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題名:使用門檻共整合模型來探討臺灣豬肉市場不對稱的價格傳遞過程
書刊名:農業經濟叢刊
作者:黃柏農 引用關係李佳珍 引用關係
作者(外文):Huang, Bwo-nungLee, Jia-jan
出版日期:2016
卷期:22:2
頁次:頁1-29
主題關鍵詞:門檻共整合誤差修正不對稱的價格傳遞Threshold cointegrationError correctionAsymmetric price transmission
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(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:12
  • 點閱點閱:7
應用Tsay(1998)多變量門檻模型之概念,本研究探討台灣猪肉市場1981 年1 月至2014 年12 月不對稱的價格傳遞過程。在假設7 期前產地價格變動為門檻變數之下,探討產地價格變動與零售價格變動之間傳遞過程是否存在不對稱的關係。研究結果發現,若不考慮不對稱關係時,產地價格變動與零售價格變動之間存在互為反饋的關係,且兩者方程式內的誤差修正項均是負值且統計上非常顯著。然而在非線性(不對稱)模型之下,本研究發現當7 期前的產地價格為上漲時,產地價格改變與零售價格改變之間存在長期及短期的互為反饋之關係;亦即,過去的零售(產地)價格的改變是會影響當期的產地(零售)價格的改變,此外,其誤差也有向均衡調整的傾向,產地價格調整回均衡大約需要7 個月(猪隻成長所需時間),而零售價格則需約12 個月才能調整回均衡。但當7 期前的產地價格為下跌時,產地價格改變與零售價格改變之間只存在短期的產地價格領先零售價格的單向Granger 因果關係,且兩價格之間的誤差也沒有向均衡調整的傾向。
Employing monthly data from January 1981 through December 2014 and applying Tsay’s (1998) multivariate threshold model, this paper investigates if there exists an asymmetric relationship between producer price change and retail price change using 7th period ahead producer price change as a threshold variable. It is found that there exist a significant feedback relationship between producer and retail price if one does not take asymmetry into consideration. In addition, the error correction terms in both producer price change and retail price change equations are negatively significant. Under asymmetric model this study found that if the 7th period ahead producer price was increased, then a short-and long-term feedback relationship exists between the producer price change and the retail price change. It implied that the previous retail (producer) price change can be predicted the current producer (retail) price change. Moreover, the error correction term showed a tendency toward the equilibrium in the long run. However, if the 7th period ahead producer price was decreased, then there exists only a short-term Granger causality running from producer price to retail price. Moreover, the error correction terms showed no sign to adjust toward the long-term equilibrium.
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會議論文
1.Von Cramon-Taubadel, S.、Fahlbusch, S.(1994)。Identifying Asymmetric Price Transmission with Error Correction Models。The Poster Session EAAE European Seminar in Reading, UK。  new window
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研究報告
1.行政院農業委員會(1981)。台灣農產物價與成本統計月報。台北市:行政院農業委員會。  延伸查詢new window
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3.Luoma, A.、Luoto, J.、Taipale, M.(2004)。Threshold Cointegration and Asymmetric Price Transmission in Finnish Beef and Pork Markets。Pellervo Economic Research Institute。  new window
圖書
1.Tong, H.(1983)。Threshold Models in Non-linear Time Series Analysis。New York:Springer Verlag。  new window
2.Franses, P. H.、Van Dijk, D.(2000)。Non-linear Time Series Models in Empirical Finance。Cambridge:Cambridge University Press。  new window
 
 
 
 
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