我迴歸模型之應用
書刊名:農業與經濟
作者:王冠閔李源明 引用關係李建強 引用關係
作者(外文):Wang, Kuan-minLee, Yuan-mingLee, Chien-chiang
出版日期:2009
卷期:42
頁次:頁63-102
主題關鍵詞:青蔥價格消費者物價指數非線性因果關係門檻向量自我迴歸模型Green onion priceConsumer price indexNonlinearCausalityAsymmetric threshold vector auto-regression model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:24
  • 點閱點閱:159
本文利用非線性門檻向量自我迴歸模型(threshold vector autoregressive model, TVAR),實證檢驗台灣地區1989年1月至2006年7月間,蔥價與消費者物價指數(分別採用蔬菜類、食物類與總物價等3大類指數)之間的因果關係。線性及非線性共整合檢定結果均顯示,蔥價與3種物價指數之間皆不存在長期關係。雖然傳統VAR因果關係檢定指出,蔥價與物價指數存在負向且雙向的因果關係;但當使用蔥價變動率爲門檻變數進行非線性TVAR模型的因果關係檢定時,結果顯示蔥價對於物價指數之間存在不對稱動能(momentum)的調整。蔥價與3種物價指數均存在雙向因果關係,其中在上體制,蔥價變動對3種物價指數的影響爲正,而3種物價指數對蔥價的影響爲負;在下體制,蔥價變動對總物價與蔬菜類等2類指數的影響爲正,對食物類物價指數的影響爲負,而3種物價指數對蔥價的影響則均爲負向。本文考量蔥價動能的不對稱效果後,發現蔥價變動可以成爲消費者物價變動的先行指標。
This paper employs the linear cointegration test and the asymmetric threshold vector auto-regression model to investigate the interrelationship between the green onion price and different consumer price-which includes vegetables, food and general consumer index of consumer price for Taiwan covering the January 1989 to July 2006 period. The result of cointegration test shows that there exists no long-run relationship between the green onion price and consumer indices. Generally, under the short-run asymmetric adjustment process, the common strategy observed in our nonlinear model is that when the onion price is rising (falling), there exists feedback between the onion price and consumer indices, the onion price affect consumer indices in a positive way; however, the consumer indices affect onion price in a negative way. From that point of view, it would appear that the change of onion price is possible to become the leading indicator of change of consumer price under asymmetric models.
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