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

The Relationship between Green Onion Price and Consumer Price: An Application of Asymmetric Threshold Model

10.6181/agec.2009.42.03

王冠閔(Kuan-Min Wang)；李源明(Yuan-Ming Lee)；李建強(Chien-Chiang Lee)

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 price ； Consumer price index ； Nonlinear ； Causality ； Asymmetric threshold vector auto-regression model

農業與經濟

42期（2009 / 06 / 01）

63 - 102

繁體中文

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.

1. 王葳、賴景昌、胡士文(2002)。貨幣政策宣示與農產品價格的動態調整：固定匯率制度的探討。經濟論文叢刊，30(3)，313-333。
   連結：
2. 李建強、張佩鈴、陳珮芬(2006)。台灣毛豬市場批發價格的非線性模型分析。農業經濟半年刊，80，59-95。
   連結：
3. 楊奕農、楊明憲(2003)。生產效率估計之非線性考量：平滑轉換迴歸在台灣農業部門生產效率估計之應用。農業經濟半年刊，74，1-22。
   連結：
4. Abdulai, A.(2002).Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market.Applied Economics,34(6),679-687.
5. Abdulai, A.(2000).Spatial Price Transmission and Asymmetry in the Ghanaian Maize Market.Journal of Development Economics,63(2),327-349.
6. Balke, N. S.,T. B. Fomby(1997).Threshold Cointegration.International Economics Review,38(3),627-645.
7. Ben-Kaabia, M.,J. M. Gil,L. Boshnjaku(2002).Price Transmission Asymmetries in the Spanish Lamb Sector.Paper presented in the 2002 International Congress of the European Association of Agricultural Economists.
8. Berthelemy, J. C.,A. Varoudakis(1995).Thresholds in Financial Development and Economic Growth.The Manchester School of Economic and Social Studies,63,70-84.
9. Bessler, D. A.(1984).Relative Prices and Money: A Vector Autoregression on Brazilian Data.American Journal of Agricultural Economics,66,25-30.
10. Chan, K. S.(1993).Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model.The Annals of Statistics,21(1),520-533.
11. Chen, P. F.,C. C. Lee(2008).Nonlinear Adjustments in Deviations from the Law of One Price for Wholesale Hog Prices.Agricultural Economics,39,123-134.
12. De Gregorio, J.,P. E. Guidotti(1995).Financial Development and Economic Growth.World Development,23(3),433-448.
13. Dickey, D. A.,W. A. Fuller(1981).Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.Econometrica,49(4),1057-1072.
14. Enders, W.,P. L. Siklos(2001).Cointegration and Threshold Adjustment.Journal of Business and Economic Statistics,19(2),166-176.
15. Frankel, J. A.(1986).Expectations and Commodity Price Dynamics: The Overshooting Model.American Journal of Agricultural Economics,68,344-348.
16. Franses, P. H.,D. V. Dijk(2000).Nonlinear Time Series Models in Empirical Finance.Cambridge:Cambridge University Press.
17. Goodwin, B. K.,N. E. Piggott(2001).Spatial Market Integration in the Presence of Threshold Effects.American Journal of Agricultural Economics,83(2),302-317.
18. Hayashi, F.(2000).Econometrics.New Jersey:Princeton University Press.
19. Huang, B. N.,C. W. Yang(2004).Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causality Model.The Manchester School,72(3),347-362.
20. Johansen, S.(1988).Statistical Analysis of Cointegration Vectors.Journal of Economic Dynamics and Control,12(2-3),231-254.
21. Lai, C. C.,S. W. Hu,V. Wang(1996).Commodity Price Dynamics and Anticipated Shocks.American Journal of Agricultural Economics,78,982-990.
22. Lancaster, K.(1966).A New Approach to Consumer Theory.Journal of Political Economics,74,132-157.
23. Lapp, J. S.(1990).Relative Agricultural Prices and Monetary Policy.American Journal of Agricultural Economics,72,622-630.
24. MacKinnon, J. G.(1996).Numerical Distribution Functions for Unit Root and Cointegration Tests.Journal of Applied Econometrics,11(6),601-618.
25. MacKinnon, J. G.,A. A. Haug,L. Michelis(1999).Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.Journal of Applied Econometrics,14(5),563-577.
26. Meyer, J.(2004).Measuring Market Integration in the Presence of Transaction Costs-A Threshold Vector Error Correction Approach.Agricultural Economics,31(2-3),327-334.
27. Obstfeld, M.,A. M. Taylor(1997).Non-Linear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited.Journal of the Japanese and International Economics,11(4),441-479.
28. Sephton, P. S.(2003).Spatial Market Arbitrage and Threshold Cointegration.American Journal of Agricultural Economics,85(4),1041-1046.
29. Taylor, J. S.,J. Spriggs(1989).Effect of the Monetary Macro-Economy on Canadian Agricultural Prices.Canadian Journal of Economics,22,278-289.
30. Tong, H.,C. H. Chen (ed.)(1978).Pattern Recognition and Signal Processing.Amsterdan:Sijthoff & Noordhoff Press.
31. Tong, H.,K. S. Lim(1980).Threshold Autoregression, Limit Cycles and Cyclical Data.Journal of the Royal Statistical Society,42(3),245-292.
32. Tsay, R. S.(1989).Testing and Modeling Threshold Autoregressive Processes.Journal of the American Statistical Association,84(405),231-240.
33. Tsay, R. S.(1998).Testing and Modelling Multivariate Threshold Models.Journal of the American Statistical Association,93(443),1188-1202.
34. von Cramon-Taubadel, S.(1998).Estimating Asymmetric Price Transmission with the Error Correction Representation: An Application to the German Pork Market.European Review of Agricultural Economics,25,1-18.
35. Wane, A.,S. Gilbert,S. Dibooglu(2004).Critical Values of the Empirical F-Distribution for Threshold Autoregressive and Momentum Threshold Autoregression Modls.Unpublished Working Paper No. 13.
36. Weise, C.(1999).The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach.Journal of Money Credit and Banking,31,85-108.
37. 余朝權、顏廷棟(2006)。行政機關風險管理機制之研究―公平交易委員會因應2005年葱價上漲個案。公平交易季刊，14(3)，113-130。
38. 涂旭志(1993)。碩士論文(碩士論文)。國立中興大學農業經濟研究所。
39. 劉淑敏(2003)。我國躉售物價對消費者物價之影響效果分析。中央銀行季刊，25(2)，37-48。

1. 楊明憲、柯宗漢(2017)。效率市場假說與價格訊息傳遞之驗證：以臺灣釋迦批發市場為例。農業與經濟，59，119-151。
2. 張呈徽、林啟淵、李仁耀(2011)。台灣飼料玉米進口商管控進口量之研究。農業經濟叢刊，17(1)，77-107。
3. 張呈徽、林啟淵、李仁耀、張呈徽、林啟淵、李仁耀(2012)。台灣重要蔬菜價格傳遞之研究。農業與經濟，49，1-36。
4. (2023)。新冠肺炎疫情對台灣消費者物價指數趨勢之影響研究。臺灣銀行季刊，74(3)，45-66。